Schedule
of
Investments
Blue
Chip
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
1
INVESTMENT
COMPANIES
-
1.70%
Shares
Held
Value
(000's)
Money
Market
Funds
-
1.70%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
3,747,158
$
3,747
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
107,149,323
107,149
$
110,896
TOTAL
INVESTMENT
COMPANIES
$
110,896
COMMON
STOCKS
-
98.71%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
4.50%
TransDigm
Group
Inc
689,790
293,037
Biotechnology
-
1.02%
Illumina
Inc
(d)
183,981
66,794
Chemicals
-
2.84%
Ecolab
Inc
94,798
20,152
Linde
PLC
690,258
139,667
Sherwin-Williams
Co/The
42,896
25,474
$
185,293
Commercial
Services
-
9.04%
CoStar
Group
Inc
(d)
90,758
59,610
Moody's
Corp
316,741
84,700
PayPal
Holdings
Inc
(d)
2,165,540
335,680
S&P
Global
Inc
336,788
109,463
$
589,453
Diversified
Financial
Services
-
11.50%
Charles
Schwab
Corp/The
2,682,765
96,338
Credit
Acceptance
Corp
(d),(e)
99,865
36,932
Mastercard
Inc
1,024,929
308,391
Visa
Inc
1,578,631
308,212
$
749,873
Electronics
-
1.50%
Roper
Technologies
Inc
248,757
97,960
Healthcare
-
Products
-
2.97%
Danaher
Corp
875,216
145,820
IDEXX
Laboratories
Inc
(d)
154,995
47,875
$
193,695
Insurance
-
6.74%
Aon
PLC
174,299
34,328
Berkshire
Hathaway
Inc
-
Class
B
(d)
1,681,147
311,987
Markel
Corp
(d)
49,592
44,505
Progressive
Corp/The
622,010
48,318
$
439,138
Internet
-
20.32%
Alphabet
Inc
-
A
Shares
(d)
50,146
71,885
Alphabet
Inc
-
C
Shares
(d)
310,841
444,167
Amazon.com
Inc
(d)
237,193
579,313
Facebook
Inc
(d)
1,016,917
228,898
$
1,324,263
Lodging
-
1.66%
Hilton
Worldwide
Holdings
Inc
1,365,015
108,259
Media
-
4.73%
Charter
Communications
Inc
(d)
566,531
308,193
Private
Equity
-
5.24%
Brookfield
Asset
Management
Inc
9,930,278
311,414
KKR
&
Co
Inc
1,088,666
30,210
$
341,624
REITs
-
4.47%
American
Tower
Corp
1,127,756
291,153
Retail
-
2.66%
CarMax
Inc
(d)
629,868
55,460
Costco
Wholesale
Corp
142,471
43,948
O'Reilly
Automotive
Inc
(d)
115,966
48,386
Yum!
Brands
Inc
285,134
25,585
$
173,379
Semiconductors
-
1.39%
NVIDIA
Corp
254,640
90,402
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
-
18.13%
Adobe
Inc
(d)
699,497
$
270,425
Autodesk
Inc
(d)
427,116
89,857
Intuit
Inc
1,033,284
299,983
Microsoft
Corp
1,730,317
317,081
salesforce.com
Inc
(d)
1,169,080
204,343
$
1,181,689
TOTAL
COMMON
STOCKS
$
6,434,205
Total
Investments
$
6,545,101
Other
Assets
and
Liabilities
- (0.41)%
(26,687)
TOTAL
NET
ASSETS
-
100.00%
$
6,518,414
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$15,477
or
0.24%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary (unaudited)
Sector
Percent
Financial
27.95%
Communications
25.05%
Technology
19.52%
Consumer,
Non-cyclical
13.03%
Industrial
6.00%
Consumer,
Cyclical
4.32%
Basic
Materials
2.84%
Money
Market
Funds
1.70%
Other
Assets
and
Liabilities
(0.41)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Blue
Chip
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
2
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
14,510
$
1,026,250
$
933,611
$
107,149
$
14,510
$
1,026,250
$
933,611
$
107,149
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
118
$
—
$
—
$
—
$
118
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
3
INVESTMENT
COMPANIES
-
5.37%
Shares
Held
Value
(000's)
Money
Market
Funds
-
5.37%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
1,415,438
$
1,415
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
125,213,774
125,214
$
126,629
TOTAL
INVESTMENT
COMPANIES
$
126,629
BONDS
-
32.91%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.04%
Interpublic
Group
of
Cos
Inc/The
4.20%,
04/15/2024
$
50
$
53
Omnicom
Group
Inc
2.45%,
04/30/2030
155
145
Omnicom
Group
Inc
/
Omnicom
Capital
Inc
3.60%,
04/15/2026
500
542
3.63%,
05/01/2022
75
79
WPP
Finance
2010
3.75%,
09/19/2024
75
80
$
899
Aerospace
&
Defense
-
0.51%
Boeing
Co/The
2.70%,
02/01/2027
110
102
2.80%,
03/01/2024
200
196
2.95%,
02/01/2030
(e)
140
131
3.25%,
02/01/2035
335
288
3.50%,
03/01/2039
200
168
3.75%,
02/01/2050
310
270
3.95%,
08/01/2059
375
345
4.51%,
05/01/2023
630
652
4.88%,
05/01/2025
630
669
5.04%,
05/01/2027
315
334
5.15%,
05/01/2030
315
338
5.71%,
05/01/2040
315
346
5.81%,
05/01/2050
155
176
5.88%,
02/15/2040
100
108
General
Dynamics
Corp
3.25%,
04/01/2025
80
88
3.50%,
05/15/2025
235
262
3.50%,
04/01/2027
155
175
4.25%,
04/01/2040
155
193
L3Harris
Technologies
Inc
2.90%,
12/15/2029
360
380
3.83%,
04/27/2025
270
294
Lockheed
Martin
Corp
1.85%,
06/15/2030
105
107
3.35%,
09/15/2021
500
519
3.55%,
01/15/2026
265
303
4.07%,
12/15/2042
105
131
4.09%,
09/15/2052
162
209
4.50%,
05/15/2036
215
275
4.70%,
05/15/2046
75
102
Northrop
Grumman
Corp
2.55%,
10/15/2022
740
775
3.20%,
02/01/2027
130
143
3.25%,
01/15/2028
755
837
5.05%,
11/15/2040
500
652
Raytheon
Co
4.70%,
12/15/2041
350
411
Raytheon
Technologies
Corp
2.25%,
07/01/2030
155
159
3.75%,
11/01/2046
500
566
4.05%,
05/04/2047
300
355
4.13%,
11/16/2028
270
313
4.50%,
06/01/2042
410
503
6.13%,
07/15/2038
46
65
Rockwell
Collins
Inc
3.20%,
03/15/2024
75
80
$
12,020
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Agriculture
-
0.34%
Altria
Group
Inc
2.35%,
05/06/2025
$
65
$
67
3.40%,
05/06/2030
125
132
3.80%,
02/14/2024
500
542
4.00%,
01/31/2024
500
545
4.25%,
08/09/2042
460
470
4.80%,
02/14/2029
300
346
5.38%,
01/31/2044
25
29
6.20%,
02/14/2059
250
319
Archer-Daniels-Midland
Co
4.02%,
04/16/2043
350
409
BAT
Capital
Corp
2.76%,
08/15/2022
535
551
2.79%,
09/06/2024
210
219
3.46%,
09/06/2029
210
216
3.56%,
08/15/2027
500
526
4.54%,
08/15/2047
300
319
Philip
Morris
International
Inc
2.38%,
08/17/2022
90
93
2.75%,
02/25/2026
500
540
2.90%,
11/15/2021
400
412
3.25%,
11/10/2024
445
489
3.38%,
08/11/2025
350
386
4.13%,
03/04/2043
300
340
Reynolds
American
Inc
4.45%,
06/12/2025
220
243
5.70%,
08/15/2035
50
60
5.85%,
08/15/2045
50
60
6.15%,
09/15/2043
500
605
$
7,918
Airlines
-
0.03%
American
Airlines
2014-1
Class
A
Pass
Through
Trust
3.70%,
04/01/2028
14
11
American
Airlines
2019-1
Class
AA
Pass
Through
Trust
3.15%,
08/15/2033
138
123
Delta
Air
Lines
2020-1
Class
AA
Pass
Through
Trust
2.00%,
06/10/2028
310
285
Southwest
Airlines
Co
3.00%,
11/15/2026
350
324
United
Airlines
2019-2
Class
AA
Pass
Through
Trust
2.70%,
11/01/2033
70
62
$
805
Apparel
-
0.05%
NIKE
Inc
2.40%,
03/27/2025
155
166
2.75%,
03/27/2027
155
169
3.25%,
03/27/2040
155
174
3.88%,
11/01/2045
500
612
$
1,121
Automobile
Asset
Backed
Securities
-
0.11%
Americredit
Automobile
Receivables
Trust
2018-1
3.07%,
12/19/2022
655
660
GM
Financial
Automobile
Leasing
Trust
2018-1
2.61%,
01/20/2021
42
41
GM
Financial
Automobile
Leasing
Trust
2018-2
3.06%,
06/21/2021
316
317
Nissan
Auto
Receivables
2017-B
Owner
Trust
1.75%,
10/15/2021
157
158
World
Omni
Automobile
Lease
Securitization
Trust
2019-A
2.94%,
05/16/2022
1,500
1,524
$
2,700
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
4
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Manufacturers
-
0.33%
American
Honda
Finance
Corp
1.70%,
09/09/2021
$
500
$
504
1.95%,
05/20/2022
150
152
1.95%,
05/10/2023
155
157
2.05%,
01/10/2023
425
433
2.15%,
09/10/2024
345
352
Cummins
Inc
4.88%,
10/01/2043
25
33
General
Motors
Co
4.88%,
10/02/2023
80
83
5.00%,
04/01/2035
325
327
5.15%,
04/01/2038
160
155
5.20%,
04/01/2045
425
403
5.40%,
04/01/2048
375
361
6.25%,
10/02/2043
75
78
General
Motors
Financial
Co
Inc
3.45%,
01/14/2022
1,000
999
3.45%,
04/10/2022
50
50
3.55%,
07/08/2022
935
926
4.00%,
10/06/2026
75
75
4.20%,
11/06/2021
250
254
4.35%,
01/17/2027
525
525
Toyota
Motor
Corp
3.67%,
07/20/2028
500
569
Toyota
Motor
Credit
Corp
1.15%,
05/26/2022
155
156
1.35%,
08/25/2023
155
156
1.80%,
10/07/2021
150
152
1.80%,
02/13/2025
155
159
2.00%,
10/07/2024
(e)
145
151
3.30%,
01/12/2022
500
519
$
7,729
Automobile
Parts
&
Equipment
-
0.01%
BorgWarner
Inc
4.38%,
03/15/2045
300
296
Banks
-
6.21%
Australia
&
New
Zealand
Banking
Group
Ltd/
New
York
NY
2.05%,
11/21/2022
250
258
2.63%,
05/19/2022
550
570
Banco
Santander
SA
2.75%,
05/28/2025
200
204
3.49%,
05/28/2030
200
204
4.25%,
04/11/2027
650
704
Bank
of
America
Corp
2.02%,
02/13/2026
(f)
365
373
3
Month
USD
LIBOR
+
0.64%
2.46%,
10/22/2025
(f)
300
312
3
Month
USD
LIBOR
+
0.87%
2.50%,
10/21/2022
75
77
2.50%,
02/13/2031
(f)
315
320
3
Month
USD
LIBOR
+
0.99%
2.59%,
04/29/2031
(f)
250
256
United
States
Secured
Overnight
Financing
Rate
+
2.15%
2.82%,
07/21/2023
(f)
75
78
3
Month
USD
LIBOR
+
0.93%
2.88%,
04/24/2023
(f)
110
114
3
Month
USD
LIBOR
+
1.02%
3.00%,
12/20/2023
(f)
2,551
2,663
3
Month
USD
LIBOR
+
0.79%
3.19%,
07/23/2030
(f)
285
307
3
Month
USD
LIBOR
+
1.18%
3.25%,
10/21/2027
350
383
3.30%,
01/11/2023
1,175
1,244
3.42%,
12/20/2028
(f)
639
696
3
Month
USD
LIBOR
+
1.04%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Bank
of
America
Corp
(continued)
3.46%,
03/15/2025
(f)
$
500
$
537
3
Month
USD
LIBOR
+
0.97%
3.50%,
04/19/2026
335
371
3.86%,
07/23/2024
(f)
200
216
3
Month
USD
LIBOR
+
0.94%
3.95%,
01/23/2049
(f)
110
127
3
Month
USD
LIBOR
+
1.19%
3.97%,
03/05/2029
(f)
75
85
3
Month
USD
LIBOR
+
1.07%
3.97%,
02/07/2030
(f)
1,000
1,136
3
Month
USD
LIBOR
+
1.21%
4.00%,
04/01/2024
400
442
4.00%,
01/22/2025
90
98
4.10%,
07/24/2023
75
82
4.24%,
04/24/2038
(f)
835
982
3
Month
USD
LIBOR
+
1.81%
4.25%,
10/22/2026
800
899
4.27%,
07/23/2029
(f)
640
740
3
Month
USD
LIBOR
+
1.31%
4.33%,
03/15/2050
(f)
255
316
3
Month
USD
LIBOR
+
1.52%
5.00%,
01/21/2044
75
99
5.70%,
01/24/2022
75
81
5.88%,
02/07/2042
60
87
6.11%,
01/29/2037
500
682
Bank
of
Montreal
1.85%,
05/01/2025
160
164
2.55%,
11/06/2022
75
78
2.90%,
03/26/2022
500
519
3.30%,
02/05/2024
750
805
Bank
of
New
York
Mellon
Corp/The
1.60%,
04/24/2025
725
750
1.85%,
01/27/2023
790
814
1.95%,
08/23/2022
740
763
Bank
of
Nova
Scotia/The
2.00%,
11/15/2022
150
154
2.70%,
03/07/2022
145
150
2.70%,
08/03/2026
145
155
2.80%,
07/21/2021
500
513
3.40%,
02/11/2024
750
806
4.50%,
12/16/2025
60
67
Barclays
Bank
PLC
1.70%,
05/12/2022
1,000
1,013
Barclays
PLC
2.85%,
05/07/2026
(f)
200
205
3
Month
USD
LIBOR
+
2.45%
3.68%,
01/10/2023
200
207
3.93%,
05/07/2025
(f)
915
973
3
Month
USD
LIBOR
+
1.61%
4.38%,
01/12/2026
380
418
4.97%,
05/16/2029
(f)
200
229
3
Month
USD
LIBOR
+
1.90%
BPCE
SA
4.00%,
04/15/2024
750
817
Canadian
Imperial
Bank
of
Commerce
2.55%,
06/16/2022
575
596
2.61%,
07/22/2023
(f)
220
226
3
Month
USD
LIBOR
+
0.79%
Capital
One
NA
2.15%,
09/06/2022
250
253
2.25%,
09/13/2021
650
658
Citibank
NA
3.65%,
01/23/2024
750
818
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
5
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Citigroup
Inc
1.68%,
05/15/2024
(f)
$
155
$
156
United
States
Secured
Overnight
Financing
Rate
+
1.67%
2.31%,
11/04/2022
(f)
225
228
United
States
Secured
Overnight
Financing
Rate
+
0.87%
2.57%,
06/03/2031
(f),(g)
310
310
United
States
Secured
Overnight
Financing
Rate
+
2.11%
2.67%,
01/29/2031
(f)
310
314
United
States
Secured
Overnight
Financing
Rate
+
1.15%
2.75%,
04/25/2022
425
439
2.90%,
12/08/2021
385
396
2.98%,
11/05/2030
(f)
150
156
United
States
Secured
Overnight
Financing
Rate
+
1.42%
3.30%,
04/27/2025
435
474
3.40%,
05/01/2026
1,110
1,204
3.52%,
10/27/2028
(f)
125
135
3
Month
USD
LIBOR
+
1.15%
3.67%,
07/24/2028
(f)
875
954
3
Month
USD
LIBOR
+
1.39%
3.70%,
01/12/2026
110
121
3.88%,
01/24/2039
(f)
220
244
3
Month
USD
LIBOR
+
1.17%
4.13%,
07/25/2028
110
121
4.30%,
11/20/2026
75
84
4.45%,
09/29/2027
75
84
4.60%,
03/09/2026
1,075
1,204
4.65%,
07/30/2045
115
141
4.65%,
07/23/2048
235
292
4.75%,
05/18/2046
395
474
5.50%,
09/13/2025
845
986
6.68%,
09/13/2043
360
522
8.13%,
07/15/2039
474
798
Cooperatieve
Rabobank
UA
3.88%,
02/08/2022
535
564
5.25%,
05/24/2041
185
258
5.25%,
08/04/2045
550
713
Cooperatieve
Rabobank
UA/NY
2.75%,
01/10/2022
500
516
Credit
Suisse
AG/New
York
NY
3.00%,
10/29/2021
325
335
3.63%,
09/09/2024
500
546
Credit
Suisse
Group
Funding
Guernsey
Ltd
3.75%,
03/26/2025
1,250
1,360
3.80%,
09/15/2022
705
744
3.80%,
06/09/2023
750
796
Deutsche
Bank
AG/New
York
NY
3.95%,
02/27/2023
100
102
4.10%,
01/13/2026
750
763
4.25%,
10/14/2021
400
406
Development
Bank
of
Japan
Inc
2.00%,
10/19/2021
350
357
Discover
Bank
2.70%,
02/06/2030
250
236
3.20%,
08/09/2021
1,000
1,010
Fifth
Third
Bancorp
2.38%,
01/28/2025
600
619
4.30%,
01/16/2024
50
55
Fifth
Third
Bank
NA
1.80%,
01/30/2023
250
255
2.25%,
06/14/2021
300
305
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Goldman
Sachs
Group
Inc/The
3.00%,
04/26/2022
$
990
$
1,007
3.27%,
09/29/2025
(f)
75
79
3
Month
USD
LIBOR
+
1.20%
3.63%,
01/22/2023
335
358
3.69%,
06/05/2028
(f)
500
548
3
Month
USD
LIBOR
+
1.51%
3.75%,
02/25/2026
75
82
3.81%,
04/23/2029
(f)
75
83
3
Month
USD
LIBOR
+
1.16%
3.85%,
01/26/2027
110
121
4.22%,
05/01/2029
(f)
505
569
3
Month
USD
LIBOR
+
1.30%
4.25%,
10/21/2025
575
637
4.41%,
04/23/2039
(f)
175
202
3
Month
USD
LIBOR
+
1.43%
4.75%,
10/21/2045
150
186
5.15%,
05/22/2045
375
463
5.25%,
07/27/2021
1,375
1,441
5.95%,
01/15/2027
700
855
6.13%,
02/15/2033
850
1,169
6.25%,
02/01/2041
220
316
6.75%,
10/01/2037
210
293
HSBC
Holdings
PLC
2.10%,
06/04/2026
(f),(g)
310
309
United
States
Secured
Overnight
Financing
Rate
+
1.93%
2.63%,
11/07/2025
(f)
725
746
3
Month
USD
LIBOR
+
1.14%
2.85%,
06/04/2031
(f),(g)
200
200
United
States
Secured
Overnight
Financing
Rate
+
2.39%
3.26%,
03/13/2023
(f)
500
516
3
Month
USD
LIBOR
+
1.06%
3.90%,
05/25/2026
500
549
3.97%,
05/22/2030
(f)
300
327
3
Month
USD
LIBOR
+
1.61%
4.25%,
08/18/2025
750
806
4.58%,
06/19/2029
(f)
240
272
3
Month
USD
LIBOR
+
1.53%
4.95%,
03/31/2030
200
236
6.10%,
01/14/2042
600
837
6.50%,
05/02/2036
700
939
6.50%,
09/15/2037
100
135
6.80%,
06/01/2038
500
692
HSBC
USA
Inc
3.50%,
06/23/2024
500
542
Huntington
Bancshares
Inc/OH
2.55%,
02/04/2030
430
424
Huntington
National
Bank/The
1.80%,
02/03/2023
325
331
Industrial
&
Commercial
Bank
of
China
Ltd/New
York
NY
2.45%,
10/20/2021
350
355
ING
Groep
NV
3.15%,
03/29/2022
400
414
3.55%,
04/09/2024
300
320
4.55%,
10/02/2028
300
351
JPMorgan
Chase
&
Co
1.51%,
06/01/2024
(f)
220
222
United
States
Secured
Overnight
Financing
Rate
+
1.46%
2.00%,
03/13/2026
(f)
155
158
United
States
Secured
Overnight
Financing
Rate
+
1.59%
2.08%,
04/22/2026
(f)
145
149
United
States
Secured
Overnight
Financing
Rate
+
1.85%
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
6
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
JPMorgan
Chase
&
Co
(continued)
2.18%,
06/01/2028
(f)
$
220
$
222
United
States
Secured
Overnight
Financing
Rate
+
1.89%
2.30%,
08/15/2021
860
863
2.30%,
10/15/2025
(f)
320
331
United
States
Secured
Overnight
Financing
Rate
+
1.16%
2.40%,
06/07/2021
500
509
2.52%,
04/22/2031
(f)
235
240
United
States
Secured
Overnight
Financing
Rate
+
2.04%
2.74%,
10/15/2030
(f)
625
648
United
States
Secured
Overnight
Financing
Rate
+
1.51%
2.78%,
04/25/2023
(f)
250
258
3
Month
USD
LIBOR
+
0.94%
2.96%,
05/13/2031
(f)
95
98
United
States
Secured
Overnight
Financing
Rate
+
2.52%
3.11%,
04/22/2041
(f)
235
245
United
States
Secured
Overnight
Financing
Rate
+
2.46%
3.11%,
04/22/2051
(f)
235
237
United
States
Secured
Overnight
Financing
Rate
+
2.44%
3.20%,
01/25/2023
2,667
2,824
3.21%,
04/01/2023
(f)
500
519
3
Month
USD
LIBOR
+
0.70%
3.51%,
01/23/2029
(f)
200
218
3
Month
USD
LIBOR
+
0.95%
3.54%,
05/01/2028
(f)
500
547
3
Month
USD
LIBOR
+
1.38%
3.56%,
04/23/2024
(f)
75
80
3
Month
USD
LIBOR
+
0.73%
3.63%,
12/01/2027
500
546
3.80%,
07/23/2024
(f)
180
193
3
Month
USD
LIBOR
+
0.89%
3.88%,
02/01/2024
85
94
3.88%,
09/10/2024
75
82
3.88%,
07/24/2038
(f)
750
858
3
Month
USD
LIBOR
+
1.36%
3.90%,
07/15/2025
460
516
3.90%,
01/23/2049
(f)
830
956
3
Month
USD
LIBOR
+
1.22%
4.01%,
04/23/2029
(f)
350
395
3
Month
USD
LIBOR
+
1.12%
4.03%,
07/24/2048
(f)
600
705
3
Month
USD
LIBOR
+
1.46%
4.20%,
07/23/2029
(f)
230
263
3
Month
USD
LIBOR
+
1.26%
4.50%,
01/24/2022
100
106
5.60%,
07/15/2041
370
522
8.00%,
04/29/2027
1,000
1,347
KeyBank
NA/Cleveland
OH
1.25%,
03/10/2023
250
253
3.30%,
06/01/2025
500
549
KeyCorp
2.25%,
04/06/2027
110
110
2.55%,
10/01/2029
270
267
Korea
Development
Bank/The
1.75%,
02/18/2025
500
513
2.75%,
03/19/2023
500
522
Kreditanstalt
fuer
Wiederaufbau
0.00%,
04/18/2036
(d)
260
206
1.50%,
06/15/2021
610
617
2.00%,
05/02/2025
(e)
280
300
2.13%,
06/15/2022
2,500
2,594
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Kreditanstalt
fuer
Wiederaufbau
(continued)
2.13%,
01/17/2023
$
1,500
$
1,571
2.38%,
12/29/2022
440
463
2.50%,
02/15/2022
500
519
2.50%,
11/20/2024
500
545
2.88%,
04/03/2028
200
232
3.13%,
12/15/2021
(e)
750
783
Landwirtschaftliche
Rentenbank
2.38%,
06/10/2025
750
819
2.50%,
11/15/2027
500
564
Lloyds
Banking
Group
PLC
3.00%,
01/11/2022
800
824
3.90%,
03/12/2024
735
790
4.55%,
08/16/2028
400
457
4.58%,
12/10/2025
575
625
4.65%,
03/24/2026
475
522
Mitsubishi
UFJ
Financial
Group
Inc
2.19%,
02/25/2025
200
205
2.56%,
02/25/2030
200
206
2.62%,
07/18/2022
400
412
2.76%,
09/13/2026
500
530
2.80%,
07/18/2024
200
210
3.20%,
07/18/2029
200
215
3.75%,
07/18/2039
200
220
3.76%,
07/26/2023
1,000
1,071
Mizuho
Financial
Group
Inc
2.23%,
05/25/2026
(f)
200
203
3
Month
USD
LIBOR
+
0.83%
2.27%,
09/13/2021
300
306
2.72%,
07/16/2023
(f)
200
205
3
Month
USD
LIBOR
+
0.84%
2.84%,
07/16/2025
(f)
200
207
3
Month
USD
LIBOR
+
0.98%
3.15%,
07/16/2030
(f)
800
852
3
Month
USD
LIBOR
+
1.13%
Morgan
Stanley
2.19%,
04/28/2026
(f)
480
493
United
States
Secured
Overnight
Financing
Rate
+
1.99%
2.63%,
11/17/2021
750
770
2.70%,
01/22/2031
(f)
360
372
United
States
Secured
Overnight
Financing
Rate
+
1.14%
2.72%,
07/22/2025
(f)
255
267
United
States
Secured
Overnight
Financing
Rate
+
1.15%
2.75%,
05/19/2022
360
374
3.13%,
01/23/2023
220
232
3.13%,
07/27/2026
670
728
3.59%,
07/22/2028
(f)
90
99
3
Month
USD
LIBOR
+
1.34%
3.63%,
01/20/2027
95
105
3.70%,
10/23/2024
775
852
3.75%,
02/25/2023
150
161
3.77%,
01/24/2029
(f)
430
480
3
Month
USD
LIBOR
+
1.14%
3.88%,
04/29/2024
75
82
3.95%,
04/23/2027
60
67
4.00%,
07/23/2025
25
28
4.30%,
01/27/2045
320
389
4.35%,
09/08/2026
500
564
4.88%,
11/01/2022
650
705
5.00%,
11/24/2025
75
86
5.50%,
07/28/2021
510
537
6.38%,
07/24/2042
315
473
MUFG
Union
Bank
NA
3.15%,
04/01/2022
500
519
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
7
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
National
Australia
Bank
Ltd/New
York
1.88%,
12/13/2022
$
250
$
257
2.50%,
05/22/2022
650
673
Northern
Trust
Corp
1.95%,
05/01/2030
185
190
Oesterreichische
Kontrollbank
AG
2.38%,
10/01/2021
750
770
PNC
Bank
NA
1.74%,
02/24/2023
(f)
250
253
3
Month
USD
LIBOR
+
0.00%
2.23%,
07/22/2022
(f)
250
254
3
Month
USD
LIBOR
+
0.44%
2.70%,
11/01/2022
575
602
4.05%,
07/26/2028
400
460
PNC
Financial
Services
Group
Inc/The
2.20%,
11/01/2024
120
126
2.55%,
01/22/2030
160
170
2.60%,
07/23/2026
110
119
3.30%,
03/08/2022
750
785
3.45%,
04/23/2029
335
378
Royal
Bank
of
Canada
1.95%,
01/17/2023
265
273
2.25%,
11/01/2024
300
315
2.55%,
07/16/2024
145
153
4.65%,
01/27/2026
575
660
Royal
Bank
of
Scotland
Group
PLC
3.50%,
05/15/2023
(f)
400
411
3
Month
USD
LIBOR
+
1.48%
4.27%,
03/22/2025
(f)
795
849
3
Month
USD
LIBOR
+
1.76%
5.08%,
01/27/2030
(f)
400
469
3
Month
USD
LIBOR
+
1.91%
6.00%,
12/19/2023
475
523
6.13%,
12/15/2022
200
216
Santander
Holdings
USA
Inc
3.40%,
01/18/2023
75
77
3.70%,
03/28/2022
75
77
Santander
UK
Group
Holdings
PLC
3.57%,
01/10/2023
500
515
Santander
UK
PLC
2.10%,
01/13/2023
470
482
State
Street
Corp
2.35%,
11/01/2025
(f)
110
116
United
States
Secured
Overnight
Financing
Rate
+
0.94%
2.40%,
01/24/2030
160
170
2.65%,
05/19/2026
500
540
3.10%,
05/15/2023
50
53
3.30%,
12/16/2024
75
83
3.55%,
08/18/2025
275
310
3.70%,
11/20/2023
75
84
Sumitomo
Mitsui
Financial
Group
Inc
2.06%,
07/14/2021
590
599
2.35%,
01/15/2025
200
207
2.44%,
10/19/2021
700
718
2.70%,
07/16/2024
800
837
2.75%,
01/15/2030
200
208
2.78%,
07/12/2022
390
403
2.85%,
01/11/2022
1,090
1,120
3.01%,
10/19/2026
75
81
3.04%,
07/16/2029
200
212
3.36%,
07/12/2027
335
360
3.45%,
01/11/2027
165
178
Svenska
Handelsbanken
AB
1.88%,
09/07/2021
1,000
1,017
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Toronto-Dominion
Bank/The
1.90%,
12/01/2022
$
600
$
619
3.50%,
07/19/2023
500
546
3.62%,
09/15/2031
(f)
455
495
USD
Swap
Semi-Annual
5
Year
+
2.21%
Truist
Bank
1.25%,
03/09/2023
250
252
1.50%,
03/10/2025
250
255
2.15%,
12/06/2024
350
366
2.80%,
05/17/2022
335
349
3.80%,
10/30/2026
500
551
Truist
Financial
Corp
2.50%,
08/01/2024
340
357
4.00%,
05/01/2025
75
84
US
Bancorp
2.40%,
07/30/2024
190
201
3.00%,
03/15/2022
50
52
3.00%,
07/30/2029
975
1,056
3.15%,
04/27/2027
560
619
US
Bank
NA/Cincinnati
OH
1.95%,
01/09/2023
910
937
2.05%,
01/21/2025
300
314
Wells
Fargo
&
Co
1.65%,
06/02/2024
(f),(g)
220
221
United
States
Secured
Overnight
Financing
Rate
+
1.60%
2.10%,
07/26/2021
540
549
2.16%,
02/11/2026
(f)
885
896
3
Month
USD
LIBOR
+
0.75%
2.19%,
04/30/2026
(f)
485
492
United
States
Secured
Overnight
Financing
Rate
+
2.00%
2.39%,
06/02/2028
(f),(g)
220
222
United
States
Secured
Overnight
Financing
Rate
+
2.10%
2.41%,
10/30/2025
(f)
1,300
1,331
3
Month
USD
LIBOR
+
0.83%
2.57%,
02/11/2031
(f)
885
891
3
Month
USD
LIBOR
+
1.00%
3.00%,
04/22/2026
490
524
3.00%,
10/23/2026
590
629
3.07%,
04/30/2041
(f)
485
492
United
States
Secured
Overnight
Financing
Rate
+
2.53%
3.45%,
02/13/2023
535
563
3.55%,
09/29/2025
75
82
3.58%,
05/22/2028
(f)
375
407
3
Month
USD
LIBOR
+
1.31%
4.10%,
06/03/2026
535
586
4.15%,
01/24/2029
370
421
4.40%,
06/14/2046
350
396
4.48%,
04/04/2031
(f)
230
270
3
Month
USD
LIBOR
+
3.77%
4.65%,
11/04/2044
430
512
4.75%,
12/07/2046
250
295
4.90%,
11/17/2045
75
91
5.01%,
04/04/2051
(f)
310
405
3
Month
USD
LIBOR
+
4.24%
5.38%,
02/07/2035
325
426
5.38%,
11/02/2043
185
238
Wells
Fargo
Bank
NA
3.55%,
08/14/2023
400
432
Westpac
Banking
Corp
2.00%,
08/19/2021
60
61
2.00%,
01/13/2023
155
160
2.35%,
02/19/2025
150
158
2.65%,
01/16/2030
155
165
2.70%,
08/19/2026
500
539
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
8
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Westpac
Banking
Corp
(continued)
2.85%,
05/13/2026
$
535
$
581
2.89%,
02/04/2030
(f)
155
156
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
1.35%
4.11%,
07/24/2034
(f)
145
156
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.00%
4.42%,
07/24/2039
275
306
$
146,261
Beverages
-
0.84%
Anheuser-Busch
Cos
LLC
/
Anheuser-Busch
InBev
Worldwide
Inc
3.65%,
02/01/2026
1,295
1,436
4.70%,
02/01/2036
1,975
2,253
4.90%,
02/01/2046
875
1,013
Anheuser-Busch
InBev
Finance
Inc
3.30%,
02/01/2023
500
530
4.63%,
02/01/2044
75
84
Anheuser-Busch
InBev
Worldwide
Inc
3.50%,
06/01/2030
130
143
3.75%,
07/15/2042
750
767
4.00%,
04/13/2028
500
567
4.35%,
06/01/2040
130
145
4.38%,
04/15/2038
475
528
4.50%,
06/01/2050
130
146
4.60%,
04/15/2048
35
39
4.75%,
01/23/2029
470
555
4.75%,
04/15/2058
75
86
4.95%,
01/15/2042
25
29
5.45%,
01/23/2039
200
246
5.80%,
01/23/2059
210
276
8.20%,
01/15/2039
60
94
Coca-Cola
Co/The
1.45%,
06/01/2027
140
142
1.65%,
06/01/2030
140
141
1.75%,
09/06/2024
140
148
2.13%,
09/06/2029
180
189
2.50%,
06/01/2040
140
141
2.60%,
06/01/2050
140
138
2.90%,
05/25/2027
500
553
2.95%,
03/25/2025
310
342
3.38%,
03/25/2027
155
177
Constellation
Brands
Inc
3.15%,
08/01/2029
90
94
3.20%,
02/15/2023
1,130
1,200
4.10%,
02/15/2048
300
319
Diageo
Capital
PLC
2.13%,
10/24/2024
200
210
2.13%,
04/29/2032
200
202
2.38%,
10/24/2029
200
211
Diageo
Investment
Corp
2.88%,
05/11/2022
780
814
Keurig
Dr
Pepper
Inc
3.13%,
12/15/2023
500
536
4.06%,
05/25/2023
360
393
4.42%,
05/25/2025
75
85
4.99%,
05/25/2038
250
315
Molson
Coors
Beverage
Co
2.10%,
07/15/2021
500
505
3.00%,
07/15/2026
105
105
4.20%,
07/15/2046
250
236
PepsiCo
Inc
0.75%,
05/01/2023
95
96
1.63%,
05/01/2030
95
96
2.38%,
10/06/2026
590
640
2.63%,
07/29/2029
145
159
2.75%,
03/05/2022
355
371
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Beverages
(continued)
PepsiCo
Inc
(continued)
2.75%,
03/01/2023
$
75
$
80
2.85%,
02/24/2026
90
99
2.88%,
10/15/2049
145
153
3.00%,
10/15/2027
610
684
3.38%,
07/29/2049
645
738
3.60%,
08/13/2042
400
470
$
19,719
Biotechnology
-
0.32%
Amgen
Inc
1.90%,
02/21/2025
155
160
2.20%,
02/21/2027
395
411
2.25%,
08/19/2023
60
63
2.45%,
02/21/2030
155
161
2.65%,
05/11/2022
50
52
3.15%,
02/21/2040
155
163
3.38%,
02/21/2050
155
166
3.88%,
11/15/2021
414
429
4.66%,
06/15/2051
390
508
5.15%,
11/15/2041
225
298
5.75%,
03/15/2040
530
719
Baxalta
Inc
5.25%,
06/23/2045
250
336
Biogen
Inc
2.25%,
05/01/2030
370
376
4.05%,
09/15/2025
160
183
5.20%,
09/15/2045
30
40
Gilead
Sciences
Inc
1.95%,
03/01/2022
300
306
2.95%,
03/01/2027
240
265
3.50%,
02/01/2025
75
84
3.65%,
03/01/2026
75
85
3.70%,
04/01/2024
1,175
1,302
4.15%,
03/01/2047
25
32
4.60%,
09/01/2035
590
777
4.75%,
03/01/2046
425
569
$
7,485
Building
Materials
-
0.09%
Carrier
Global
Corp
1.92%,
02/15/2023
(h)
155
157
2.24%,
02/15/2025
(h)
155
155
2.49%,
02/15/2027
(h)
155
149
2.72%,
02/15/2030
(h)
310
295
3.38%,
04/05/2040
(h)
155
138
3.58%,
04/05/2050
(h)
155
138
Johnson
Controls
International
plc
5.13%,
09/14/2045
47
56
Martin
Marietta
Materials
Inc
2.50%,
03/15/2030
155
150
Masco
Corp
4.45%,
04/01/2025
300
327
Owens
Corning
4.30%,
07/15/2047
300
286
Vulcan
Materials
Co
3.50%,
06/01/2030
295
307
$
2,158
Chemicals
-
0.34%
Air
Products
and
Chemicals
Inc
1.85%,
05/15/2027
80
83
2.80%,
05/15/2050
155
162
Dow
Chemical
Co/The
3.50%,
10/01/2024
250
265
4.38%,
11/15/2042
610
671
9.40%,
05/15/2039
380
627
DuPont
de
Nemours
Inc
2.17%,
05/01/2023
125
128
4.21%,
11/15/2023
400
434
4.49%,
11/15/2025
250
283
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
9
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Chemicals
(continued)
DuPont
de
Nemours
Inc
(continued)
5.32%,
11/15/2038
$
145
$
184
5.42%,
11/15/2048
185
245
Eastman
Chemical
Co
4.65%,
10/15/2044
75
84
Ecolab
Inc
4.80%,
03/24/2030
155
194
5.50%,
12/08/2041
200
265
LYB
International
Finance
BV
4.88%,
03/15/2044
420
481
LYB
International
Finance
II
BV
3.50%,
03/02/2027
300
321
LYB
International
Finance
III
LLC
4.20%,
10/15/2049
160
170
Mosaic
Co/The
4.25%,
11/15/2023
300
309
5.45%,
11/15/2033
500
508
5.63%,
11/15/2043
25
26
Nutrien
Ltd
1.90%,
05/13/2023
95
97
3.00%,
04/01/2025
150
155
3.63%,
03/15/2024
550
589
5.25%,
01/15/2045
300
362
Praxair
Inc
2.20%,
08/15/2022
350
362
Sherwin-Williams
Co/The
2.30%,
05/15/2030
155
154
2.95%,
08/15/2029
300
318
3.30%,
05/15/2050
155
155
3.80%,
08/15/2049
125
136
Westlake
Chemical
Corp
5.00%,
08/15/2046
350
346
$
8,114
Commercial
Mortgage
Backed
Securities
-
1.66%
BANK
2018-BNK13
4.22%,
08/15/2061
(i)
1,250
1,448
CFCRE
Commercial
Mortgage
Trust
2017-C8
3.57%,
06/15/2050
1,000
1,091
Citigroup
Commercial
Mortgage
Trust
2013-GC15
4.37%,
09/10/2046
(i)
500
540
Citigroup
Commercial
Mortgage
Trust
2015-GC33
3.52%,
09/10/2058
1,000
1,073
COMM
2012-CCRE2
Mortgage
Trust
3.79%,
08/15/2045
200
204
COMM
2012-CCRE4
Mortgage
Trust
3.25%,
10/15/2045
500
505
COMM
2014-CCRE15
Mortgage
Trust
4.07%,
02/10/2047
(i)
500
539
COMM
2014-CCRE20
Mortgage
Trust
3.59%,
11/10/2047
302
323
COMM
2014-LC15
Mortgage
Trust
4.20%,
04/10/2047
350
364
COMM
2014-UBS3
Mortgage
Trust
3.82%,
06/10/2047
550
582
COMM
2015-DC1
Mortgage
Trust
3.08%,
02/10/2048
500
523
COMM
2015-LC19
Mortgage
Trust
3.18%,
02/10/2048
500
530
COMM
2015-PC1
Mortgage
Trust
3.90%,
07/10/2050
885
961
COMM
2016-CR28
Mortgage
Trust
3.76%,
02/10/2049
2,000
2,190
Fannie
Mae-Aces
2.30%,
09/25/2022
(i)
314
321
2.48%,
04/25/2022
233
238
2.51%,
11/25/2022
(i)
859
883
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
Fannie
Mae-Aces
(continued)
2.60%,
04/25/2023
(i)
$
65
$
67
2.82%,
04/25/2025
(i)
800
856
2.94%,
01/25/2026
(i)
1,601
1,716
2.98%,
12/25/2027
(i)
1,000
1,107
3.11%,
08/25/2024
(i)
901
968
3.38%,
07/25/2028
(i)
1,000
1,146
3.63%,
11/25/2028
(i)
250
288
Freddie
Mac
Multifamily
Structured
Pass
Through
Certificates
2.87%,
12/25/2021
317
325
3.02%,
02/25/2023
44
46
3.06%,
07/25/2023
(i)
150
160
3.17%,
10/25/2024
1,000
1,098
3.21%,
03/25/2025
1,248
1,380
3.24%,
04/25/2027
250
283
3.30%,
04/25/2023
(i)
500
535
3.41%,
12/25/2026
2,000
2,280
3.92%,
09/25/2028
(i)
1,000
1,192
GS
Mortgage
Securities
Trust
2011-GC5
3.71%,
08/10/2044
375
380
GS
Mortgage
Securities
Trust
2013-GCJ14
4.24%,
08/10/2046
50
54
GS
Mortgage
Securities
Trust
2015-GC28
3.40%,
02/10/2048
600
633
GS
Mortgage
Securities
Trust
2016-GS2
3.05%,
05/10/2049
1,000
1,060
JPMBB
Commercial
Mortgage
Securities
Trust
2013-C14
4.41%,
08/15/2046
(i)
500
522
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C18
4.08%,
02/15/2047
50
54
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C19
3.67%,
04/15/2047
500
508
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C11
4.15%,
08/15/2046
(i)
1,130
1,211
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C12
4.26%,
10/15/2046
(i)
500
530
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2014-C15
4.05%,
04/15/2047
580
625
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C20
3.25%,
02/15/2048
500
528
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C21
3.15%,
03/15/2048
543
561
Morgan
Stanley
Capital
I
Trust
2017-H1
3.26%,
06/15/2050
2,000
2,146
SG
Commercial
Mortgage
Securities
Trust
2016-C5
3.06%,
10/10/2048
950
989
UBS
Commercial
Mortgage
Trust
2012-C1
3.40%,
05/10/2045
64
65
UBS
Commercial
Mortgage
Trust
2018-C12
4.30%,
08/15/2051
2,000
2,307
UBS-Barclays
Commercial
Mortgage
Trust
2012-C3
3.09%,
08/10/2049
49
51
UBS-Barclays
Commercial
Mortgage
Trust
2012-C4
2.85%,
12/10/2045
100
102
WFRBS
Commercial
Mortgage
Trust
2012-C7
2.30%,
06/15/2045
53
53
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
10
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
WFRBS
Commercial
Mortgage
Trust
2013-C14
3.34%,
06/15/2046
$
500
$
523
WFRBS
Commercial
Mortgage
Trust
2014-C20
4.00%,
05/15/2047
500
535
$
39,199
Commercial
Services
-
0.23%
California
Institute
of
Technology
4.32%,
08/01/2045
50
64
4.70%,
11/01/2111
250
320
Global
Payments
Inc
2.65%,
02/15/2025
140
147
3.20%,
08/15/2029
140
148
4.15%,
08/15/2049
70
78
4.80%,
04/01/2026
560
644
IHS
Markit
Ltd
3.63%,
05/01/2024
223
233
Massachusetts
Institute
of
Technology
3.89%,
07/01/2116
375
469
3.96%,
07/01/2038
185
229
4.68%,
07/01/2114
100
144
Moody's
Corp
4.50%,
09/01/2022
500
536
5.25%,
07/15/2044
90
119
PayPal
Holdings
Inc
1.35%,
06/01/2023
155
158
1.65%,
06/01/2025
155
159
2.20%,
09/26/2022
145
150
2.30%,
06/01/2030
155
160
2.40%,
10/01/2024
145
153
2.85%,
10/01/2029
145
157
S&P
Global
Inc
2.50%,
12/01/2029
55
59
3.25%,
12/01/2049
55
59
4.00%,
06/15/2025
350
400
University
of
Southern
California
2.81%,
10/01/2050
675
694
5.25%,
10/01/2111
20
31
$
5,311
Computers
-
0.68%
Apple
Inc
0.75%,
05/11/2023
430
434
1.13%,
05/11/2025
550
559
1.65%,
05/11/2030
155
157
2.20%,
09/11/2029
180
193
2.40%,
01/13/2023
75
79
2.40%,
05/03/2023
75
79
2.45%,
08/04/2026
750
818
2.50%,
02/09/2022
105
109
2.65%,
05/11/2050
155
160
2.90%,
09/12/2027
410
459
2.95%,
09/11/2049
140
152
3.00%,
11/13/2027
300
338
3.20%,
05/11/2027
110
124
3.25%,
02/23/2026
825
931
3.35%,
02/09/2027
390
442
3.45%,
02/09/2045
375
433
3.75%,
09/12/2047
275
335
3.75%,
11/13/2047
195
236
3.85%,
05/04/2043
550
674
4.38%,
05/13/2045
80
105
4.65%,
02/23/2046
170
234
Dell
International
LLC
/
EMC
Corp
4.00%,
07/15/2024
(h)
300
312
4.42%,
06/15/2021
(h)
800
815
5.30%,
10/01/2029
(h)
300
326
5.45%,
06/15/2023
(h)
105
113
6.02%,
06/15/2026
(h)
300
340
8.10%,
07/15/2036
(h)
370
449
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Computers
(continued)
Dell
International
LLC
/
EMC
Corp
(continued)
8.35%,
07/15/2046
(h)
$
245
$
310
DXC
Technology
Co
4.75%,
04/15/2027
100
104
Hewlett
Packard
Enterprise
Co
2.25%,
04/01/2023
140
143
4.45%,
10/02/2023
160
173
4.90%,
10/15/2025
200
224
6.20%,
10/15/2035
75
90
6.35%,
10/15/2045
255
303
HP
Inc
6.00%,
09/15/2041
355
396
International
Business
Machines
Corp
2.50%,
01/27/2022
500
517
2.85%,
05/13/2022
500
523
3.00%,
05/15/2024
580
627
3.30%,
05/15/2026
500
558
3.45%,
02/19/2026
800
894
3.50%,
05/15/2029
500
570
4.00%,
06/20/2042
400
467
4.15%,
05/15/2039
195
232
4.25%,
05/15/2049
290
358
4.70%,
02/19/2046
145
192
$
16,087
Consumer
Products
-
0.05%
Church
&
Dwight
Co
Inc
3.95%,
08/01/2047
200
227
Clorox
Co/The
1.80%,
05/15/2030
155
156
3.80%,
11/15/2021
30
31
Kimberly-Clark
Corp
2.40%,
03/01/2022
30
31
2.75%,
02/15/2026
600
647
2.88%,
02/07/2050
155
166
$
1,258
Cosmetics
&
Personal
Care
-
0.07%
Estee
Lauder
Cos
Inc/The
2.00%,
12/01/2024
235
247
2.38%,
12/01/2029
235
249
Procter
&
Gamble
Co/The
2.45%,
11/03/2026
75
82
2.80%,
03/25/2027
155
172
3.55%,
03/25/2040
155
187
Unilever
Capital
Corp
2.13%,
09/06/2029
500
523
2.60%,
05/05/2024
200
214
$
1,674
Credit
Card
Asset
Backed
Securities
-
0.22%
BA
Credit
Card
Trust
2.70%,
07/17/2023
1,675
1,700
Capital
One
Multi-Asset
Execution
Trust
2.84%,
12/15/2024
1,000
1,041
Citibank
Credit
Card
Issuance
Trust
2.88%,
01/23/2023
605
614
Discover
Card
Execution
Note
Trust
2.39%,
07/15/2024
1,150
1,185
Synchrony
Credit
Card
Master
Note
Trust
2.21%,
05/15/2024
250
253
2.97%,
03/15/2024
445
450
$
5,243
Distribution
&
Wholesale
-
0.01%
WW
Grainger
Inc
4.60%,
06/15/2045
200
246
Diversified
Financial
Services
-
0.84%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
2.88%,
08/14/2024
1,610
1,333
3.95%,
02/01/2022
200
188
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
11
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
(continued)
Air
Lease
Corp
2.25%,
01/15/2023
$
195
$
182
2.30%,
02/01/2025
585
510
3.25%,
10/01/2029
385
322
Ally
Financial
Inc
8.00%,
11/01/2031
520
651
American
Express
Co
2.50%,
08/01/2022
1,075
1,116
2.50%,
07/30/2024
220
232
2.65%,
12/02/2022
75
78
2.75%,
05/20/2022
300
311
4.05%,
12/03/2042
600
703
American
Express
Credit
Corp
2.70%,
03/03/2022
75
78
Ameriprise
Financial
Inc
4.00%,
10/15/2023
775
858
BlackRock
Inc
2.40%,
04/30/2030
325
349
3.38%,
06/01/2022
30
32
Brookfield
Finance
Inc
4.85%,
03/29/2029
500
560
Brookfield
Finance
LLC
3.45%,
04/15/2050
155
130
Capital
One
Financial
Corp
3.20%,
02/05/2025
60
62
3.30%,
10/30/2024
75
78
3.50%,
06/15/2023
40
42
4.25%,
04/30/2025
1,250
1,362
4.75%,
07/15/2021
400
416
Charles
Schwab
Corp/The
3.00%,
03/10/2025
300
326
CME
Group
Inc
3.00%,
09/15/2022
50
53
3.00%,
03/15/2025
575
631
Discover
Financial
Services
4.10%,
02/09/2027
75
79
GE
Capital
International
Funding
Co
Unlimited
Co
3.37%,
11/15/2025
1,075
1,092
4.42%,
11/15/2035
1,175
1,174
Intercontinental
Exchange
Inc
2.10%,
06/15/2030
155
156
3.75%,
12/01/2025
75
85
4.00%,
10/15/2023
475
526
4.25%,
09/21/2048
105
128
Jefferies
Group
LLC
/
Jefferies
Group
Capital
Finance
Inc
4.15%,
01/23/2030
490
495
Lazard
Group
LLC
4.50%,
09/19/2028
300
320
Legg
Mason
Inc
4.75%,
03/15/2026
500
543
5.63%,
01/15/2044
25
30
Mastercard
Inc
2.00%,
03/03/2025
270
285
2.95%,
11/21/2026
300
332
3.35%,
03/26/2030
75
87
3.38%,
04/01/2024
150
166
3.85%,
03/26/2050
155
198
Private
Export
Funding
Corp
2.80%,
05/15/2022
500
522
Synchrony
Financial
4.25%,
08/15/2024
290
290
4.50%,
07/23/2025
575
580
Visa
Inc
1.90%,
04/15/2027
80
84
2.05%,
04/15/2030
155
162
2.70%,
04/15/2040
155
164
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
(continued)
Visa
Inc
(continued)
2.75%,
09/15/2027
$
95
$
105
2.80%,
12/14/2022
75
79
3.15%,
12/14/2025
470
528
3.65%,
09/15/2047
500
620
4.15%,
12/14/2035
305
394
$
19,827
Electric
-
1.98%
AEP
Texas
Inc
3.45%,
01/15/2050
50
53
3.95%,
06/01/2028
400
452
Alabama
Power
Co
4.30%,
07/15/2048
440
539
Ameren
Illinois
Co
2.70%,
09/01/2022
530
548
3.25%,
03/15/2050
75
80
American
Electric
Power
Co
Inc
2.30%,
03/01/2030
155
156
Arizona
Public
Service
Co
4.35%,
11/15/2045
400
465
Baltimore
Gas
and
Electric
Co
3.20%,
09/15/2049
315
334
Berkshire
Hathaway
Energy
Co
3.75%,
11/15/2023
750
822
3.80%,
07/15/2048
125
144
6.13%,
04/01/2036
450
651
CenterPoint
Energy
Houston
Electric
LLC
4.25%,
02/01/2049
300
371
CenterPoint
Energy
Inc
2.50%,
09/01/2024
60
62
2.95%,
03/01/2030
100
105
3.70%,
09/01/2049
60
63
Commonwealth
Edison
Co
3.00%,
03/01/2050
155
162
4.70%,
01/15/2044
150
194
Connecticut
Light
and
Power
Co/The
3.20%,
03/15/2027
140
154
Consolidated
Edison
Co
of
New
York
Inc
3.70%,
11/15/2059
80
88
3.88%,
06/15/2047
300
338
4.30%,
12/01/2056
445
534
6.75%,
04/01/2038
530
782
Consumers
Energy
Co
2.50%,
05/01/2060
155
146
3.10%,
08/15/2050
205
222
Dominion
Energy
Inc
3.38%,
04/01/2030
155
170
4.05%,
09/15/2042
500
543
Dominion
Energy
South
Carolina
Inc
5.45%,
02/01/2041
540
733
DTE
Electric
Co
2.25%,
03/01/2030
155
160
2.63%,
03/01/2031
155
166
3.70%,
03/15/2045
200
228
3.95%,
03/01/2049
300
362
DTE
Energy
Co
2.25%,
11/01/2022
145
150
Duke
Energy
Carolinas
LLC
2.45%,
08/15/2029
175
186
3.20%,
08/15/2049
200
217
4.00%,
09/30/2042
280
332
5.30%,
02/15/2040
250
340
6.00%,
12/01/2028
500
642
Duke
Energy
Corp
2.65%,
09/01/2026
90
96
3.15%,
08/15/2027
90
98
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
12
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Duke
Energy
Florida
LLC
2.50%,
12/01/2029
$
125
$
134
3.20%,
01/15/2027
500
551
3.40%,
10/01/2046
200
222
Duke
Energy
Indiana
LLC
2.75%,
04/01/2050
155
155
Duke
Energy
Ohio
Inc
2.13%,
06/01/2030
155
159
Duke
Energy
Progress
LLC
3.60%,
09/15/2047
610
687
4.38%,
03/30/2044
400
498
Emera
US
Finance
LP
3.55%,
06/15/2026
300
326
4.75%,
06/15/2046
75
85
Entergy
Louisiana
LLC
3.12%,
09/01/2027
300
323
3.25%,
04/01/2028
500
542
Entergy
Texas
Inc
4.00%,
03/30/2029
300
342
Evergy
Inc
2.45%,
09/15/2024
140
147
4.85%,
06/01/2021
30
31
Evergy
Metro
Inc
2.25%,
06/01/2030
155
159
4.13%,
04/01/2049
400
484
Exelon
Corp
3.40%,
04/15/2026
1,840
2,041
3.50%,
06/01/2022
90
94
4.95%,
06/15/2035
320
392
Exelon
Generation
Co
LLC
4.25%,
06/15/2022
500
527
FirstEnergy
Corp
3.90%,
07/15/2027
735
821
4.85%,
07/15/2047
475
599
7.38%,
11/15/2031
60
88
Florida
Power
&
Light
Co
2.75%,
06/01/2023
500
529
3.15%,
10/01/2049
180
202
3.70%,
12/01/2047
70
84
4.05%,
10/01/2044
145
180
5.65%,
02/01/2037
250
345
Fortis
Inc/Canada
3.06%,
10/04/2026
310
332
Georgia
Power
Co
2.20%,
09/15/2024
140
146
3.25%,
03/30/2027
750
812
Hydro-Quebec
8.05%,
07/07/2024
530
678
Interstate
Power
and
Light
Co
2.30%,
06/01/2030
(g)
40
40
Kentucky
Utilities
Co
3.30%,
06/01/2050
(g)
155
162
MidAmerican
Energy
Co
3.15%,
04/15/2050
145
156
3.65%,
04/15/2029
300
356
Mississippi
Power
Co
4.25%,
03/15/2042
30
33
National
Rural
Utilities
Cooperative
Finance
Corp
2.40%,
03/15/2030
430
448
2.85%,
01/27/2025
100
109
3.05%,
02/15/2022
530
549
Nevada
Power
Co
2.40%,
05/01/2030
445
468
NextEra
Energy
Capital
Holdings
Inc
2.25%,
06/01/2030
250
256
2.40%,
09/01/2021
765
783
2.75%,
11/01/2029
105
113
3.55%,
05/01/2027
475
534
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
NextEra
Energy
Capital
Holdings
Inc
(continued)
5.65%,
05/01/2079
(f)
$
350
$
379
3
Month
USD
LIBOR
+
3.16%
Northern
States
Power
Co/MN
2.90%,
03/01/2050
70
74
5.35%,
11/01/2039
30
41
NSTAR
Electric
Co
2.38%,
10/15/2022
500
518
3.20%,
05/15/2027
300
333
Oncor
Electric
Delivery
Co
LLC
3.10%,
09/15/2049
195
211
5.25%,
09/30/2040
530
716
PacifiCorp
6.00%,
01/15/2039
500
704
PECO
Energy
Co
2.38%,
09/15/2022
330
339
3.70%,
09/15/2047
297
352
4.15%,
10/01/2044
400
490
Potomac
Electric
Power
Co
3.60%,
03/15/2024
30
33
PPL
Capital
Funding
Inc
3.50%,
12/01/2022
700
732
PPL
Electric
Utilities
Corp
3.00%,
10/01/2049
70
73
3.95%,
06/01/2047
300
355
Progress
Energy
Inc
3.15%,
04/01/2022
40
41
PSEG
Power
LLC
8.63%,
04/15/2031
300
413
Public
Service
Co
of
Colorado
2.70%,
01/15/2051
95
96
3.70%,
06/15/2028
200
229
3.80%,
06/15/2047
400
465
Public
Service
Electric
and
Gas
Co
2.45%,
01/15/2030
155
164
3.15%,
01/01/2050
155
170
3.25%,
09/01/2023
200
216
3.65%,
09/01/2028
200
231
Puget
Energy
Inc
6.00%,
09/01/2021
500
526
Puget
Sound
Energy
Inc
3.25%,
09/15/2049
350
368
San
Diego
Gas
&
Electric
Co
3.32%,
04/15/2050
155
165
4.50%,
08/15/2040
350
420
Sempra
Energy
4.00%,
02/01/2048
70
78
6.00%,
10/15/2039
394
522
Southern
California
Edison
Co
2.25%,
06/01/2030
155
154
2.85%,
08/01/2029
100
104
3.65%,
02/01/2050
310
326
4.00%,
04/01/2047
70
77
4.65%,
10/01/2043
415
485
5.50%,
03/15/2040
350
455
5.95%,
02/01/2038
30
39
Southern
Co/The
2.35%,
07/01/2021
430
437
2.95%,
07/01/2023
105
111
4.40%,
07/01/2046
400
473
Southern
Power
Co
2.50%,
12/15/2021
300
308
4.95%,
12/15/2046
300
317
Southwestern
Electric
Power
Co
3.85%,
02/01/2048
300
318
4.10%,
09/15/2028
500
564
6.20%,
03/15/2040
390
527
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
13
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Southwestern
Public
Service
Co
4.50%,
08/15/2041
$
300
$
362
Tampa
Electric
Co
4.45%,
06/15/2049
300
380
Union
Electric
Co
3.65%,
04/15/2045
500
564
Virginia
Electric
and
Power
Co
3.15%,
01/15/2026
775
857
3.30%,
12/01/2049
(e)
560
623
WEC
Energy
Group
Inc
3.55%,
06/15/2025
70
77
Wisconsin
Electric
Power
Co
2.05%,
12/15/2024
500
519
Xcel
Energy
Inc
2.60%,
12/01/2029
140
146
4.00%,
06/15/2028
300
346
$
46,633
Electronics
-
0.07%
Arrow
Electronics
Inc
4.50%,
03/01/2023
30
32
Honeywell
International
Inc
1.35%,
06/01/2025
80
81
1.95%,
06/01/2030
315
323
2.15%,
08/08/2022
70
73
2.30%,
08/15/2024
595
632
2.70%,
08/15/2029
70
77
2.80%,
06/01/2050
155
163
Roper
Technologies
Inc
2.35%,
09/15/2024
90
93
2.95%,
09/15/2029
75
80
Tyco
Electronics
Group
SA
7.13%,
10/01/2037
37
55
$
1,609
Environmental
Control
-
0.11%
Republic
Services
Inc
2.30%,
03/01/2030
85
87
2.50%,
08/15/2024
515
545
2.90%,
07/01/2026
535
580
Waste
Management
Inc
3.50%,
05/15/2024
1,000
1,091
4.15%,
07/15/2049
155
190
$
2,493
Finance
-
Mortgage
Loan/Banker
-
0.76%
Fannie
Mae
1.38%,
09/06/2022
300
308
2.00%,
01/05/2022
500
514
2.13%,
04/24/2026
1,000
1,087
2.25%,
04/12/2022
500
519
2.50%,
02/05/2024
500
540
2.63%,
01/11/2022
500
519
2.63%,
09/06/2024
1,550
1,697
5.63%,
07/15/2037
65
105
6.63%,
11/15/2030
500
776
7.13%,
01/15/2030
250
390
7.25%,
05/15/2030
249
396
Federal
Home
Loan
Banks
1.13%,
07/14/2021
950
960
1.88%,
11/29/2021
1,250
1,282
2.50%,
02/13/2024
1,900
2,048
3.00%,
10/12/2021
1,500
1,558
3.25%,
11/16/2028
(e)
1,000
1,191
5.50%,
07/15/2036
530
827
5.63%,
06/11/2021
65
69
Freddie
Mac
2.38%,
01/13/2022
1,250
1,294
2.75%,
06/19/2023
1,000
1,076
6.25%,
07/15/2032
500
787
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Finance
-
Mortgage
Loan/Banker
(continued)
Freddie
Mac
(continued)
6.75%,
03/15/2031
$
43
$
68
$
18,011
Food
-
0.34%
Campbell
Soup
Co
3.95%,
03/15/2025
565
627
4.15%,
03/15/2028
185
212
Conagra
Brands
Inc
4.30%,
05/01/2024
500
551
4.85%,
11/01/2028
140
166
5.30%,
11/01/2038
85
108
5.40%,
11/01/2048
85
113
General
Mills
Inc
3.15%,
12/15/2021
30
31
3.70%,
10/17/2023
475
518
4.00%,
04/17/2025
75
85
4.20%,
04/17/2028
150
175
Hershey
Co/The
1.70%,
06/01/2030
(g)
155
156
2.65%,
06/01/2050
(g)
185
188
JM
Smucker
Co/The
3.00%,
03/15/2022
300
308
4.25%,
03/15/2035
300
347
Kellogg
Co
2.10%,
06/01/2030
(g)
155
155
2.65%,
12/01/2023
384
405
Koninklijke
Ahold
Delhaize
NV
5.70%,
10/01/2040
9
12
Kroger
Co/The
2.95%,
11/01/2021
500
515
3.95%,
01/15/2050
420
472
4.45%,
02/01/2047
25
30
5.15%,
08/01/2043
300
384
5.40%,
07/15/2040
30
39
Mondelez
International
Inc
2.13%,
04/13/2023
230
238
2.75%,
04/13/2030
185
195
Sysco
Corp
2.40%,
02/15/2030
285
266
3.30%,
07/15/2026
500
515
Tyson
Foods
Inc
3.55%,
06/02/2027
75
84
4.35%,
03/01/2029
675
800
4.88%,
08/15/2034
350
423
$
8,118
Forest
Products
&
Paper
-
0.10%
Fibria
Overseas
Finance
Ltd
5.50%,
01/17/2027
300
310
Georgia-Pacific
LLC
7.75%,
11/15/2029
20
29
8.00%,
01/15/2024
400
491
International
Paper
Co
3.65%,
06/15/2024
250
274
4.40%,
08/15/2047
350
391
7.30%,
11/15/2039
326
461
Suzano
Austria
GmbH
5.00%,
01/15/2030
350
344
$
2,300
Gas
-
0.11%
Atmos
Energy
Corp
3.38%,
09/15/2049
145
162
4.13%,
10/15/2044
250
301
Dominion
Energy
Gas
Holdings
LLC
2.50%,
11/15/2024
150
156
4.60%,
12/15/2044
200
215
NiSource
Inc
3.60%,
05/01/2030
160
181
4.38%,
05/15/2047
630
750
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
14
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Gas
(continued)
Southern
California
Gas
Co
2.55%,
02/01/2030
$
155
$
165
Washington
Gas
Light
Co
3.80%,
09/15/2046
500
551
$
2,481
Hand
&
Machine
Tools
-
0.04%
Snap-on
Inc
3.25%,
03/01/2027
500
538
Stanley
Black
&
Decker
Inc
2.30%,
03/15/2030
155
159
3.40%,
12/01/2021
250
258
$
955
Healthcare
-
Products
-
0.27%
Abbott
Laboratories
4.75%,
04/15/2043
300
398
4.90%,
11/30/2046
400
564
Baxter
International
Inc
2.60%,
08/15/2026
400
431
Boston
Scientific
Corp
1.90%,
06/01/2025
155
158
2.65%,
06/01/2030
155
161
Danaher
Corp
4.38%,
09/15/2045
300
369
DH
Europe
Finance
II
Sarl
2.05%,
11/15/2022
150
155
2.60%,
11/15/2029
150
158
3.25%,
11/15/2039
150
164
Koninklijke
Philips
NV
5.00%,
03/15/2042
30
37
Medtronic
Inc
3.50%,
03/15/2025
394
446
4.38%,
03/15/2035
222
283
4.63%,
03/15/2045
86
116
Stryker
Corp
3.38%,
11/01/2025
75
84
3.50%,
03/15/2026
575
647
4.38%,
05/15/2044
25
31
Thermo
Fisher
Scientific
Inc
2.60%,
10/01/2029
145
156
2.95%,
09/19/2026
300
329
4.13%,
03/25/2025
155
176
4.15%,
02/01/2024
600
668
Zimmer
Biomet
Holdings
Inc
3.15%,
04/01/2022
275
284
3.55%,
04/01/2025
575
619
$
6,434
Healthcare
-
Services
-
0.65%
Advocate
Health
&
Hospitals
Corp
3.83%,
08/15/2028
300
338
Aetna
Inc
2.75%,
11/15/2022
250
259
2.80%,
06/15/2023
50
52
3.88%,
08/15/2047
60
66
6.63%,
06/15/2036
253
354
6.75%,
12/15/2037
205
290
AHS
Hospital
Corp
5.02%,
07/01/2045
400
513
Anthem
Inc
2.88%,
09/15/2029
220
238
3.13%,
05/15/2050
75
77
3.50%,
08/15/2024
450
492
3.65%,
12/01/2027
360
408
4.10%,
03/01/2028
255
296
4.38%,
12/01/2047
300
365
4.65%,
01/15/2043
30
37
4.65%,
08/15/2044
500
623
Baylor
Scott
&
White
Holdings
4.19%,
11/15/2045
125
158
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
(continued)
Duke
University
Health
System
Inc
3.92%,
06/01/2047
$
300
$
369
HCA
Inc
4.75%,
05/01/2023
500
541
5.25%,
06/15/2026
970
1,103
Humana
Inc
3.13%,
08/15/2029
70
75
4.50%,
04/01/2025
155
175
4.63%,
12/01/2042
500
614
Kaiser
Foundation
Hospitals
3.27%,
11/01/2049
225
244
Laboratory
Corp
of
America
Holdings
2.30%,
12/01/2024
300
313
2.95%,
12/01/2029
300
316
4.70%,
02/01/2045
250
302
Memorial
Sloan-Kettering
Cancer
Center
4.13%,
07/01/2052
150
187
4.20%,
07/01/2055
250
314
Northwell
Healthcare
Inc
3.98%,
11/01/2046
500
506
Partners
Healthcare
System
Inc
3.19%,
07/01/2049
310
316
Providence
St
Joseph
Health
Obligated
Group
3.74%,
10/01/2047
250
285
Quest
Diagnostics
Inc
2.95%,
06/30/2030
155
163
Trinity
Health
Corp
4.13%,
12/01/2045
250
289
UnitedHealth
Group
Inc
1.25%,
01/15/2026
155
157
2.00%,
05/15/2030
155
160
2.38%,
08/15/2024
250
265
2.75%,
05/15/2040
155
162
2.88%,
03/15/2023
250
266
2.88%,
08/15/2029
150
167
2.90%,
05/15/2050
155
161
3.10%,
03/15/2026
250
278
3.50%,
08/15/2039
375
433
3.70%,
08/15/2049
300
355
3.75%,
07/15/2025
440
503
4.25%,
06/15/2048
110
140
4.45%,
12/15/2048
95
125
4.75%,
07/15/2045
500
671
6.50%,
06/15/2037
500
760
$
15,281
Home
Furnishings
-
0.01%
Leggett
&
Platt
Inc
4.40%,
03/15/2029
250
262
Insurance
-
0.81%
Aflac
Inc
3.63%,
11/15/2024
300
335
Alleghany
Corp
4.90%,
09/15/2044
325
367
Allstate
Corp/The
3.28%,
12/15/2026
335
372
5.35%,
06/01/2033
350
470
American
International
Group
Inc
3.75%,
07/10/2025
75
82
3.90%,
04/01/2026
500
550
4.20%,
04/01/2028
485
540
4.25%,
03/15/2029
300
333
4.38%,
01/15/2055
300
325
4.50%,
07/16/2044
75
84
4.88%,
06/01/2022
955
1,027
5.75%,
04/01/2048
(f)
400
406
3
Month
USD
LIBOR
+
2.87%
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
15
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Aon
Corp
2.20%,
11/15/2022
$
60
$
62
2.80%,
05/15/2030
155
163
Aon
PLC
3.50%,
06/14/2024
250
270
4.75%,
05/15/2045
270
335
Athene
Holding
Ltd
4.13%,
01/12/2028
575
557
AXA
SA
8.60%,
12/15/2030
30
42
Berkshire
Hathaway
Finance
Corp
1.85%,
03/12/2030
80
82
4.20%,
08/15/2048
180
224
5.75%,
01/15/2040
25
36
Berkshire
Hathaway
Inc
2.75%,
03/15/2023
60
64
3.13%,
03/15/2026
275
307
3.75%,
08/15/2021
750
784
4.50%,
02/11/2043
350
460
Brown
&
Brown
Inc
4.50%,
03/15/2029
300
313
Chubb
Corp/The
6.50%,
05/15/2038
326
478
Chubb
INA
Holdings
Inc
2.70%,
03/13/2023
300
316
CNA
Financial
Corp
5.75%,
08/15/2021
40
42
Equitable
Holdings
Inc
4.35%,
04/20/2028
140
150
5.00%,
04/20/2048
90
93
First
American
Financial
Corp
4.60%,
11/15/2024
300
319
Hartford
Financial
Services
Group
Inc/The
3.60%,
08/19/2049
140
144
Lincoln
National
Corp
3.40%,
01/15/2031
450
469
Manulife
Financial
Corp
4.15%,
03/04/2026
300
342
Marsh
&
McLennan
Cos
Inc
4.38%,
03/15/2029
1,275
1,509
4.90%,
03/15/2049
110
147
MetLife
Inc
3.60%,
11/13/2025
400
453
4.05%,
03/01/2045
450
516
4.13%,
08/13/2042
250
287
4.60%,
05/13/2046
195
243
4.88%,
11/13/2043
50
64
6.40%,
12/15/2066
430
498
3
Month
USD
LIBOR
+
2.21%
Progressive
Corp/The
3.20%,
03/26/2030
155
173
3.75%,
08/23/2021
30
31
4.20%,
03/15/2048
400
518
4.35%,
04/25/2044
30
38
Prudential
Financial
Inc
2.10%,
03/10/2030
(e)
155
155
3.70%,
03/13/2051
185
195
3.91%,
12/07/2047
570
607
4.35%,
02/25/2050
565
651
5.20%,
03/15/2044
(f)
400
403
3
Month
USD
LIBOR
+
3.04%
5.70%,
12/14/2036
280
368
Reinsurance
Group
of
America
Inc
4.70%,
09/15/2023
30
32
Travelers
Cos
Inc/The
4.00%,
05/30/2047
560
685
Voya
Financial
Inc
3.65%,
06/15/2026
335
360
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Willis
North
America
Inc
2.95%,
09/15/2029
$
50
$
51
3.88%,
09/15/2049
140
150
$
19,077
Internet
-
0.27%
Alibaba
Group
Holding
Ltd
3.40%,
12/06/2027
260
288
3.60%,
11/28/2024
1,325
1,440
4.40%,
12/06/2057
240
302
Amazon.com
Inc
2.50%,
11/29/2022
75
79
2.80%,
08/22/2024
75
82
3.15%,
08/22/2027
485
550
3.80%,
12/05/2024
75
85
3.88%,
08/22/2037
1,005
1,231
4.25%,
08/22/2057
75
104
4.80%,
12/05/2034
350
474
Baidu
Inc
3.08%,
04/07/2025
200
208
4.13%,
06/30/2025
650
708
eBay
Inc
1.90%,
03/11/2025
155
156
2.60%,
07/15/2022
450
464
3.45%,
08/01/2024
60
65
4.00%,
07/15/2042
20
21
$
6,257
Iron
&
Steel
-
0.06%
Nucor
Corp
2.00%,
06/01/2025
155
158
4.00%,
08/01/2023
250
270
Steel
Dynamics
Inc
2.80%,
12/15/2024
75
76
Vale
Overseas
Ltd
6.25%,
08/10/2026
200
229
6.88%,
11/10/2039
550
689
$
1,422
Leisure
Products
&
Services
-
0.01%
Harley-Davidson
Inc
3.50%,
07/28/2025
300
303
Lodging
-
0.08%
Las
Vegas
Sands
Corp
3.20%,
08/08/2024
140
136
3.50%,
08/18/2026
70
67
3.90%,
08/08/2029
140
133
Marriott
International
Inc/MD
2.30%,
01/15/2022
350
345
Sands
China
Ltd
5.13%,
08/08/2025
1,185
1,247
$
1,928
Machinery
-
Construction
&
Mining
-
0.11%
Caterpillar
Financial
Services
Corp
1.70%,
08/09/2021
250
253
1.90%,
09/06/2022
360
370
1.93%,
10/01/2021
500
507
1.95%,
11/18/2022
580
599
Caterpillar
Inc
2.60%,
04/09/2030
160
173
3.25%,
09/19/2049
145
161
3.40%,
05/15/2024
500
549
3.80%,
08/15/2042
50
59
$
2,671
Machinery
-
Diversified
-
0.17%
Deere
&
Co
2.88%,
09/07/2049
140
146
3.10%,
04/15/2030
155
176
3.90%,
06/09/2042
500
613
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
16
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Machinery
-
Diversified
(continued)
Dover
Corp
5.38%,
03/01/2041
$
30
$
37
John
Deere
Capital
Corp
1.20%,
04/06/2023
115
117
1.95%,
06/13/2022
865
890
2.05%,
01/09/2025
(e)
155
163
2.80%,
03/06/2023
500
530
2.80%,
07/18/2029
255
281
3.35%,
06/12/2024
300
328
Otis
Worldwide
Corp
2.06%,
04/05/2025
(h)
155
159
2.57%,
02/15/2030
(h)
155
157
3.36%,
02/15/2050
(h)
155
156
Westinghouse
Air
Brake
Technologies
Corp
4.95%,
09/15/2028
300
315
$
4,068
Media
-
1.04%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
2.80%,
04/01/2031
110
110
3.70%,
04/01/2051
110
105
4.46%,
07/23/2022
1,075
1,144
4.80%,
03/01/2050
260
290
4.91%,
07/23/2025
70
80
5.38%,
04/01/2038
50
60
5.38%,
05/01/2047
575
682
5.75%,
04/01/2048
280
344
6.38%,
10/23/2035
805
1,054
Comcast
Cable
Communications
Holdings
Inc
9.46%,
11/15/2022
20
24
Comcast
Corp
2.35%,
01/15/2027
155
164
2.65%,
02/01/2030
115
122
2.75%,
03/01/2023
50
53
2.85%,
01/15/2023
25
27
3.10%,
04/01/2025
155
169
3.13%,
07/15/2022
610
645
3.15%,
03/01/2026
75
83
3.15%,
02/15/2028
365
401
3.25%,
11/01/2039
230
252
3.38%,
02/15/2025
635
704
3.38%,
08/15/2025
300
333
3.45%,
02/01/2050
470
524
3.55%,
05/01/2028
225
255
3.75%,
04/01/2040
455
519
3.90%,
03/01/2038
290
339
3.97%,
11/01/2047
105
124
4.00%,
03/01/2048
200
238
4.00%,
11/01/2049
205
243
4.05%,
11/01/2052
90
108
4.15%,
10/15/2028
545
645
4.50%,
01/15/2043
25
31
4.60%,
08/15/2045
270
342
4.65%,
07/15/2042
75
95
4.70%,
10/15/2048
570
743
5.65%,
06/15/2035
500
706
6.40%,
03/01/2040
500
735
6.45%,
03/15/2037
620
906
Discovery
Communications
LLC
2.95%,
03/20/2023
40
42
3.63%,
05/15/2030
60
63
3.95%,
06/15/2025
350
378
3.95%,
03/20/2028
500
539
5.00%,
09/20/2037
30
33
5.20%,
09/20/2047
385
428
6.35%,
06/01/2040
40
49
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
Fox
Corp
3.05%,
04/07/2025
$
40
$
43
4.03%,
01/25/2024
300
330
4.71%,
01/25/2029
435
509
5.48%,
01/25/2039
110
141
5.58%,
01/25/2049
140
188
Grupo
Televisa
SAB
5.00%,
05/13/2045
300
315
NBCUniversal
Media
LLC
2.88%,
01/15/2023
10
11
Thomson
Reuters
Corp
3.35%,
05/15/2026
400
424
5.85%,
04/15/2040
30
37
Time
Warner
Cable
LLC
4.00%,
09/01/2021
55
56
4.50%,
09/15/2042
665
713
5.88%,
11/15/2040
400
492
6.55%,
05/01/2037
50
64
7.30%,
07/01/2038
60
80
Time
Warner
Entertainment
Co
LP
8.38%,
07/15/2033
20
29
TWDC
Enterprises
18
Corp
2.75%,
08/16/2021
35
36
7.00%,
03/01/2032
30
43
ViacomCBS
Inc
4.20%,
06/01/2029
300
320
4.20%,
05/19/2032
505
528
4.38%,
03/15/2043
400
382
4.85%,
07/01/2042
300
297
7.88%,
07/30/2030
30
41
Walt
Disney
Co/The
1.75%,
01/13/2026
440
452
2.00%,
09/01/2029
250
253
2.20%,
01/13/2028
155
162
2.65%,
01/13/2031
300
319
2.75%,
09/01/2049
285
277
3.35%,
03/24/2025
380
419
3.38%,
11/15/2026
170
190
3.50%,
05/13/2040
155
170
3.60%,
01/13/2051
155
172
3.70%,
03/23/2027
380
431
4.63%,
03/23/2040
760
947
4.75%,
11/15/2046
390
510
6.40%,
12/15/2035
179
264
$
24,576
Metal
Fabrication
&
Hardware
-
0.01%
Precision
Castparts
Corp
3.25%,
06/15/2025
75
83
3.90%,
01/15/2043
193
214
$
297
Mining
-
0.15%
Barrick
North
America
Finance
LLC
5.75%,
05/01/2043
280
385
BHP
Billiton
Finance
USA
Ltd
4.13%,
02/24/2042
170
208
5.00%,
09/30/2043
525
730
Newmont
Corp
2.25%,
10/01/2030
410
406
3.63%,
06/09/2021
30
31
3.70%,
03/15/2023
66
68
6.25%,
10/01/2039
100
139
Rio
Tinto
Alcan
Inc
5.75%,
06/01/2035
400
569
6.13%,
12/15/2033
30
42
Rio
Tinto
Finance
USA
Ltd
3.75%,
06/15/2025
75
86
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
17
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mining
(continued)
Southern
Copper
Corp
3.88%,
04/23/2025
$
500
$
533
5.88%,
04/23/2045
350
423
$
3,620
Miscellaneous
Manufacturers
-
0.31%
3M
Co
1.75%,
02/14/2023
585
606
2.00%,
02/14/2025
340
356
2.38%,
08/26/2029
990
1,049
3.25%,
08/26/2049
100
111
Eaton
Corp
2.75%,
11/02/2022
520
544
4.15%,
11/02/2042
95
112
General
Electric
Co
3.10%,
01/09/2023
75
77
3.15%,
09/07/2022
500
512
3.45%,
05/01/2027
80
79
3.63%,
05/01/2030
140
138
4.13%,
10/09/2042
3
3
4.25%,
05/01/2040
80
78
4.35%,
05/01/2050
145
142
5.88%,
01/14/2038
420
469
6.15%,
08/07/2037
435
498
6.75%,
03/15/2032
310
371
Illinois
Tool
Works
Inc
2.65%,
11/15/2026
90
100
3.50%,
03/01/2024
540
592
Ingersoll-Rand
Luxembourg
Finance
SA
3.50%,
03/21/2026
250
269
Parker-Hannifin
Corp
3.30%,
11/21/2024
300
320
3.50%,
09/15/2022
30
31
4.10%,
03/01/2047
335
379
Textron
Inc
4.00%,
03/15/2026
500
515
$
7,351
Oil
&
Gas
-
1.27%
BP
Capital
Markets
America
Inc
2.94%,
04/06/2023
130
137
3.00%,
02/24/2050
155
151
3.12%,
05/04/2026
110
120
3.19%,
04/06/2025
215
234
3.25%,
05/06/2022
640
668
3.54%,
04/06/2027
215
236
3.59%,
04/14/2027
200
222
3.79%,
02/06/2024
435
473
BP
Capital
Markets
PLC
2.50%,
11/06/2022
75
78
3.28%,
09/19/2027
115
125
3.51%,
03/17/2025
75
83
3.72%,
11/28/2028
380
427
Canadian
Natural
Resources
Ltd
3.80%,
04/15/2024
470
495
6.25%,
03/15/2038
400
452
Chevron
Corp
1.14%,
05/11/2023
535
545
1.55%,
05/11/2025
535
549
2.00%,
05/11/2027
155
162
2.24%,
05/11/2030
155
163
2.98%,
05/11/2040
40
43
3.08%,
05/11/2050
155
168
3.33%,
11/17/2025
165
185
CNOOC
Finance
2013
Ltd
2.88%,
09/30/2029
200
210
CNOOC
Finance
2014
ULC
4.25%,
04/30/2024
500
548
Concho
Resources
Inc
4.88%,
10/01/2047
175
193
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
ConocoPhillips
6.50%,
02/01/2039
$
490
$
709
ConocoPhillips
Co
4.95%,
03/15/2026
500
595
ConocoPhillips
Holding
Co
6.95%,
04/15/2029
400
550
Devon
Energy
Corp
5.00%,
06/15/2045
75
67
5.60%,
07/15/2041
570
529
Diamondback
Energy
Inc
2.88%,
12/01/2024
150
146
3.25%,
12/01/2026
150
146
Ecopetrol
SA
5.88%,
09/18/2023
390
422
5.88%,
05/28/2045
400
416
EOG
Resources
Inc
2.63%,
03/15/2023
480
500
4.15%,
01/15/2026
500
568
Equinor
ASA
1.75%,
01/22/2026
155
158
2.88%,
04/06/2025
155
167
3.00%,
04/06/2027
155
168
3.15%,
01/23/2022
1,800
1,864
3.25%,
11/18/2049
190
200
3.63%,
04/06/2040
155
174
Exxon
Mobil
Corp
1.57%,
04/15/2023
235
242
1.90%,
08/16/2022
400
412
2.02%,
08/16/2024
200
209
2.28%,
08/16/2026
400
428
2.61%,
10/15/2030
315
334
2.99%,
03/19/2025
315
344
3.00%,
08/16/2039
150
156
3.10%,
08/16/2049
450
468
3.45%,
04/15/2051
155
171
4.23%,
03/19/2040
315
383
Hess
Corp
4.30%,
04/01/2027
300
302
7.13%,
03/15/2033
21
23
7.30%,
08/15/2031
349
375
HollyFrontier
Corp
5.88%,
04/01/2026
500
542
Husky
Energy
Inc
4.00%,
04/15/2024
500
500
Marathon
Oil
Corp
2.80%,
11/01/2022
75
73
3.85%,
06/01/2025
500
474
4.40%,
07/15/2027
300
278
Marathon
Petroleum
Corp
3.63%,
09/15/2024
145
151
5.00%,
09/15/2054
200
193
Newfield
Exploration
Co
5.63%,
07/01/2024
300
273
Nexen
Inc
6.40%,
05/15/2037
730
1,015
7.50%,
07/30/2039
39
61
Noble
Energy
Inc
3.25%,
10/15/2029
290
252
4.20%,
10/15/2049
570
463
Phillips
66
3.85%,
04/09/2025
95
104
4.30%,
04/01/2022
75
80
4.88%,
11/15/2044
400
498
5.88%,
05/01/2042
30
41
Shell
International
Finance
BV
2.00%,
11/07/2024
150
156
2.38%,
04/06/2025
105
112
2.38%,
11/07/2029
150
157
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
18
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
Shell
International
Finance
BV
(continued)
2.75%,
04/06/2030
$
105
$
114
2.88%,
05/10/2026
155
169
3.13%,
11/07/2049
150
155
3.25%,
05/11/2025
355
392
3.25%,
04/06/2050
105
112
3.50%,
11/13/2023
235
256
3.88%,
11/13/2028
235
272
4.13%,
05/11/2035
335
411
4.38%,
05/11/2045
575
711
6.38%,
12/15/2038
410
629
Suncor
Energy
Inc
2.80%,
05/15/2023
155
159
4.00%,
11/15/2047
450
462
6.80%,
05/15/2038
364
450
6.85%,
06/01/2039
73
94
Total
Capital
International
SA
2.22%,
07/12/2021
500
507
2.83%,
01/10/2030
130
139
3.13%,
05/29/2050
155
157
3.46%,
02/19/2029
500
557
3.46%,
07/12/2049
75
81
Valero
Energy
Corp
4.00%,
04/01/2029
585
645
6.63%,
06/15/2037
60
78
7.50%,
04/15/2032
60
79
$
29,945
Oil
&
Gas
Services
-
0.10%
Baker
Hughes
a
GE
Co
LLC
/
Baker
Hughes
Co-
Obligor
Inc
2.77%,
12/15/2022
75
78
3.14%,
11/07/2029
150
151
3.34%,
12/15/2027
135
140
Halliburton
Co
3.25%,
11/15/2021
530
537
3.80%,
11/15/2025
14
15
4.85%,
11/15/2035
400
405
5.00%,
11/15/2045
230
229
7.45%,
09/15/2039
26
32
National
Oilwell
Varco
Inc
2.60%,
12/01/2022
135
133
3.60%,
12/01/2029
150
140
3.95%,
12/01/2042
400
308
Schlumberger
Investment
SA
3.65%,
12/01/2023
75
79
$
2,247
Packaging
&
Containers
-
0.04%
Packaging
Corp
of
America
3.00%,
12/15/2029
300
315
4.05%,
12/15/2049
150
175
WRKCo
Inc
4.90%,
03/15/2029
400
461
$
951
Pharmaceuticals
-
1.77%
AbbVie
Inc
2.15%,
11/19/2021
(h)
300
305
2.30%,
11/21/2022
(h)
300
309
2.60%,
11/21/2024
(h)
445
468
2.85%,
05/14/2023
40
42
2.90%,
11/06/2022
550
576
2.95%,
11/21/2026
(h)
300
322
3.20%,
05/14/2026
390
423
3.20%,
11/21/2029
(h)
745
805
3.60%,
05/14/2025
170
187
3.80%,
03/15/2025
(h)
395
436
3.85%,
06/15/2024
(h)
90
98
4.05%,
11/21/2039
(h)
375
419
4.25%,
11/14/2028
140
163
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
AbbVie
Inc
(continued)
4.25%,
11/21/2049
(h)
$
595
$
684
4.30%,
05/14/2036
280
321
4.40%,
11/06/2042
25
29
4.45%,
05/14/2046
270
313
4.50%,
05/14/2035
245
289
4.55%,
03/15/2035
(h)
170
199
4.70%,
05/14/2045
320
382
4.75%,
03/15/2045
(h)
300
358
4.85%,
06/15/2044
(h)
30
36
4.88%,
11/14/2048
170
212
AmerisourceBergen
Corp
3.40%,
05/15/2024
30
32
AstraZeneca
PLC
2.38%,
06/12/2022
830
857
3.38%,
11/16/2025
180
201
4.00%,
01/17/2029
400
474
4.00%,
09/18/2042
300
367
4.38%,
08/17/2048
60
79
6.45%,
09/15/2037
30
45
Becton
Dickinson
and
Co
2.82%,
05/20/2030
155
164
3.73%,
12/15/2024
731
803
4.67%,
06/06/2047
155
193
4.69%,
12/15/2044
59
72
Bristol-Myers
Squibb
Co
2.90%,
07/26/2024
(h)
520
561
3.25%,
02/20/2023
(h)
85
91
3.25%,
08/01/2042
515
584
3.40%,
07/26/2029
(h)
455
522
3.45%,
11/15/2027
(h)
90
103
3.88%,
08/15/2025
(h)
790
897
3.90%,
02/20/2028
(h)
130
151
4.13%,
06/15/2039
(h)
195
246
4.25%,
10/26/2049
(h)
360
474
4.35%,
11/15/2047
(h)
210
272
4.55%,
02/20/2048
(h)
220
294
5.00%,
08/15/2045
(h)
305
422
Cardinal
Health
Inc
3.41%,
06/15/2027
400
444
4.60%,
03/15/2043
430
456
Cigna
Corp
2.40%,
03/15/2030
155
160
3.20%,
03/15/2040
155
163
3.40%,
09/17/2021
100
103
3.75%,
07/15/2023
403
438
3.88%,
10/15/2047
(h)
185
208
4.13%,
11/15/2025
170
193
4.38%,
10/15/2028
300
352
4.80%,
08/15/2038
170
213
4.80%,
07/15/2046
(h)
500
624
4.90%,
12/15/2048
395
518
CVS
Health
Corp
2.13%,
06/01/2021
35
35
2.63%,
08/15/2024
140
148
2.75%,
12/01/2022
750
782
2.88%,
06/01/2026
1,560
1,668
3.00%,
08/15/2026
105
114
3.25%,
08/15/2029
140
151
3.50%,
07/20/2022
860
906
3.70%,
03/09/2023
530
568
3.88%,
07/20/2025
60
67
4.00%,
12/05/2023
50
54
4.10%,
03/25/2025
75
84
4.30%,
03/25/2028
1,150
1,314
5.05%,
03/25/2048
770
988
5.13%,
07/20/2045
430
546
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
19
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
Eli
Lilly
and
Co
2.25%,
05/15/2050
$
740
$
698
GlaxoSmithKline
Capital
Inc
3.38%,
05/15/2023
190
205
3.63%,
05/15/2025
85
97
3.88%,
05/15/2028
165
194
6.38%,
05/15/2038
430
649
GlaxoSmithKline
Capital
PLC
2.88%,
06/01/2022
500
522
Johnson
&
Johnson
2.45%,
03/01/2026
225
246
2.90%,
01/15/2028
110
124
2.95%,
03/03/2027
110
122
3.40%,
01/15/2038
500
583
3.50%,
01/15/2048
140
170
3.55%,
03/01/2036
750
882
3.70%,
03/01/2046
90
112
5.95%,
08/15/2037
75
114
McKesson
Corp
4.88%,
03/15/2044
80
97
Mead
Johnson
Nutrition
Co
4.60%,
06/01/2044
30
36
Merck
&
Co
Inc
2.35%,
02/10/2022
50
52
2.80%,
05/18/2023
75
80
3.70%,
02/10/2045
875
1,064
3.90%,
03/07/2039
385
478
4.00%,
03/07/2049
170
219
Mylan
NV
3.15%,
06/15/2021
535
545
3.95%,
06/15/2026
530
577
5.25%,
06/15/2046
305
353
Novartis
Capital
Corp
2.00%,
02/14/2027
310
328
2.20%,
08/14/2030
155
164
2.75%,
08/14/2050
155
162
3.00%,
11/20/2025
125
139
4.40%,
05/06/2044
530
705
Pfizer
Inc
0.80%,
05/28/2025
100
100
1.70%,
05/28/2030
100
100
1.95%,
06/03/2021
200
203
2.55%,
05/28/2040
100
101
2.63%,
04/01/2030
155
169
2.70%,
05/28/2050
100
101
2.95%,
03/15/2024
300
330
3.00%,
12/15/2026
500
570
3.40%,
05/15/2024
100
112
3.45%,
03/15/2029
170
197
4.00%,
12/15/2036
45
54
4.00%,
03/15/2049
195
247
4.13%,
12/15/2046
575
721
4.20%,
09/15/2048
80
103
4.30%,
06/15/2043
225
287
4.40%,
05/15/2044
75
98
7.20%,
03/15/2039
60
98
Shire
Acquisitions
Investments
Ireland
DAC
3.20%,
09/23/2026
300
331
Wyeth
LLC
5.95%,
04/01/2037
60
87
6.50%,
02/01/2034
525
798
Zoetis
Inc
2.00%,
05/15/2030
85
86
3.00%,
05/15/2050
40
41
3.25%,
02/01/2023
540
564
$
41,792
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
-
0.92%
Boardwalk
Pipelines
LP
3.38%,
02/01/2023
$
30
$
29
Cheniere
Corpus
Christi
Holdings
LLC
3.70%,
11/15/2029
(h)
300
298
Enbridge
Energy
Partners
LP
7.38%,
10/15/2045
70
97
7.50%,
04/15/2038
350
472
Enbridge
Inc
2.50%,
01/15/2025
150
154
3.13%,
11/15/2029
150
154
4.25%,
12/01/2026
75
83
Energy
Transfer
Operating
LP
2.90%,
05/15/2025
310
309
3.75%,
05/15/2030
155
153
4.05%,
03/15/2025
300
315
4.20%,
04/15/2027
300
305
4.90%,
03/15/2035
500
487
5.30%,
04/15/2047
410
402
6.25%,
04/15/2049
155
168
6.50%,
02/01/2042
425
480
Energy
Transfer
Partners
LP
/
Regency
Energy
Finance
Corp
5.00%,
10/01/2022
350
364
Enterprise
Products
Operating
LLC
2.80%,
01/31/2030
365
380
3.70%,
02/15/2026
400
440
3.70%,
01/31/2051
650
662
4.15%,
10/16/2028
500
569
4.25%,
02/15/2048
250
271
4.45%,
02/15/2043
350
376
4.85%,
08/15/2042
400
451
6.88%,
03/01/2033
39
49
Kinder
Morgan
Energy
Partners
LP
3.50%,
09/01/2023
390
412
3.95%,
09/01/2022
600
631
4.70%,
11/01/2042
20
22
6.38%,
03/01/2041
480
599
6.95%,
01/15/2038
383
512
Kinder
Morgan
Inc
3.15%,
01/15/2023
1,100
1,147
5.05%,
02/15/2046
300
347
Magellan
Midstream
Partners
LP
3.95%,
03/01/2050
550
544
MPLX
LP
4.13%,
03/01/2027
140
145
4.25%,
12/01/2027
300
314
4.50%,
04/15/2038
200
198
4.88%,
12/01/2024
500
530
4.90%,
04/15/2058
165
159
5.20%,
12/01/2047
300
325
5.50%,
02/15/2049
130
148
ONEOK
Inc
2.20%,
09/15/2025
155
148
2.75%,
09/01/2024
375
371
3.40%,
09/01/2029
350
324
4.45%,
09/01/2049
500
461
Plains
All
American
Pipeline
LP
/
PAA
Finance
Corp
3.55%,
12/15/2029
470
444
4.50%,
12/15/2026
500
507
4.70%,
06/15/2044
30
27
6.65%,
01/15/2037
500
516
Sabine
Pass
Liquefaction
LLC
4.20%,
03/15/2028
75
79
5.00%,
03/15/2027
375
416
5.63%,
03/01/2025
75
84
5.88%,
06/30/2026
665
764
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
20
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
(continued)
Spectra
Energy
Partners
LP
4.75%,
03/15/2024
$
105
$
116
5.95%,
09/25/2043
400
493
Sunoco
Logistics
Partners
Operations
LP
5.40%,
10/01/2047
400
397
TransCanada
PipeLines
Ltd
4.88%,
05/15/2048
190
236
7.25%,
08/15/2038
525
739
Williams
Cos
Inc/The
3.60%,
03/15/2022
500
514
3.75%,
06/15/2027
45
48
3.90%,
01/15/2025
500
535
4.00%,
09/15/2025
50
54
5.10%,
09/15/2045
740
828
6.30%,
04/15/2040
30
36
$
21,638
Private
Equity
-
0.01%
Brookfield
Asset
Management
Inc
4.00%,
01/15/2025
300
321
Regional
Authority
-
0.34%
Province
of
Alberta
Canada
1.00%,
05/20/2025
310
311
3.30%,
03/15/2028
700
807
Province
of
British
Columbia
Canada
2.00%,
10/23/2022
500
519
2.65%,
09/22/2021
400
412
6.50%,
01/15/2026
45
59
Province
of
Manitoba
Canada
2.60%,
04/16/2024
1,000
1,072
3.05%,
05/14/2024
30
33
Province
of
Ontario
Canada
1.75%,
01/24/2023
315
325
2.00%,
10/02/2029
(e)
700
746
2.50%,
09/10/2021
500
512
3.20%,
05/16/2024
865
948
3.40%,
10/17/2023
210
230
Province
of
Quebec
Canada
1.35%,
05/28/2030
315
317
1.50%,
02/11/2025
440
455
2.75%,
08/25/2021
540
555
2.88%,
10/16/2024
500
547
7.50%,
09/15/2029
36
55
$
7,903
REITs
-
0.75%
Alexandria
Real
Estate
Equities
Inc
2.75%,
12/15/2029
70
72
3.38%,
08/15/2031
420
456
3.90%,
06/15/2023
750
801
4.00%,
02/01/2050
70
79
4.90%,
12/15/2030
80
97
American
Campus
Communities
Operating
Partnership
LP
2.85%,
02/01/2030
160
139
American
Tower
Corp
2.90%,
01/15/2030
155
163
3.38%,
10/15/2026
670
735
3.50%,
01/31/2023
75
80
3.70%,
10/15/2049
145
161
4.70%,
03/15/2022
50
53
AvalonBay
Communities
Inc
2.30%,
03/01/2030
155
158
4.15%,
07/01/2047
300
360
Boston
Properties
LP
2.75%,
10/01/2026
350
361
2.90%,
03/15/2030
485
493
3.65%,
02/01/2026
375
403
Brixmor
Operating
Partnership
LP
3.65%,
06/15/2024
400
397
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
REITs
(continued)
Crown
Castle
International
Corp
3.10%,
11/15/2029
$
125
$
132
3.20%,
09/01/2024
75
80
3.30%,
07/01/2030
155
167
3.70%,
06/15/2026
510
565
4.00%,
11/15/2049
95
106
5.25%,
01/15/2023
500
551
CubeSmart
LP
4.38%,
12/15/2023
30
32
Duke
Realty
LP
2.88%,
11/15/2029
75
79
Equinix
Inc
2.63%,
11/18/2024
150
158
3.20%,
11/18/2029
130
139
5.38%,
05/15/2027
175
188
ERP
Operating
LP
2.50%,
02/15/2030
305
312
Essex
Portfolio
LP
3.00%,
01/15/2030
140
145
4.00%,
03/01/2029
300
328
Federal
Realty
Investment
Trust
4.50%,
12/01/2044
300
318
GLP
Capital
LP
/
GLP
Financing
II
Inc
4.00%,
01/15/2030
140
122
5.25%,
06/01/2025
400
402
Healthpeak
Properties
Inc
3.00%,
01/15/2030
240
233
3.88%,
08/15/2024
200
213
4.20%,
03/01/2024
200
210
4.25%,
11/15/2023
75
79
Highwoods
Realty
LP
3.20%,
06/15/2021
30
30
Kimco
Realty
Corp
2.70%,
03/01/2024
300
297
3.70%,
10/01/2049
30
25
Mid-America
Apartments
LP
3.60%,
06/01/2027
500
534
National
Retail
Properties
Inc
3.60%,
12/15/2026
300
307
4.80%,
10/15/2048
200
196
Office
Properties
Income
Trust
4.00%,
07/15/2022
300
296
Omega
Healthcare
Investors
Inc
4.75%,
01/15/2028
400
394
4.95%,
04/01/2024
30
31
Prologis
LP
2.13%,
04/15/2027
240
248
2.25%,
04/15/2030
260
267
3.00%,
04/15/2050
180
181
Realty
Income
Corp
3.25%,
10/15/2022
500
522
4.13%,
10/15/2026
20
22
Simon
Property
Group
LP
2.00%,
09/13/2024
150
145
2.45%,
09/13/2029
275
252
2.75%,
02/01/2023
250
253
3.25%,
09/13/2049
340
276
4.75%,
03/15/2042
164
168
UDR
Inc
3.20%,
01/15/2030
145
152
4.00%,
10/01/2025
200
213
Ventas
Realty
LP
3.00%,
01/15/2030
260
240
3.75%,
05/01/2024
500
502
4.88%,
04/15/2049
300
287
5.70%,
09/30/2043
225
238
VEREIT
Operating
Partnership
LP
3.10%,
12/15/2029
365
313
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
21
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
REITs
(continued)
Welltower
Inc
3.63%,
03/15/2024
$
120
$
123
4.00%,
06/01/2025
75
78
4.13%,
03/15/2029
300
309
4.25%,
04/15/2028
400
417
Weyerhaeuser
Co
7.38%,
03/15/2032
530
701
$
17,584
Retail
-
0.74%
AutoZone
Inc
3.13%,
04/21/2026
500
538
3.75%,
06/01/2027
300
325
Costco
Wholesale
Corp
1.38%,
06/20/2027
155
158
1.60%,
04/20/2030
155
156
1.75%,
04/20/2032
155
156
2.30%,
05/18/2022
200
207
3.00%,
05/18/2027
300
344
Dollar
Tree
Inc
4.20%,
05/15/2028
130
147
Home
Depot
Inc/The
2.70%,
04/01/2023
50
53
2.95%,
06/15/2029
60
66
3.13%,
12/15/2049
235
254
3.75%,
02/15/2024
500
554
3.90%,
06/15/2047
800
967
4.25%,
04/01/2046
670
845
5.88%,
12/16/2036
330
479
Kohl's
Corp
4.25%,
07/17/2025
300
272
Lowe's
Cos
Inc
2.50%,
04/15/2026
90
96
3.10%,
05/03/2027
160
174
3.38%,
09/15/2025
50
55
3.65%,
04/05/2029
135
152
3.70%,
04/15/2046
20
22
4.00%,
04/15/2025
155
175
4.05%,
05/03/2047
650
746
4.38%,
09/15/2045
500
587
4.55%,
04/05/2049
135
168
5.00%,
04/15/2040
155
198
McDonald's
Corp
1.45%,
09/01/2025
155
158
2.13%,
03/01/2030
155
157
2.63%,
09/01/2029
140
146
3.25%,
06/10/2024
175
193
3.50%,
07/01/2027
310
347
3.63%,
09/01/2049
520
567
3.70%,
01/30/2026
150
168
3.70%,
02/15/2042
300
331
4.88%,
12/09/2045
340
430
Nordstrom
Inc
5.00%,
01/15/2044
300
203
O'Reilly
Automotive
Inc
3.55%,
03/15/2026
500
554
Starbucks
Corp
1.30%,
05/07/2022
185
187
2.00%,
03/12/2027
355
362
3.55%,
08/15/2029
305
337
4.45%,
08/15/2049
300
351
Target
Corp
2.35%,
02/15/2030
320
340
3.63%,
04/15/2046
300
361
3.90%,
11/15/2047
60
75
Walgreens
Boots
Alliance
Inc
4.80%,
11/18/2044
630
675
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
Walmart
Inc
2.35%,
12/15/2022
$
220
$
231
2.95%,
09/24/2049
1,550
1,713
3.05%,
07/08/2026
600
671
3.25%,
07/08/2029
155
180
3.70%,
06/26/2028
255
302
3.95%,
06/28/2038
195
241
5.25%,
09/01/2035
40
57
5.63%,
04/01/2040
40
59
5.63%,
04/15/2041
60
91
$
17,381
Semiconductors
-
0.57%
Applied
Materials
Inc
1.75%,
06/01/2030
155
155
4.35%,
04/01/2047
45
58
5.85%,
06/15/2041
500
734
Broadcom
Corp
/
Broadcom
Cayman
Finance
Ltd
3.88%,
01/15/2027
650
685
Broadcom
Inc
2.25%,
11/15/2023
(h)
195
197
3.15%,
11/15/2025
(h)
590
612
3.63%,
10/15/2024
(h)
415
440
4.15%,
11/15/2030
(h)
590
618
4.30%,
11/15/2032
(h)
395
417
4.75%,
04/15/2029
(h)
355
391
Intel
Corp
2.45%,
11/15/2029
300
322
2.60%,
05/19/2026
775
847
2.88%,
05/11/2024
105
114
3.15%,
05/11/2027
150
168
3.25%,
11/15/2049
305
338
3.30%,
10/01/2021
550
572
3.40%,
03/25/2025
155
174
3.73%,
12/08/2047
105
123
3.75%,
03/25/2027
155
180
4.60%,
03/25/2040
155
202
4.90%,
07/29/2045
600
832
KLA
Corp
4.10%,
03/15/2029
300
347
Lam
Research
Corp
1.90%,
06/15/2030
155
156
2.88%,
06/15/2050
235
239
Micron
Technology
Inc
4.19%,
02/15/2027
405
448
4.64%,
02/06/2024
300
330
4.66%,
02/15/2030
405
457
NVIDIA
Corp
2.20%,
09/16/2021
300
306
3.20%,
09/16/2026
500
562
NXP
BV
/
NXP
Funding
LLC
/
NXP
USA
Inc
3.15%,
05/01/2027
(h)
80
82
QUALCOMM
Inc
2.60%,
01/30/2023
310
325
3.25%,
05/20/2027
420
468
3.45%,
05/20/2025
215
239
4.65%,
05/20/2035
195
251
4.80%,
05/20/2045
110
140
Texas
Instruments
Inc
1.38%,
03/12/2025
155
159
1.75%,
05/04/2030
50
51
2.25%,
05/01/2023
400
423
4.15%,
05/15/2048
165
217
$
13,379
Software
-
0.67%
Adobe
Inc
1.90%,
02/01/2025
310
328
2.30%,
02/01/2030
155
166
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
22
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
Fiserv
Inc
3.50%,
10/01/2022
$
30
$
32
3.50%,
07/01/2029
300
331
3.85%,
06/01/2025
2,205
2,457
Microsoft
Corp
1.55%,
08/08/2021
35
35
3.30%,
02/06/2027
140
161
3.45%,
08/08/2036
640
756
3.50%,
02/12/2035
700
851
3.70%,
08/08/2046
1,475
1,838
3.95%,
08/08/2056
170
223
4.00%,
02/12/2055
120
157
4.10%,
02/06/2037
280
356
4.20%,
11/03/2035
360
473
4.45%,
11/03/2045
207
284
Oracle
Corp
1.90%,
09/15/2021
80
81
2.40%,
09/15/2023
75
79
2.50%,
10/15/2022
75
79
2.50%,
04/01/2025
155
165
2.63%,
02/15/2023
370
390
2.65%,
07/15/2026
930
1,008
2.80%,
07/08/2021
500
513
2.80%,
04/01/2027
155
168
2.95%,
11/15/2024
85
92
2.95%,
05/15/2025
105
114
2.95%,
04/01/2030
155
170
3.25%,
11/15/2027
375
419
3.40%,
07/08/2024
550
604
3.60%,
04/01/2040
155
172
3.60%,
04/01/2050
155
173
3.80%,
11/15/2037
485
552
3.85%,
07/15/2036
900
1,043
3.90%,
05/15/2035
130
154
4.00%,
11/15/2047
75
88
4.30%,
07/08/2034
75
92
4.38%,
05/15/2055
150
190
4.50%,
07/08/2044
50
62
5.38%,
07/15/2040
550
747
6.13%,
07/08/2039
60
88
$
15,691
Sovereign
-
1.65%
Canada
Government
International
Bond
1.63%,
01/22/2025
360
379
2.63%,
01/25/2022
500
519
Chile
Government
International
Bond
2.45%,
01/31/2031
435
443
2.55%,
01/27/2032
200
204
3.86%,
06/21/2047
500
568
Colombia
Government
International
Bond
2.63%,
03/15/2023
500
502
3.00%,
01/30/2030
315
315
5.00%,
06/15/2045
750
851
5.20%,
05/15/2049
400
471
5.63%,
02/26/2044
500
604
7.38%,
09/18/2037
220
301
10.38%,
01/28/2033
100
153
Export
Development
Canada
1.38%,
02/24/2023
250
257
2.00%,
05/17/2022
1,000
1,032
2.63%,
02/21/2024
300
324
Export-Import
Bank
of
Korea
1.88%,
10/21/2021
350
355
3.25%,
11/10/2025
1,000
1,109
5.00%,
04/11/2022
500
536
Hungary
Government
International
Bond
5.38%,
03/25/2024
650
734
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Indonesia
Government
International
Bond
2.85%,
02/14/2030
$
250
$
255
3.70%,
10/30/2049
(e)
200
205
4.20%,
10/15/2050
800
886
4.75%,
02/11/2029
300
347
Israel
Government
AID
Bond
5.50%,
09/18/2023
65
76
5.50%,
04/26/2024
65
78
5.50%,
09/18/2033
110
163
Israel
Government
International
Bond
4.00%,
06/30/2022
850
903
Japan
Bank
for
International
Cooperation
0.63%,
05/22/2023
200
200
1.63%,
10/17/2022
200
205
1.75%,
01/23/2023
1,000
1,029
1.88%,
07/21/2026
664
699
2.13%,
02/10/2025
1,300
1,378
2.38%,
04/20/2026
500
542
3.00%,
05/29/2024
(e)
300
327
Korea
International
Bond
2.75%,
01/19/2027
250
272
3.88%,
09/20/2048
500
679
Mexico
Government
International
Bond
3.25%,
04/16/2030
200
197
3.63%,
03/15/2022
570
591
3.75%,
01/11/2028
225
232
3.90%,
04/27/2025
600
632
4.13%,
01/21/2026
500
532
4.50%,
04/22/2029
500
540
4.50%,
01/31/2050
200
206
4.60%,
01/23/2046
500
519
4.60%,
02/10/2048
300
309
4.75%,
03/08/2044
610
637
5.75%,
10/12/2110
500
541
6.05%,
01/11/2040
500
606
Panama
Government
International
Bond
3.16%,
01/23/2030
200
210
3.75%,
03/16/2025
950
1,019
4.50%,
05/15/2047
500
592
4.50%,
04/16/2050
200
237
Peruvian
Government
International
Bond
5.63%,
11/18/2050
400
622
8.75%,
11/21/2033
350
581
Philippine
Government
International
Bond
3.00%,
02/01/2028
300
323
3.70%,
03/01/2041
900
1,028
7.75%,
01/14/2031
740
1,100
10.63%,
03/16/2025
600
835
Republic
of
Italy
Government
International
Bond
2.38%,
10/17/2024
200
199
2.88%,
10/17/2029
200
195
5.38%,
06/15/2033
850
1,043
6.88%,
09/27/2023
350
404
Republic
of
Poland
Government
International
Bond
5.00%,
03/23/2022
500
535
State
of
Israel
2.50%,
01/15/2030
400
426
3.38%,
01/15/2050
400
422
Svensk
Exportkredit
AB
2.88%,
03/14/2023
1,200
1,278
Tennessee
Valley
Authority
3.50%,
12/15/2042
100
123
4.25%,
09/15/2065
150
227
4.63%,
09/15/2060
300
476
5.25%,
09/15/2039
250
369
5.38%,
04/01/2056
61
107
5.88%,
04/01/2036
525
810
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
23
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Tennessee
Valley
Authority
(continued)
6.75%,
11/01/2025
$
57
$
76
Tunisia
Government
AID
Bonds
1.42%,
08/05/2021
250
248
Ukraine
Government
AID
Bonds
1.47%,
09/29/2021
250
254
Uruguay
Government
International
Bond
4.13%,
11/20/2045
386
428
4.38%,
10/27/2027
360
403
5.10%,
06/18/2050
200
245
7.63%,
03/21/2036
400
589
$
38,847
Supranational
Bank
-
1.62%
African
Development
Bank
2.38%,
09/23/2021
515
528
3.00%,
09/20/2023
600
651
Asian
Development
Bank
1.75%,
06/08/2021
3,000
3,043
1.75%,
09/13/2022
750
774
1.75%,
09/19/2029
(e)
750
806
2.13%,
11/24/2021
(e)
800
820
2.13%,
03/19/2025
300
323
2.38%,
08/10/2027
500
558
2.75%,
03/17/2023
670
714
2.75%,
01/19/2028
(e)
130
149
5.82%,
06/16/2028
39
53
Corp
Andina
de
Fomento
3.25%,
02/11/2022
1,000
1,021
4.38%,
06/15/2022
559
585
Council
Of
Europe
Development
Bank
1.38%,
02/27/2025
310
322
European
Bank
for
Reconstruction
&
Development
1.63%,
09/27/2024
350
367
1.88%,
02/23/2022
500
513
European
Investment
Bank
1.63%,
03/14/2025
2,315
2,438
1.88%,
02/10/2025
250
266
2.25%,
03/15/2022
500
518
2.25%,
06/24/2024
2,440
2,621
2.38%,
05/24/2027
650
724
2.50%,
03/15/2023
440
466
2.63%,
05/20/2022
1,000
1,046
2.88%,
12/15/2021
600
623
4.88%,
02/15/2036
500
748
FMS
Wertmanagement
2.00%,
08/01/2022
800
828
2.75%,
01/30/2024
1,310
1,420
Inter-American
Development
Bank
1.75%,
03/14/2025
580
614
2.13%,
01/18/2022
500
515
2.13%,
01/15/2025
500
537
2.38%,
07/07/2027
750
835
2.50%,
01/18/2023
1,830
1,933
3.13%,
09/18/2028
300
353
4.38%,
01/24/2044
50
77
International
Bank
for
Reconstruction
&
Development
1.38%,
09/20/2021
320
324
1.63%,
01/15/2025
470
494
1.75%,
10/23/2029
720
777
1.88%,
10/07/2022
4,125
4,275
2.25%,
06/24/2021
750
764
2.50%,
07/29/2025
270
297
3.00%,
09/27/2023
300
326
7.63%,
01/19/2023
933
1,110
International
Finance
Corp
2.13%,
04/07/2026
1,000
1,088
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Supranational
Bank
(continued)
Nordic
Investment
Bank
1.38%,
10/17/2022
$
800
$
819
$
38,063
Telecommunications
-
1.37%
America
Movil
SAB
de
CV
3.63%,
04/22/2029
735
803
6.13%,
03/30/2040
450
619
AT&T
Inc
2.30%,
06/01/2027
470
477
2.75%,
06/01/2031
315
318
2.95%,
07/15/2026
580
611
3.00%,
06/30/2022
90
93
3.20%,
03/01/2022
265
274
3.50%,
06/01/2041
315
318
3.55%,
06/01/2024
500
539
3.65%,
06/01/2051
155
157
3.90%,
03/11/2024
500
541
3.95%,
01/15/2025
500
548
4.10%,
02/15/2028
575
638
4.13%,
02/17/2026
350
390
4.30%,
02/15/2030
337
383
4.35%,
03/01/2029
500
567
4.35%,
06/15/2045
725
808
4.50%,
05/15/2035
1,100
1,238
4.50%,
03/09/2048
735
833
4.55%,
03/09/2049
500
569
4.75%,
05/15/2046
90
105
4.85%,
03/01/2039
900
1,051
4.85%,
07/15/2045
500
574
5.15%,
11/15/2046
405
495
5.25%,
03/01/2037
75
92
5.35%,
09/01/2040
54
67
5.55%,
08/15/2041
75
94
6.38%,
03/01/2041
75
103
British
Telecommunications
PLC
9.62%,
12/15/2030
600
954
Cisco
Systems
Inc
1.85%,
09/20/2021
750
764
2.50%,
09/20/2026
315
349
2.95%,
02/28/2026
300
336
5.50%,
01/15/2040
60
87
Deutsche
Telekom
International
Finance
BV
8.75%,
06/15/2030
765
1,157
Juniper
Networks
Inc
4.35%,
06/15/2025
200
216
Orange
SA
4.13%,
09/14/2021
30
31
5.38%,
01/13/2042
30
42
9.00%,
03/01/2031
500
815
Rogers
Communications
Inc
3.70%,
11/15/2049
190
211
5.00%,
03/15/2044
200
259
7.50%,
08/15/2038
250
375
Telefonica
Emisiones
SA
5.21%,
03/08/2047
500
608
7.05%,
06/20/2036
530
761
Telefonica
Europe
BV
8.25%,
09/15/2030
350
526
T-Mobile
USA
Inc
3.50%,
04/15/2025
(h)
155
166
3.75%,
04/15/2027
(h)
315
337
3.88%,
04/15/2030
(h)
315
341
4.38%,
04/15/2040
(h)
155
171
4.50%,
04/15/2050
(h)
315
356
Verizon
Communications
Inc
2.63%,
08/15/2026
500
538
2.95%,
03/15/2022
358
374
3.13%,
03/16/2022
255
268
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
24
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Verizon
Communications
Inc
(continued)
3.50%,
11/01/2024
$
1,000
$
1,100
3.85%,
11/01/2042
90
106
3.88%,
02/08/2029
880
1,022
4.33%,
09/21/2028
60
72
4.40%,
11/01/2034
580
713
4.52%,
09/15/2048
631
824
4.67%,
03/15/2055
568
778
4.81%,
03/15/2039
75
96
4.86%,
08/21/2046
500
671
5.15%,
09/15/2023
1,000
1,141
5.25%,
03/16/2037
75
101
Vodafone
Group
PLC
3.75%,
01/16/2024
75
82
4.13%,
05/30/2025
75
85
4.25%,
09/17/2050
250
287
4.38%,
05/30/2028
375
439
5.00%,
05/30/2038
80
98
5.25%,
05/30/2048
815
1,058
6.15%,
02/27/2037
240
320
$
32,340
Transportation
-
0.61%
Burlington
Northern
Santa
Fe
LLC
3.55%,
02/15/2050
155
173
3.65%,
09/01/2025
500
565
4.15%,
04/01/2045
200
242
4.40%,
03/15/2042
30
37
4.55%,
09/01/2044
400
498
4.90%,
04/01/2044
445
576
5.40%,
06/01/2041
400
530
Canadian
National
Railway
Co
2.45%,
05/01/2050
465
450
Canadian
Pacific
Railway
Co
6.13%,
09/15/2115
75
113
CSX
Corp
2.40%,
02/15/2030
60
62
2.60%,
11/01/2026
350
374
3.35%,
09/15/2049
60
65
3.40%,
08/01/2024
600
657
3.80%,
03/01/2028
75
85
4.30%,
03/01/2048
200
246
4.75%,
05/30/2042
720
895
FedEx
Corp
3.10%,
08/05/2029
750
779
3.88%,
08/01/2042
30
29
4.00%,
01/15/2024
250
277
4.55%,
04/01/2046
500
517
Norfolk
Southern
Corp
2.55%,
11/01/2029
150
157
3.00%,
04/01/2022
500
517
3.25%,
12/01/2021
40
41
3.94%,
11/01/2047
192
224
4.15%,
02/28/2048
500
598
4.84%,
10/01/2041
30
38
Ryder
System
Inc
2.50%,
09/01/2024
65
66
2.90%,
12/01/2026
150
151
Union
Pacific
Corp
2.15%,
02/05/2027
775
813
3.55%,
08/15/2039
435
479
3.80%,
10/01/2051
365
426
3.84%,
03/20/2060
(h)
220
253
3.95%,
09/10/2028
140
162
4.10%,
09/15/2067
560
646
4.16%,
07/15/2022
575
612
4.30%,
03/01/2049
90
113
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Transportation
(continued)
United
Parcel
Service
Inc
2.20%,
09/01/2024
$
300
$
317
2.50%,
09/01/2029
125
135
3.40%,
09/01/2049
180
196
3.63%,
10/01/2042
500
538
3.90%,
04/01/2025
155
176
4.88%,
11/15/2040
30
38
5.20%,
04/01/2040
345
459
$
14,325
Water
-
0.04%
American
Water
Capital
Corp
3.75%,
09/01/2047
140
159
4.15%,
06/01/2049
670
814
6.59%,
10/15/2037
13
19
$
992
TOTAL
BONDS
$
775,616
MUNICIPAL
BONDS
-
0.65%
Principal
Amount
(000's)
Value
(000's)
California
-
0.21%
Bay
Area
Toll
Authority
6.26%,
04/01/2049
$
175
$
305
6.91%,
10/01/2050
250
425
California
State
University
2.98%,
11/01/2051
155
156
East
Bay
Municipal
Utility
District
Water
System
Revenue
5.87%,
06/01/2040
20
28
Los
Angeles
Department
of
Water
&
Power
Power
System
Revenue
6.57%,
07/01/2045
250
424
Los
Angeles
Unified
School
District/CA
5.76%,
07/01/2029
900
1,123
Regents
of
the
University
of
California
Medical
Center
Pooled
Revenue
6.55%,
05/15/2048
20
31
State
of
California
3.50%,
04/01/2028
115
130
7.30%,
10/01/2039
300
488
7.70%,
11/01/2030
500
513
University
of
California
3.06%,
07/01/2025
400
431
5.77%,
05/15/2043
530
772
$
4,826
Colorado
-
0.02%
Regional
Transportation
District
Sales
Tax
Revenue
5.84%,
11/01/2050
250
363
Connecticut
-
0.03%
State
of
Connecticut
5.85%,
03/15/2032
530
683
Georgia
-
0.02%
Municipal
Electric
Authority
of
Georgia
6.64%,
04/01/2057
335
457
Illinois
-
0.06%
Chicago
Transit
Authority
6.20%,
12/01/2040
30
39
6.90%,
12/01/2040
300
403
State
of
Illinois
4.95%,
06/01/2023
74
74
5.10%,
06/01/2033
1,000
964
$
1,480
New
Jersey
-
0.07%
New
Jersey
Economic
Development
Authority
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
0.00%,
02/15/2023
(d),(j)
50
48
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
25
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
New
Jersey
(continued)
New
Jersey
Economic
Development
Authority
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
7.43%,
02/15/2029
(j)
$
450
$
527
New
Jersey
Transportation
Trust
Fund
Authority
6.56%,
12/15/2040
146
175
New
Jersey
Turnpike
Authority
7.41%,
01/01/2040
500
814
$
1,564
New
York
-
0.14%
City
of
New
York
NY
6.27%,
12/01/2037
500
724
New
York
City
Water
&
Sewer
System
5.72%,
06/15/2042
280
435
5.95%,
06/15/2042
250
382
New
York
State
Urban
Development
Corp
5.77%,
03/15/2039
465
573
Port
Authority
of
New
York
&
New
Jersey
4.46%,
10/01/2062
500
631
5.65%,
11/01/2040
400
570
$
3,315
Ohio
-
0.04%
American
Municipal
Power
Inc
7.83%,
02/15/2041
300
468
Ohio
State
University/The
3.80%,
12/01/2046
350
406
4.91%,
06/01/2040
50
69
$
943
Texas
-
0.05%
City
of
Houston
TX
6.29%,
03/01/2032
450
558
Dallas
Area
Rapid
Transit
5.02%,
12/01/2048
30
44
State
of
Texas
4.68%,
04/01/2040
160
212
5.52%,
04/01/2039
300
438
$
1,252
Wisconsin
-
0.01%
State
of
Wisconsin
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
5.70%,
05/01/2026
(j)
285
326
TOTAL
MUNICIPAL
BONDS
$
15,209
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
65.41%
Principal
Amount
(000's)
Value
(000's)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
-
3.89%
2.00%,
09/01/2031
$
141
$
146
2.00%,
12/01/2031
191
197
2.50%,
08/01/2028
144
151
2.50%,
09/01/2029
332
348
2.50%,
12/01/2029
431
452
2.50%,
01/01/2030
445
467
2.50%,
09/01/2030
1,033
1,084
2.50%,
01/01/2031
233
245
2.50%,
01/01/2031
392
411
2.50%,
02/01/2031
390
409
2.50%,
04/01/2031
127
133
2.50%,
12/01/2031
605
635
2.50%,
01/01/2032
640
671
2.50%,
03/01/2032
194
203
2.50%,
11/01/2032
256
269
2.50%,
03/01/2033
231
242
2.50%,
04/01/2033
217
228
2.50%,
05/01/2033
534
559
2.50%,
06/01/2033
385
403
2.50%,
11/01/2036
135
141
3.00%,
11/01/2028
283
300
3.00%,
04/01/2029
265
280
3.00%,
09/01/2029
247
261
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
3.00%,
10/01/2029
$
361
$
381
3.00%,
11/01/2029
164
173
3.00%,
01/01/2030
143
151
3.00%,
04/01/2030
97
102
3.00%,
11/01/2030
136
145
3.00%,
01/01/2031
465
492
3.00%,
03/01/2031
95
100
3.00%,
04/01/2031
375
397
3.00%,
05/01/2032
398
423
3.00%,
12/01/2032
197
208
3.00%,
02/01/2033
150
159
3.00%,
03/01/2033
228
242
3.00%,
04/01/2033
55
59
3.00%,
07/01/2033
323
340
3.00%,
09/01/2033
133
140
3.00%,
10/01/2033
181
191
3.00%,
09/01/2034
272
289
3.00%,
10/01/2034
192
204
3.00%,
12/01/2034
60
64
3.00%,
04/01/2035
159
169
3.00%,
06/01/2035
226
239
3.00%,
04/01/2036
109
115
3.00%,
04/01/2036
154
163
3.00%,
09/01/2036
93
98
3.00%,
09/01/2036
192
203
3.00%,
11/01/2036
65
69
3.00%,
02/01/2037
199
210
3.00%,
04/01/2038
183
193
3.00%,
09/01/2042
1,402
1,501
3.00%,
10/01/2042
336
360
3.00%,
11/01/2042
575
615
3.00%,
01/01/2043
101
108
3.00%,
02/01/2043
540
579
3.00%,
04/01/2043
915
980
3.00%,
07/01/2043
119
127
3.00%,
08/01/2043
918
982
3.00%,
08/01/2043
734
786
3.00%,
09/01/2043
157
168
3.00%,
10/01/2043
121
130
3.00%,
12/01/2044
413
439
3.00%,
01/01/2045
100
106
3.00%,
03/01/2045
248
263
3.00%,
04/01/2045
757
804
3.00%,
06/01/2045
497
528
3.00%,
08/01/2045
795
843
3.00%,
12/01/2045
935
990
3.00%,
01/01/2046
91
96
3.00%,
03/01/2046
558
591
3.00%,
04/01/2046
261
276
3.00%,
04/01/2046
1,015
1,074
3.00%,
06/01/2046
831
879
3.00%,
06/01/2046
347
367
3.00%,
07/01/2046
341
361
3.00%,
09/01/2046
853
903
3.00%,
10/01/2046
200
213
3.00%,
10/01/2046
89
94
3.00%,
11/01/2046
785
830
3.00%,
11/01/2046
340
359
3.00%,
11/01/2046
418
442
3.00%,
11/01/2046
950
1,004
3.00%,
12/01/2046
941
995
3.00%,
12/01/2046
897
947
3.00%,
01/01/2047
510
539
3.00%,
02/01/2047
361
383
3.00%,
03/01/2047
286
302
3.00%,
04/01/2047
819
866
3.00%,
09/01/2047
322
340
3.00%,
10/01/2047
471
497
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
26
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
3.00%,
01/01/2048
$
429
$
452
3.50%,
12/01/2031
252
267
3.50%,
09/01/2033
241
254
3.50%,
05/01/2034
264
283
3.50%,
05/01/2034
93
99
3.50%,
11/01/2034
110
118
3.50%,
01/01/2035
226
242
3.50%,
06/01/2035
192
206
3.50%,
03/01/2037
408
434
3.50%,
04/01/2037
97
103
3.50%,
06/01/2037
199
212
3.50%,
06/01/2042
168
182
3.50%,
06/01/2042
631
684
3.50%,
06/01/2042
783
850
3.50%,
07/01/2042
1,706
1,853
3.50%,
10/01/2042
874
949
3.50%,
08/01/2043
329
357
3.50%,
01/01/2044
398
430
3.50%,
01/01/2045
525
567
3.50%,
02/01/2045
153
164
3.50%,
03/01/2045
368
396
3.50%,
03/01/2045
730
785
3.50%,
06/01/2045
396
426
3.50%,
07/01/2045
383
409
3.50%,
08/01/2045
252
271
3.50%,
09/01/2045
366
392
3.50%,
09/01/2045
504
541
3.50%,
10/01/2045
47
50
3.50%,
12/01/2045
974
1,042
3.50%,
01/01/2046
871
935
3.50%,
03/01/2046
596
641
3.50%,
03/01/2046
1,876
2,011
3.50%,
04/01/2046
954
1,024
3.50%,
05/01/2046
660
708
3.50%,
05/01/2046
583
625
3.50%,
06/01/2046
521
559
3.50%,
08/01/2046
259
277
3.50%,
09/01/2046
470
497
3.50%,
04/01/2047
611
651
3.50%,
11/01/2047
1,158
1,228
3.50%,
11/01/2047
773
822
3.50%,
12/01/2047
517
550
3.50%,
12/01/2047
1,122
1,187
3.50%,
12/01/2047
1,026
1,090
3.50%,
03/01/2048
940
998
3.50%,
08/01/2048
594
627
4.00%,
12/01/2024
103
109
4.00%,
12/01/2030
23
25
4.00%,
11/01/2033
164
178
4.00%,
07/01/2034
113
122
4.00%,
04/01/2038
262
283
4.00%,
12/01/2040
229
251
4.00%,
02/01/2044
206
228
4.00%,
04/01/2044
281
310
4.00%,
05/01/2044
118
130
4.00%,
06/01/2044
202
222
4.00%,
07/01/2044
356
388
4.00%,
09/01/2044
125
137
4.00%,
11/01/2044
386
423
4.00%,
12/01/2044
1,453
1,584
4.00%,
01/01/2045
365
397
4.00%,
04/01/2045
54
58
4.00%,
05/01/2045
201
219
4.00%,
07/01/2045
281
306
4.00%,
08/01/2045
510
554
4.00%,
09/01/2045
1,335
1,451
4.00%,
10/01/2045
722
782
4.00%,
10/01/2045
79
85
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
4.00%,
11/01/2045
$
90
$
97
4.00%,
12/01/2045
97
105
4.00%,
02/01/2046
145
157
4.00%,
05/01/2046
223
242
4.00%,
03/01/2047
381
410
4.00%,
10/01/2047
724
775
4.00%,
12/01/2047
911
974
4.00%,
07/01/2048
681
725
4.00%,
11/01/2048
351
373
4.50%,
10/01/2030
102
111
4.50%,
05/01/2031
11
12
4.50%,
10/01/2039
374
416
4.50%,
02/01/2041
193
212
4.50%,
03/01/2041
307
342
4.50%,
09/01/2043
127
142
4.50%,
11/01/2043
308
343
4.50%,
12/01/2043
214
238
4.50%,
03/01/2044
403
448
4.50%,
04/01/2044
187
207
4.50%,
09/01/2044
278
308
4.50%,
10/01/2044
108
118
4.50%,
02/01/2047
93
101
4.50%,
03/01/2047
169
185
4.50%,
07/01/2047
133
145
4.50%,
11/01/2047
33
36
4.50%,
05/01/2048
334
361
4.50%,
07/01/2048
164
177
4.50%,
05/01/2049
7,041
7,606
5.00%,
11/01/2035
84
97
5.00%,
12/01/2036
228
262
5.00%,
08/01/2039
107
123
5.00%,
11/01/2039
317
364
5.00%,
03/01/2041
94
106
5.00%,
12/01/2041
117
130
5.00%,
02/01/2042
492
564
5.00%,
04/01/2044
125
143
5.00%,
02/01/2048
174
190
5.00%,
06/01/2048
185
202
5.00%,
07/01/2048
95
104
5.50%,
06/01/2034
102
117
5.50%,
07/01/2038
104
119
5.50%,
07/01/2038
122
141
5.50%,
12/01/2038
220
252
5.50%,
10/01/2039
343
396
5.50%,
06/01/2041
138
159
6.00%,
04/01/2023
1
1
6.00%,
04/01/2038
353
407
6.00%,
11/01/2038
120
135
$
91,689
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
15.58%
2.00%,
09/01/2029
346
357
2.00%,
05/01/2030
144
148
2.00%,
12/01/2031
257
265
2.00%,
02/01/2032
152
157
2.00%,
06/01/2035
(k)
2,500
2,579
2.50%,
01/01/2028
135
142
2.50%,
07/01/2028
127
133
2.50%,
07/01/2028
350
367
2.50%,
11/01/2028
423
444
2.50%,
09/01/2029
265
278
2.50%,
02/01/2030
101
106
2.50%,
03/01/2030
321
337
2.50%,
05/01/2030
322
338
2.50%,
07/01/2030
133
140
2.50%,
08/01/2030
405
425
2.50%,
08/01/2030
349
366
2.50%,
12/01/2030
400
419
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
27
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
2.50%,
03/01/2031
$
496
$
520
2.50%,
03/01/2031
82
86
2.50%,
03/01/2031
362
379
2.50%,
05/01/2031
180
189
2.50%,
07/01/2031
436
457
2.50%,
11/01/2031
620
650
2.50%,
11/01/2031
2,179
2,285
2.50%,
12/01/2031
126
132
2.50%,
01/01/2032
184
193
2.50%,
01/01/2032
322
337
2.50%,
02/01/2032
175
184
2.50%,
03/01/2032
199
209
2.50%,
09/01/2032
174
182
2.50%,
12/01/2032
403
423
2.50%,
01/01/2033
543
570
2.50%,
04/01/2033
1,595
1,673
2.50%,
07/01/2033
17
18
2.50%,
10/01/2034
2,706
2,834
2.50%,
02/01/2035
2,244
2,350
2.50%,
06/01/2035
(k)
1,500
1,570
2.50%,
10/01/2036
69
72
2.50%,
10/01/2036
194
201
2.50%,
12/01/2036
178
184
2.50%,
01/01/2043
139
147
2.50%,
05/01/2043
174
183
2.50%,
10/01/2043
134
142
2.50%,
08/01/2046
131
137
2.50%,
12/01/2046
184
194
2.50%,
12/01/2046
174
183
2.50%,
06/01/2050
(k)
21,000
21,788
3.00%,
04/01/2027
111
117
3.00%,
01/01/2029
96
102
3.00%,
02/01/2029
82
87
3.00%,
12/01/2029
199
210
3.00%,
12/01/2029
92
97
3.00%,
01/01/2030
514
543
3.00%,
01/01/2030
93
98
3.00%,
01/01/2030
438
463
3.00%,
06/01/2030
326
345
3.00%,
07/01/2030
579
612
3.00%,
09/01/2030
109
115
3.00%,
10/01/2030
478
505
3.00%,
11/01/2030
466
493
3.00%,
12/01/2030
432
458
3.00%,
12/01/2030
88
94
3.00%,
02/01/2031
349
368
3.00%,
03/01/2031
261
276
3.00%,
04/01/2031
108
115
3.00%,
09/01/2031
499
527
3.00%,
12/01/2031
219
232
3.00%,
08/01/2032
467
493
3.00%,
09/01/2032
129
137
3.00%,
01/01/2033
53
56
3.00%,
04/01/2033
52
56
3.00%,
07/01/2033
206
217
3.00%,
02/01/2034
146
154
3.00%,
08/01/2034
546
583
3.00%,
09/01/2034
355
378
3.00%,
11/01/2034
286
304
3.00%,
12/01/2034
3,225
3,401
3.00%,
12/01/2034
133
141
3.00%,
02/01/2035
119
127
3.00%,
02/01/2035
200
212
3.00%,
05/01/2035
606
645
3.00%,
06/01/2035
347
369
3.00%,
06/01/2035
(k)
7,900
8,328
3.00%,
11/01/2035
147
155
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.00%,
02/01/2036
$
154
$
163
3.00%,
07/01/2036
255
269
3.00%,
12/01/2036
181
192
3.00%,
12/01/2036
311
329
3.00%,
12/01/2036
278
294
3.00%,
02/01/2037
290
307
3.00%,
11/01/2039
1,818
1,915
3.00%,
04/01/2042
151
162
3.00%,
11/01/2042
577
617
3.00%,
12/01/2042
1,507
1,621
3.00%,
04/01/2043
612
659
3.00%,
04/01/2043
603
645
3.00%,
04/01/2043
16
17
3.00%,
04/01/2043
156
167
3.00%,
04/01/2043
323
346
3.00%,
05/01/2043
145
156
3.00%,
05/01/2043
474
507
3.00%,
05/01/2043
1,110
1,189
3.00%,
05/01/2043
281
300
3.00%,
05/01/2043
588
631
3.00%,
06/01/2043
170
182
3.00%,
06/01/2043
688
736
3.00%,
06/01/2043
482
516
3.00%,
07/01/2043
625
668
3.00%,
07/01/2043
145
156
3.00%,
07/01/2043
731
782
3.00%,
07/01/2043
867
931
3.00%,
08/01/2043
100
107
3.00%,
08/01/2043
813
870
3.00%,
10/01/2043
696
745
3.00%,
10/01/2043
383
410
3.00%,
11/01/2043
166
178
3.00%,
01/01/2045
937
1,002
3.00%,
01/01/2045
195
207
3.00%,
01/01/2045
343
365
3.00%,
08/01/2045
224
237
3.00%,
12/01/2045
316
335
3.00%,
12/01/2045
382
404
3.00%,
01/01/2046
556
589
3.00%,
03/01/2046
253
267
3.00%,
04/01/2046
108
114
3.00%,
04/01/2046
663
702
3.00%,
04/01/2046
1,322
1,399
3.00%,
05/01/2046
245
259
3.00%,
05/01/2046
206
218
3.00%,
05/01/2046
538
570
3.00%,
08/01/2046
201
213
3.00%,
10/01/2046
927
980
3.00%,
11/01/2046
1,219
1,289
3.00%,
11/01/2046
504
533
3.00%,
11/01/2046
424
448
3.00%,
11/01/2046
855
904
3.00%,
11/01/2046
613
648
3.00%,
11/01/2046
848
900
3.00%,
12/01/2046
372
393
3.00%,
12/01/2046
840
888
3.00%,
12/01/2046
890
941
3.00%,
01/01/2047
945
999
3.00%,
02/01/2047
361
382
3.00%,
03/01/2047
290
306
3.00%,
07/01/2047
1,102
1,164
3.00%,
09/01/2048
425
448
3.00%,
09/01/2049
2,860
3,011
3.00%,
10/01/2049
3,195
3,364
3.00%,
10/01/2049
3,562
3,758
3.00%,
10/01/2049
1,807
1,906
3.00%,
10/01/2049
3,818
4,026
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
28
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.00%,
10/01/2049
$
4,167
$
4,386
3.00%,
11/01/2049
1,737
1,832
3.00%,
11/01/2049
9,540
10,042
3.00%,
11/01/2049
3,015
3,203
3.00%,
11/01/2049
2,868
3,019
3.00%,
06/01/2050
(k)
24,750
26,038
3.50%,
12/01/2025
92
97
3.50%,
01/01/2026
301
318
3.50%,
10/01/2026
255
269
3.50%,
12/01/2026
167
177
3.50%,
06/01/2027
161
170
3.50%,
03/01/2029
127
135
3.50%,
09/01/2029
171
182
3.50%,
10/01/2029
264
279
3.50%,
11/01/2030
112
119
3.50%,
04/01/2032
25
27
3.50%,
07/01/2032
20
22
3.50%,
09/01/2032
23
24
3.50%,
12/01/2032
3,108
3,314
3.50%,
10/01/2033
13
14
3.50%,
10/01/2033
316
334
3.50%,
10/01/2033
310
328
3.50%,
05/01/2034
72
78
3.50%,
06/01/2034
52
55
3.50%,
07/01/2034
323
347
3.50%,
09/01/2034
253
266
3.50%,
10/01/2034
78
82
3.50%,
06/01/2035
(k)
1,000
1,055
3.50%,
12/01/2035
454
487
3.50%,
02/01/2036
94
101
3.50%,
07/01/2036
144
153
3.50%,
08/01/2036
152
161
3.50%,
02/01/2037
76
81
3.50%,
05/01/2037
122
130
3.50%,
06/01/2038
235
249
3.50%,
07/01/2038
213
225
3.50%,
03/01/2041
40
43
3.50%,
02/01/2042
382
414
3.50%,
03/01/2042
92
100
3.50%,
05/01/2042
578
627
3.50%,
06/01/2042
522
567
3.50%,
07/01/2042
94
102
3.50%,
10/01/2042
749
814
3.50%,
04/01/2043
699
758
3.50%,
05/01/2043
704
765
3.50%,
05/01/2043
428
464
3.50%,
06/01/2043
128
139
3.50%,
08/01/2043
525
569
3.50%,
09/01/2043
1,397
1,516
3.50%,
11/01/2043
196
212
3.50%,
01/01/2044
171
185
3.50%,
01/01/2044
1,465
1,613
3.50%,
07/01/2044
785
851
3.50%,
10/01/2044
319
344
3.50%,
11/01/2044
355
383
3.50%,
12/01/2044
474
510
3.50%,
12/01/2044
450
484
3.50%,
01/01/2045
548
589
3.50%,
02/01/2045
536
575
3.50%,
02/01/2045
346
371
3.50%,
04/01/2045
325
349
3.50%,
04/01/2045
458
498
3.50%,
07/01/2045
584
627
3.50%,
08/01/2045
358
384
3.50%,
08/01/2045
314
336
3.50%,
09/01/2045
289
309
3.50%,
10/01/2045
243
261
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.50%,
10/01/2045
$
181
$
194
3.50%,
11/01/2045
428
460
3.50%,
11/01/2045
435
467
3.50%,
11/01/2045
227
243
3.50%,
12/01/2045
246
263
3.50%,
12/01/2045
495
531
3.50%,
12/01/2045
189
202
3.50%,
12/01/2045
622
668
3.50%,
12/01/2045
565
602
3.50%,
12/01/2045
33
35
3.50%,
12/01/2045
525
564
3.50%,
01/01/2046
154
165
3.50%,
01/01/2046
572
613
3.50%,
01/01/2046
599
643
3.50%,
01/01/2046
597
640
3.50%,
02/01/2046
220
236
3.50%,
03/01/2046
687
737
3.50%,
03/01/2046
159
171
3.50%,
03/01/2046
545
585
3.50%,
04/01/2046
108
115
3.50%,
04/01/2046
662
710
3.50%,
05/01/2046
114
122
3.50%,
05/01/2046
263
281
3.50%,
06/01/2046
140
150
3.50%,
07/01/2046
600
643
3.50%,
09/01/2046
395
422
3.50%,
12/01/2046
470
504
3.50%,
02/01/2047
843
902
3.50%,
03/01/2047
371
396
3.50%,
06/01/2047
810
863
3.50%,
10/01/2047
933
985
3.50%,
10/01/2047
888
944
3.50%,
11/01/2047
1,071
1,137
3.50%,
12/01/2047
943
999
3.50%,
01/01/2048
1,195
1,269
3.50%,
02/01/2048
422
448
3.50%,
02/01/2048
985
1,046
3.50%,
03/01/2048
99
105
3.50%,
04/01/2048
752
797
3.50%,
10/01/2048
40
42
3.50%,
04/01/2049
918
971
3.50%,
06/01/2049
1,151
1,217
3.50%,
06/01/2049
816
863
3.50%,
06/01/2049
3,877
4,092
3.50%,
07/01/2049
2,347
2,481
3.50%,
07/01/2049
5,027
5,303
3.50%,
07/01/2049
3,366
3,557
3.50%,
07/01/2049
3,311
3,497
3.50%,
08/01/2049
2,405
2,536
3.50%,
09/01/2049
2,261
2,405
3.50%,
09/01/2049
3,307
3,488
3.50%,
09/01/2049
4,285
4,517
3.50%,
10/01/2049
2,677
2,822
3.50%,
11/01/2049
6,043
6,423
3.50%,
06/01/2050
(k)
9,250
9,758
4.00%,
12/01/2024
178
189
4.00%,
04/01/2029
9
10
4.00%,
12/01/2030
12
13
4.00%,
03/01/2031
644
684
4.00%,
03/01/2031
104
110
4.00%,
11/01/2031
16
17
4.00%,
11/01/2033
70
74
4.00%,
11/01/2033
277
299
4.00%,
10/01/2034
171
185
4.00%,
02/01/2036
251
271
4.00%,
01/01/2037
85
91
4.00%,
10/01/2037
145
156
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
29
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
4.00%,
03/01/2038
$
66
$
71
4.00%,
07/01/2038
293
315
4.00%,
12/01/2038
194
208
4.00%,
01/01/2039
267
286
4.00%,
09/01/2040
99
109
4.00%,
01/01/2041
102
112
4.00%,
02/01/2041
38
42
4.00%,
12/01/2041
170
186
4.00%,
06/01/2042
142
156
4.00%,
06/01/2042
270
297
4.00%,
07/01/2042
798
879
4.00%,
12/01/2042
300
329
4.00%,
06/01/2043
381
419
4.00%,
09/01/2043
465
511
4.00%,
11/01/2043
501
551
4.00%,
11/01/2043
414
455
4.00%,
05/01/2044
122
133
4.00%,
08/01/2044
112
122
4.00%,
08/01/2044
361
394
4.00%,
08/01/2044
155
169
4.00%,
09/01/2044
158
173
4.00%,
09/01/2044
168
184
4.00%,
10/01/2044
101
110
4.00%,
11/01/2044
182
197
4.00%,
11/01/2044
85
92
4.00%,
11/01/2044
115
125
4.00%,
11/01/2044
87
95
4.00%,
12/01/2044
246
269
4.00%,
12/01/2044
192
208
4.00%,
01/01/2045
391
426
4.00%,
01/01/2045
142
155
4.00%,
02/01/2045
133
144
4.00%,
02/01/2045
347
380
4.00%,
03/01/2045
98
107
4.00%,
04/01/2045
306
329
4.00%,
08/01/2045
128
138
4.00%,
09/01/2045
123
134
4.00%,
09/01/2045
456
495
4.00%,
11/01/2045
563
613
4.00%,
12/01/2045
145
158
4.00%,
12/01/2045
199
215
4.00%,
02/01/2046
382
415
4.00%,
03/01/2046
762
823
4.00%,
04/01/2046
371
402
4.00%,
07/01/2046
146
157
4.00%,
03/01/2047
531
568
4.00%,
06/01/2047
231
247
4.00%,
08/01/2047
399
427
4.00%,
10/01/2047
408
436
4.00%,
11/01/2047
1,534
1,637
4.00%,
01/01/2048
1,150
1,230
4.00%,
01/01/2048
1,223
1,309
4.00%,
05/01/2048
335
365
4.00%,
05/01/2048
2,656
2,846
4.00%,
06/01/2048
804
855
4.00%,
06/01/2048
974
1,035
4.00%,
07/01/2048
567
603
4.00%,
07/01/2048
298
317
4.00%,
08/01/2048
620
659
4.00%,
09/01/2048
624
665
4.00%,
09/01/2048
798
848
4.00%,
09/01/2048
724
769
4.00%,
10/01/2048
295
321
4.00%,
01/01/2049
6,932
7,568
4.00%,
01/01/2049
4,263
4,572
4.00%,
03/01/2049
1,257
1,337
4.00%,
03/01/2049
619
663
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
4.00%,
04/01/2049
$
620
$
660
4.00%,
04/01/2049
378
402
4.00%,
04/01/2049
807
859
4.00%,
07/01/2049
2,576
2,743
4.00%,
08/01/2049
4,188
4,455
4.00%,
10/01/2049
5,176
5,606
4.00%,
10/01/2049
3,816
4,078
4.00%,
11/01/2049
2,909
3,097
4.00%,
04/01/2050
3,976
4,315
4.50%,
08/01/2023
83
90
4.50%,
06/01/2029
21
23
4.50%,
07/01/2029
5
5
4.50%,
08/01/2030
12
13
4.50%,
01/01/2034
33
36
4.50%,
04/01/2039
133
148
4.50%,
09/01/2040
248
275
4.50%,
05/01/2041
313
348
4.50%,
08/01/2041
305
340
4.50%,
09/01/2041
408
454
4.50%,
09/01/2043
228
253
4.50%,
11/01/2043
161
180
4.50%,
11/01/2043
246
273
4.50%,
01/01/2044
255
284
4.50%,
02/01/2044
80
89
4.50%,
03/01/2044
251
278
4.50%,
04/01/2044
201
223
4.50%,
04/01/2044
345
384
4.50%,
05/01/2044
266
296
4.50%,
05/01/2044
75
83
4.50%,
05/01/2044
289
320
4.50%,
08/01/2044
284
313
4.50%,
08/01/2044
70
76
4.50%,
10/01/2044
174
192
4.50%,
04/01/2045
85
92
4.50%,
04/01/2046
91
100
4.50%,
05/01/2046
186
206
4.50%,
01/01/2047
125
136
4.50%,
01/01/2047
393
430
4.50%,
03/01/2048
453
491
4.50%,
10/01/2048
1,755
1,893
4.50%,
04/01/2049
970
1,048
4.50%,
05/01/2049
4,829
5,275
4.50%,
07/01/2049
1,492
1,614
4.50%,
07/01/2049
1,436
1,551
4.50%,
09/01/2049
3,020
3,261
5.00%,
12/01/2025
30
32
5.00%,
01/01/2039
560
640
5.00%,
07/01/2039
214
245
5.00%,
02/01/2041
115
132
5.00%,
02/01/2041
185
213
5.00%,
04/01/2041
404
464
5.00%,
05/01/2042
223
256
5.00%,
07/01/2042
103
118
5.00%,
03/01/2044
84
94
5.00%,
05/01/2044
144
160
5.00%,
02/01/2045
192
221
5.00%,
06/01/2045
539
619
5.00%,
05/01/2048
290
317
5.00%,
06/01/2048
181
198
5.00%,
08/01/2048
110
120
5.00%,
09/01/2048
93
102
5.00%,
05/01/2049
200
218
5.00%,
06/01/2049
1,644
1,795
5.00%,
07/01/2049
319
356
5.00%,
08/01/2049
1,730
1,915
5.50%,
12/01/2027
45
50
5.50%,
03/01/2038
113
131
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
30
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
5.50%,
05/01/2038
$
134
$
155
5.50%,
06/01/2038
185
215
5.50%,
09/01/2038
291
340
5.50%,
11/01/2038
149
173
5.50%,
04/01/2039
153
178
5.50%,
04/01/2040
200
228
6.00%,
04/01/2026
24
27
6.00%,
10/01/2036
118
134
$
367,207
Government
National
Mortgage
Association
(GNMA)
-
7.38%
2.50%,
06/20/2027
134
140
2.50%,
12/20/2030
125
130
2.50%,
03/20/2031
203
212
2.50%,
07/20/2043
156
165
2.50%,
12/20/2046
504
535
2.50%,
01/20/2047
172
183
2.50%,
06/01/2050
6,000
6,312
3.00%,
02/15/2027
84
89
3.00%,
08/20/2029
94
99
3.00%,
09/20/2029
113
119
3.00%,
07/20/2030
88
92
3.00%,
01/20/2031
95
100
3.00%,
07/20/2032
128
135
3.00%,
09/20/2042
88
94
3.00%,
11/20/2042
654
697
3.00%,
12/20/2042
486
518
3.00%,
01/20/2043
477
508
3.00%,
03/20/2043
609
649
3.00%,
03/20/2043
101
109
3.00%,
03/20/2043
536
575
3.00%,
04/20/2043
764
814
3.00%,
06/20/2043
682
727
3.00%,
08/20/2043
741
790
3.00%,
05/20/2044
286
305
3.00%,
12/15/2044
85
89
3.00%,
12/20/2044
846
902
3.00%,
01/15/2045
104
110
3.00%,
01/15/2045
100
106
3.00%,
02/20/2045
87
93
3.00%,
05/20/2045
572
610
3.00%,
06/20/2045
234
249
3.00%,
07/20/2045
1,633
1,741
3.00%,
08/20/2045
747
796
3.00%,
09/20/2045
318
339
3.00%,
10/20/2045
688
732
3.00%,
12/20/2045
379
403
3.00%,
01/20/2046
174
186
3.00%,
03/20/2046
727
773
3.00%,
04/20/2046
1,672
1,780
3.00%,
05/20/2046
1,209
1,286
3.00%,
06/20/2046
1,177
1,251
3.00%,
07/20/2046
2,679
2,847
3.00%,
08/20/2046
1,112
1,184
3.00%,
09/20/2046
830
882
3.00%,
10/20/2046
621
660
3.00%,
11/20/2046
883
948
3.00%,
11/20/2046
1,206
1,282
3.00%,
12/15/2046
226
239
3.00%,
12/20/2046
1,044
1,109
3.00%,
01/20/2047
809
860
3.00%,
09/20/2047
228
242
3.00%,
11/20/2047
875
929
3.00%,
02/20/2048
742
787
3.00%,
06/01/2050
25,700
27,206
3.50%,
05/20/2042
186
204
3.50%,
06/20/2042
189
207
3.50%,
07/20/2042
747
818
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
3.50%,
09/20/2042
$
562
$
616
3.50%,
10/20/2042
404
443
3.50%,
11/20/2042
353
386
3.50%,
12/20/2042
358
392
3.50%,
01/20/2043
584
639
3.50%,
02/20/2043
927
1,015
3.50%,
03/20/2043
631
691
3.50%,
04/15/2043
323
347
3.50%,
04/20/2043
432
473
3.50%,
05/20/2043
279
305
3.50%,
07/20/2043
361
395
3.50%,
08/20/2043
923
1,006
3.50%,
09/20/2043
651
708
3.50%,
10/20/2043
307
334
3.50%,
09/20/2044
293
315
3.50%,
10/20/2044
339
366
3.50%,
11/20/2044
332
357
3.50%,
12/20/2044
345
371
3.50%,
01/20/2045
334
360
3.50%,
02/20/2045
457
492
3.50%,
03/15/2045
113
120
3.50%,
03/20/2045
580
624
3.50%,
04/15/2045
66
70
3.50%,
04/20/2045
472
511
3.50%,
04/20/2045
359
386
3.50%,
05/20/2045
587
632
3.50%,
06/20/2045
88
95
3.50%,
07/20/2045
493
531
3.50%,
08/20/2045
530
570
3.50%,
09/20/2045
514
554
3.50%,
10/20/2045
467
504
3.50%,
11/20/2045
813
875
3.50%,
12/20/2045
588
633
3.50%,
01/20/2046
1,255
1,350
3.50%,
02/20/2046
500
542
3.50%,
03/20/2046
10,599
11,405
3.50%,
04/20/2046
582
627
3.50%,
05/20/2046
648
698
3.50%,
06/20/2046
1,260
1,355
3.50%,
07/20/2046
641
689
3.50%,
08/15/2046
156
166
3.50%,
08/20/2046
2,315
2,495
3.50%,
09/15/2046
97
103
3.50%,
09/20/2046
650
700
3.50%,
10/20/2046
653
703
3.50%,
11/20/2046
586
631
3.50%,
12/20/2046
502
538
3.50%,
02/20/2047
561
602
3.50%,
03/20/2047
1,235
1,324
3.50%,
04/20/2047
2,775
2,976
3.50%,
05/20/2047
580
621
3.50%,
06/20/2047
789
845
3.50%,
07/20/2047
1,964
2,092
3.50%,
08/20/2047
2,300
2,461
3.50%,
09/20/2047
711
760
3.50%,
10/20/2047
927
991
3.50%,
11/20/2047
1,766
1,885
3.50%,
12/20/2047
1,009
1,079
3.50%,
01/15/2048
102
108
3.50%,
01/20/2048
1,128
1,206
3.50%,
04/20/2048
796
850
3.50%,
08/20/2048
699
745
3.50%,
09/15/2048
97
107
3.50%,
06/01/2050
1,000
1,060
4.00%,
11/20/2043
567
624
4.00%,
02/20/2044
230
253
4.00%,
05/15/2044
131
142
4.00%,
05/20/2044
132
144
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
31
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
4.00%,
07/20/2044
$
38
$
42
4.00%,
08/20/2044
288
315
4.00%,
09/20/2044
252
276
4.00%,
10/20/2044
938
1,027
4.00%,
11/15/2044
80
87
4.00%,
11/20/2044
186
203
4.00%,
12/20/2044
334
365
4.00%,
01/20/2045
143
156
4.00%,
03/20/2045
214
234
4.00%,
08/20/2045
296
322
4.00%,
09/15/2045
106
114
4.00%,
09/20/2045
352
383
4.00%,
10/20/2045
434
473
4.00%,
11/20/2045
592
644
4.00%,
12/15/2045
132
143
4.00%,
01/20/2046
687
746
4.00%,
02/20/2046
107
116
4.00%,
04/20/2046
420
456
4.00%,
10/20/2046
118
128
4.00%,
11/20/2046
560
607
4.00%,
01/20/2047
34
37
4.00%,
02/20/2047
600
647
4.00%,
03/20/2047
432
466
4.00%,
05/20/2047
148
160
4.00%,
07/20/2047
3,043
3,279
4.00%,
09/20/2047
5,327
5,738
4.00%,
11/20/2047
970
1,042
4.00%,
12/20/2047
944
1,015
4.00%,
01/20/2048
639
687
4.00%,
02/20/2048
5,500
5,952
4.00%,
07/20/2048
842
900
4.50%,
03/15/2039
197
219
4.50%,
03/15/2040
260
290
4.50%,
07/15/2040
260
290
4.50%,
02/20/2041
39
43
4.50%,
03/20/2041
30
34
4.50%,
10/20/2043
150
166
4.50%,
11/20/2043
222
245
4.50%,
01/20/2044
273
301
4.50%,
02/20/2044
205
226
4.50%,
05/20/2044
510
563
4.50%,
07/20/2044
137
151
4.50%,
01/20/2045
105
116
4.50%,
04/20/2045
167
184
4.50%,
05/15/2045
149
165
4.50%,
05/20/2045
118
131
4.50%,
09/15/2045
71
78
4.50%,
02/20/2046
202
223
4.50%,
03/20/2046
105
115
4.50%,
04/20/2046
123
136
4.50%,
08/15/2046
105
117
4.50%,
12/20/2046
342
377
4.50%,
03/15/2047
219
241
4.50%,
06/20/2047
302
332
4.50%,
10/15/2047
196
215
4.50%,
02/20/2048
3,716
4,061
4.50%,
03/20/2048
164
177
4.50%,
05/20/2048
1,799
1,953
4.50%,
06/20/2048
523
568
4.50%,
07/20/2048
479
519
4.50%,
08/20/2048
863
929
4.50%,
09/20/2048
641
693
4.50%,
10/20/2048
652
706
4.50%,
11/20/2048
600
646
4.50%,
12/20/2048
521
562
5.00%,
05/15/2033
173
199
5.00%,
07/20/2038
155
175
5.00%,
10/15/2038
223
256
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
5.00%,
04/20/2039
$
101
$
115
5.00%,
10/15/2041
157
176
5.00%,
01/20/2045
187
210
5.00%,
02/20/2046
61
68
5.00%,
12/20/2046
155
175
5.00%,
06/20/2048
3,368
3,683
5.00%,
08/20/2048
90
99
5.00%,
10/20/2048
336
368
5.50%,
03/15/2038
158
177
5.50%,
02/15/2039
64
71
5.50%,
06/15/2040
277
312
5.50%,
07/20/2044
140
158
5.50%,
09/20/2044
175
197
5.50%,
12/20/2048
49
53
$
173,964
U.S.
Treasury
-
38.56%
0.38%,
04/30/2025
6,635
6,656
1.13%,
07/31/2021
4,170
4,215
1.13%,
09/30/2021
3,585
3,630
1.13%,
02/28/2022
18,700
19,012
1.13%,
02/28/2027
5,890
6,143
1.25%,
10/31/2021
5,830
5,917
1.25%,
07/31/2023
7,125
7,361
1.25%,
08/31/2024
7,495
7,808
1.38%,
01/31/2022
4,630
4,722
1.38%,
06/30/2023
2,745
2,844
1.38%,
08/31/2023
10,210
10,596
1.38%,
09/30/2023
3,375
3,506
1.38%,
08/31/2026
5,900
6,239
1.50%,
08/31/2021
3,600
3,658
1.50%,
09/30/2021
1,450
1,475
1.50%,
10/31/2021
3,950
4,024
1.50%,
11/30/2021
6,450
6,578
1.50%,
01/31/2022
3,800
3,883
1.50%,
08/15/2022
2,200
2,264
1.50%,
09/15/2022
4,490
4,626
1.50%,
02/28/2023
2,090
2,165
1.50%,
03/31/2023
3,520
3,651
1.50%,
09/30/2024
1,925
2,027
1.50%,
11/30/2024
6,000
6,329
1.50%,
08/15/2026
2,230
2,374
1.50%,
02/15/2030
3,760
4,067
1.63%,
12/31/2021
3,025
3,094
1.63%,
08/15/2022
953
984
1.63%,
08/31/2022
3,500
3,614
1.63%,
11/15/2022
4,915
5,089
1.63%,
04/30/2023
1,875
1,953
1.63%,
05/31/2023
3,000
3,128
1.63%,
10/31/2023
3,270
3,427
1.63%,
02/15/2026
11,523
12,323
1.63%,
05/15/2026
5,851
6,266
1.63%,
09/30/2026
4,225
4,535
1.63%,
11/30/2026
6,285
6,753
1.63%,
08/15/2029
6,575
7,176
1.75%,
11/30/2021
3,600
3,685
1.75%,
02/28/2022
2,815
2,892
1.75%,
03/31/2022
3,070
3,158
1.75%,
04/30/2022
3,325
3,426
1.75%,
05/15/2022
2,620
2,701
1.75%,
05/31/2022
3,370
3,476
1.75%,
06/30/2022
2,730
2,819
1.75%,
09/30/2022
12,360
12,812
1.75%,
01/31/2023
2,110
2,198
1.75%,
05/15/2023
4,000
4,183
1.75%,
07/31/2024
11,385
12,088
1.75%,
11/15/2029
3,475
3,838
1.88%,
11/30/2021
4,660
4,779
1.88%,
01/31/2022
1,670
1,717
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
32
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
1.88%,
02/28/2022
$
3,370
$
3,470
1.88%,
03/31/2022
3,750
3,866
1.88%,
04/30/2022
1,160
1,198
1.88%,
05/31/2022
1,580
1,634
1.88%,
07/31/2022
2,850
2,954
1.88%,
08/31/2022
2,655
2,757
1.88%,
09/30/2022
3,210
3,337
1.88%,
10/31/2022
3,955
4,117
1.88%,
08/31/2024
10,900
11,641
1.88%,
07/31/2026
3,000
3,263
2.00%,
08/31/2021
3,150
3,221
2.00%,
10/31/2021
4,750
4,872
2.00%,
11/15/2021
10,040
10,306
2.00%,
12/31/2021
3,000
3,086
2.00%,
02/15/2022
4,000
4,125
2.00%,
10/31/2022
6,420
6,702
2.00%,
11/30/2022
3,785
3,956
2.00%,
02/15/2023
4,741
4,973
2.00%,
04/30/2024
1,990
2,126
2.00%,
05/31/2024
4,660
4,984
2.00%,
06/30/2024
1,500
1,606
2.00%,
02/15/2025
8,075
8,715
2.00%,
08/15/2025
4,020
4,363
2.00%,
11/15/2026
2,840
3,118
2.00%,
02/15/2050
6,775
7,765
2.13%,
08/15/2021
2,810
2,875
2.13%,
09/30/2021
4,400
4,513
2.13%,
12/31/2021
4,000
4,123
2.13%,
05/15/2022
1,000
1,038
2.13%,
06/30/2022
2,000
2,081
2.13%,
12/31/2022
4,080
4,284
2.13%,
02/29/2024
5,315
5,690
2.13%,
03/31/2024
4,200
4,502
2.13%,
09/30/2024
7,825
8,448
2.13%,
11/30/2024
5,450
5,899
2.13%,
05/15/2025
6,500
7,075
2.13%,
05/31/2026
3,650
4,019
2.25%,
07/31/2021
3,500
3,584
2.25%,
04/15/2022
3,440
3,573
2.25%,
01/31/2024
4,855
5,214
2.25%,
04/30/2024
3,710
4,000
2.25%,
10/31/2024
8,350
9,072
2.25%,
11/15/2024
10,245
11,137
2.25%,
12/31/2024
4,000
4,356
2.25%,
11/15/2025
7,120
7,842
2.25%,
03/31/2026
4,985
5,515
2.25%,
02/15/2027
5,910
6,604
2.25%,
08/15/2027
6,565
7,381
2.25%,
11/15/2027
2,610
2,942
2.25%,
08/15/2046
3,620
4,293
2.25%,
08/15/2049
6,335
7,619
2.38%,
03/15/2022
3,535
3,674
2.38%,
01/31/2023
2,985
3,159
2.38%,
08/15/2024
8,135
8,853
2.38%,
04/30/2026
2,895
3,227
2.38%,
05/15/2027
6,075
6,862
2.38%,
05/15/2029
9,110
10,521
2.38%,
11/15/2049
2,205
2,725
2.50%,
01/15/2022
3,735
3,875
2.50%,
02/15/2022
3,375
3,508
2.50%,
03/31/2023
2,905
3,095
2.50%,
08/15/2023
5,285
5,672
2.50%,
01/31/2024
3,600
3,898
2.50%,
05/15/2024
3,500
3,810
2.50%,
01/31/2025
2,500
2,755
2.50%,
02/28/2026
2,840
3,179
2.50%,
02/15/2045
3,500
4,316
2.50%,
02/15/2046
815
1,009
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
2.50%,
05/15/2046
$
4,080
$
5,060
2.63%,
06/15/2021
6,145
6,299
2.63%,
07/15/2021
3,000
3,081
2.63%,
12/15/2021
3,185
3,305
2.63%,
02/28/2023
3,030
3,233
2.63%,
06/30/2023
2,000
2,149
2.63%,
12/31/2023
3,435
3,729
2.63%,
12/31/2025
2,160
2,428
2.63%,
01/31/2026
6,790
7,641
2.63%,
02/15/2029
11,500
13,491
2.75%,
08/15/2021
2,640
2,721
2.75%,
09/15/2021
2,465
2,546
2.75%,
04/30/2023
2,875
3,088
2.75%,
05/31/2023
2,900
3,121
2.75%,
07/31/2023
2,818
3,045
2.75%,
08/31/2023
2,875
3,112
2.75%,
11/15/2023
6,380
6,937
2.75%,
02/15/2024
4,600
5,027
2.75%,
02/28/2025
3,500
3,903
2.75%,
08/31/2025
2,000
2,250
2.75%,
02/15/2028
4,790
5,595
2.75%,
08/15/2042
2,209
2,824
2.75%,
11/15/2042
3,230
4,129
2.75%,
08/15/2047
5,875
7,677
2.75%,
11/15/2047
4,620
6,045
2.88%,
10/15/2021
3,590
3,723
2.88%,
11/15/2021
3,190
3,315
2.88%,
09/30/2023
2,935
3,195
2.88%,
10/31/2023
3,405
3,713
2.88%,
11/30/2023
3,445
3,764
2.88%,
04/30/2025
3,325
3,740
2.88%,
05/31/2025
2,000
2,253
2.88%,
07/31/2025
2,000
2,259
2.88%,
11/30/2025
1,470
1,670
2.88%,
05/15/2028
6,645
7,854
2.88%,
08/15/2028
11,385
13,504
2.88%,
05/15/2043
4,430
5,783
2.88%,
08/15/2045
3,000
3,955
2.88%,
11/15/2046
4,855
6,459
2.88%,
05/15/2049
3,435
4,646
3.00%,
09/30/2025
540
616
3.00%,
10/31/2025
3,000
3,424
3.00%,
11/15/2044
4,505
6,033
3.00%,
11/15/2045
2,620
3,533
3.00%,
02/15/2047
3,135
4,272
3.00%,
05/15/2047
3,235
4,409
3.00%,
02/15/2048
2,325
3,184
3.00%,
08/15/2048
5,075
6,980
3.00%,
02/15/2049
7,625
10,524
3.13%,
11/15/2028
7,025
8,507
3.13%,
11/15/2041
2,600
3,515
3.13%,
02/15/2042
1,140
1,544
3.13%,
02/15/2043
2,680
3,631
3.13%,
08/15/2044
3,605
4,918
3.13%,
05/15/2048
3,250
4,555
3.38%,
05/15/2044
3,845
5,438
3.38%,
11/15/2048
6,470
9,508
3.63%,
08/15/2043
2,840
4,145
3.63%,
02/15/2044
3,330
4,876
3.75%,
08/15/2041
2,660
3,912
3.75%,
11/15/2043
2,960
4,406
3.88%,
08/15/2040
2,230
3,321
4.25%,
05/15/2039
2,135
3,305
4.25%,
11/15/2040
1,038
1,621
4.38%,
02/15/2038
495
770
4.38%,
05/15/2040
389
615
4.38%,
05/15/2041
1,610
2,559
4.50%,
02/15/2036
1,550
2,376
Schedule
of
Investments
Bond
Market
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
33
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
4.50%,
08/15/2039
$
2,945
$
4,691
4.63%,
02/15/2040
925
1,501
4.75%,
02/15/2041
2,589
4,291
5.25%,
11/15/2028
409
567
5.25%,
02/15/2029
795
1,111
5.38%,
02/15/2031
2,620
3,907
6.00%,
02/15/2026
2,000
2,635
6.13%,
11/15/2027
1,260
1,781
6.25%,
05/15/2030
2,000
3,091
6.38%,
08/15/2027
1,540
2,184
6.50%,
11/15/2026
1,000
1,387
6.63%,
02/15/2027
795
1,119
$
908,887
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
1,541,747
Total
Investments
$
2,459,201
Other
Assets
and
Liabilities
- (4.34)%
(102,196)
TOTAL
NET
ASSETS
-
100.00%
$
2,357,005
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$5,845
or
0.25%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(g)
Security
purchased
on
a
when-issued
basis.
(h)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$18,152
or
0.77%
of
net
assets.
(i)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions. These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(j)
Credit
support
indicates
investments
that
benefit
from
credit
enhancement
or
liquidity
support
provided
by
a
third
party
bank,
institution,
or
government
agency.
(k)
Security
was
purchased
in
a
"to-be-announced"
("TBA")
transaction. See
Notes
to
Financial
Statements
for
additional
information.
Portfolio
Summary (unaudited)
Sector
Percent
Government
42.93%
Mortgage
Securities
28.51%
Financial
8.62%
Money
Market
Funds
5.37%
Consumer,
Non-cyclical
4.88%
Communications
2.72%
Energy
2.29%
Utilities
2.13%
Industrial
2.07%
Technology
1.92%
Consumer,
Cyclical
1.27%
Basic
Materials
0.65%
Revenue
Bonds
0.37%
Asset
Backed
Securities
0.33%
General
Obligation
Unlimited
0.23%
Insured
0.03%
General
Obligation
Limited
0.02%
Other
Assets
and
Liabilities
(4.34)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
74,643
$
990,903
$
940,332
$
125,214
$
74,643
$
990,903
$
940,332
$
125,214
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
937
$
—
$
—
$
—
$
937
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Capital
Securities
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
34
INVESTMENT
COMPANIES
-
3.32%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.16%
Invesco
Preferred
ETF
34,664
$
498
iShares
Preferred
&
Income
Securities
ETF
(a)
18,663
656
$
1,154
Money
Market
Funds
-
3.16%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(b),(c)
1,721,941
1,722
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(b),(c),(d),(e)
21,792,837
21,793
$
23,515
TOTAL
INVESTMENT
COMPANIES
$
24,669
CONVERTIBLE
PREFERRED
STOCKS
-
0.35%
Shares
Held
Value
(000's)
Hand
&
Machine
Tools
-
0.35%
Stanley
Black
&
Decker
Inc
0.00%,
05/15/2021
(e),(f)
2,500
$
2,613
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
2,613
PREFERRED
STOCKS
-
3.81%
Shares
Held
Value
(000's)
Banks
-
1.06%
Fifth
Third
Bancorp
6.63%,
12/31/2023
(f)
88,310
2,407
3
Month
USD
LIBOR
+
3.71%
First
Republic
Bank/CA
5.13%,
06/30/2022
(f)
45,549
1,183
HSBC
Holdings
PLC
6.20%,
07/01/2020
(f)
3,347
87
Huntington
Bancshares
Inc/OH
6.25%,
04/15/2021
(f)
78,159
2,006
KeyCorp
6.13%,
12/15/2026
(f)
30,920
868
3
Month
USD
LIBOR
+
3.89%
Valley
National
Bancorp
6.25%,
06/30/2025
(f)
28,980
718
3
Month
USD
LIBOR
+
3.85%
Webster
Financial
Corp
5.25%,
12/15/2022
(a),(f)
24,861
640
$
7,909
Diversified
Financial
Services
-
0.16%
Capital
One
Financial
Corp
5.00%,
12/01/2024
(f)
50,000
1,168
Electric
-
0.13%
Southern
Co/The
0.00%,
01/30/2080
(e)
37,500
936
Southern
Co/The
6.25%,
10/15/2075
1,300
33
$
969
Gas
-
0.01%
Entergy
New
Orleans
LLC
5.50%,
04/01/2066
900
24
NiSource
Inc
6.50%,
03/15/2024
(f)
2,439
64
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.63%
$
88
Insurance
-
0.38%
American
Financial
Group
Inc/OH
5.13%,
12/15/2059
(a)
425
10
Arch
Capital
Group
Ltd
5.45%,
08/17/2022
(f)
2,000
51
Equitable
Holdings
Inc
5.25%,
12/15/2024
(f)
40,265
962
MetLife
Inc
0.00%,
03/15/2025
(e),(f)
40,000
993
Voya
Financial
Inc
5.35%,
09/15/2029
(f)
30,000
772
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.21%
$
2,788
Pipelines
-
0.52%
Enbridge
Inc
6.38%,
04/15/2078
158,468
3,843
3
Month
USD
LIBOR
+
3.59%
REITs
-
0.27%
Digital
Realty
Trust
Inc
5.88%,
07/01/2020
(f)
724
19
Kimco
Realty
Corp
5.25%,
12/20/2022
(f)
14,318
346
PS
Business
Parks
Inc
4.88%,
11/04/2024
(f)
1,447
35
PS
Business
Parks
Inc
5.20%,
12/07/2022
(f)
2,000
51
PS
Business
Parks
Inc
5.25%,
09/21/2022
(f)
500
13
Public
Storage
4.88%,
09/12/2024
(f)
38,279
994
Public
Storage
5.13%,
05/17/2021
(a),(f)
8,790
227
Public
Storage
5.38%,
07/01/2020
(f)
6,501
166
Public
Storage
5.40%,
01/20/2021
(f)
2,031
52
Public
Storage
5.60%,
03/11/2024
(f)
500
14
Vornado
Realty
Trust
5.70%,
07/01/2020
(a),(f)
5,120
126
$
2,043
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Sovereign
-
0.90%
CoBank
ACB
6.13%,
10/01/2020
(f)
6,000
$
609
CoBank
ACB
6.20%,
01/01/2025
(f)
10,000
1,061
3
Month
USD
LIBOR
+
3.74%
CoBank
ACB
6.25%,
10/01/2022
(f)
38,800
3,977
3
Month
USD
LIBOR
+
4.56%
Farm
Credit
Bank
of
Texas
6.75%,
09/15/2023
(f),(g)
10,000
1,010
3
Month
USD
LIBOR
+
4.01%
$
6,657
Telecommunications
-
0.38%
AT&T
Inc
0.00%,
02/18/2025
(e),(f)
120,000
2,848
TOTAL
PREFERRED
STOCKS
$
28,313
BONDS
-
91.81%
Principal
Amount
(000's)
Value
(000's)
Banks
-
49.33%
Australia
&
New
Zealand
Banking
Group
Ltd/
United
Kingdom
6.75%,
12/31/2049
(f),(g),(h)
$
1,900
$
2,103
USD
Swap
Rate
NY
5
Year
+
5.17%
Banco
Bilbao
Vizcaya
Argentaria
SA
6.50%,
12/31/2049
(f),(h)
9,400
8,836
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.19%
Bank
of
America
Corp
6.25%,
12/31/2049
(f),(h)
2,000
2,070
3
Month
USD
LIBOR
+
3.71%
6.30%,
12/31/2049
(f),(h)
2,000
2,190
3
Month
USD
LIBOR
+
4.55%
6.50%,
12/31/2049
(f),(h)
3,000
3,233
3
Month
USD
LIBOR
+
4.17%
Bank
of
New
York
Mellon
Corp/The
4.62%,
12/31/2099
(f),(h)
7,408
7,223
3
Month
USD
LIBOR
+
3.13%
4.95%,
12/31/2049
(f),(h)
8,100
7,638
3
Month
USD
LIBOR
+
3.42%
Barclays
Bank
PLC
6.28%,
12/31/2049
(f),(h)
5,450
5,648
3
Month
USD
LIBOR
+
1.55%
10.18%,
06/12/2021
(g)
3,000
3,246
10.18%,
06/12/2021
900
974
Barclays
PLC
8.00%,
12/31/2049
(f),(h)
5,000
5,124
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.67%
BNP
Paribas
SA
4.50%,
12/31/2049
(f),(g),(h)
3,000
2,569
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.94%
6.63%,
12/31/2049
(f),(h)
800
818
USD
Swap
Rate
NY
5
Year
+
4.15%
7.20%,
12/31/2049
(f),(g),(h)
1,300
1,399
3
Month
USD
LIBOR
+
1.29%
7.37%,
12/31/2049
(a),(f),(g),(h)
6,103
6,690
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.63%,
12/31/2049
(f),(g),(h)
2,242
2,298
USD
Swap
Semi-Annual
5
Year
+
6.31%
7.63%,
12/31/2049
(f),(h)
7,800
7,995
USD
Swap
Semi-Annual
5
Year
+
6.31%
Citigroup
Inc
4.70%,
12/31/2049
(f),(h)
600
523
United
States
Secured
Overnight
Financing
Rate
+
3.23%
5.95%,
12/31/2049
(f),(h)
1,000
935
3
Month
USD
LIBOR
+
4.10%
6.13%,
12/31/2049
(f),(h)
6,000
5,863
3
Month
USD
LIBOR
+
4.48%
6.25%,
12/31/2049
(f),(h)
1,500
1,597
3
Month
USD
LIBOR
+
4.52%
Schedule
of
Investments
Capital
Securities
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
35
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Citizens
Financial
Group
Inc
5.33%,
12/31/2049
(f)
$
9,490
$
8,057
3
Month
USD
LIBOR
+
3.96%
6.00%,
12/31/2049
(f),(h)
3,184
2,802
3
Month
USD
LIBOR
+
3.00%
6.38%,
12/31/2049
(f),(h)
3,500
3,288
3
Month
USD
LIBOR
+
3.16%
Comerica
Inc
5.63%,
12/31/2049
(f),(h)
7,300
7,260
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.29%
Corestates
Capital
III
0.96%,
02/15/2027
(g)
22,771
20,083
3
Month
USD
LIBOR
+
0.57%
Credit
Agricole
SA
7.88%,
12/31/2049
(f),(h)
2,300
2,508
USD
Swap
Semi-Annual
5
Year
+
4.90%
8.13%,
12/31/2049
(f),(g),(h)
7,232
8,281
USD
Swap
Semi-Annual
5
Year
+
6.19%
Credit
Suisse
AG
6.50%,
08/08/2023
600
648
Credit
Suisse
Group
AG
6.25%,
12/31/2049
(f),(g),(h)
5,490
5,741
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.38%,
12/31/2099
(f),(g),(h)
5,000
5,117
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.82%
7.50%,
12/31/2049
(f),(g),(h)
6,250
6,718
USD
Swap
Semi-Annual
5
Year
+
4.60%
Danske
Bank
A/S
6.13%,
12/31/2099
(f),(h)
6,600
6,451
USD
Swap
Semi-Annual
7
Year
+
3.90%
Goldman
Sachs
Group
Inc/The
4.37%,
12/31/2049
(f)
2,000
1,793
3
Month
USD
LIBOR
+
3.92%
4.95%,
12/31/2049
(f),(h)
1,000
960
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.22%
5.50%,
12/31/2049
(a),(f),(h)
2,000
2,050
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.62%
HSBC
Capital
Funding
Dollar
1
LP
10.18%,
12/31/2049
(f),(g),(h)
1,700
2,635
3
Month
USD
LIBOR
+
4.98%
10.18%,
12/31/2049
(f),(h)
4,400
6,820
3
Month
USD
LIBOR
+
4.98%
HSBC
Holdings
PLC
6.00%,
12/31/2099
(f),(h)
3,000
2,914
USD
Swap
Rate
NY
5
Year
+
3.75%
6.38%,
12/31/2049
(f),(h)
1,300
1,282
USD
Swap
Rate
NY
5
Year
+
3.71%
6.50%,
12/31/2099
(f),(h)
500
498
USD
Swap
Rate
NY
5
Year
+
3.61%
6.87%,
12/31/2049
(f),(h)
8,100
8,300
USD
Swap
Rate
NY
5
Year
+
5.51%
Huntington
Bancshares
Inc/OH
5.63%,
12/31/2049
(f),(h),(i)
1,900
1,909
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
10
Year
+
4.95%
Huntington
Capital
II
1.37%,
06/15/2028
2,400
2,047
3
Month
USD
LIBOR
+
0.63%
ING
Groep
NV
5.75%,
12/31/2049
(f),(h)
7,000
6,781
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.34%
6.50%,
12/31/2049
(f),(h)
500
508
USD
Swap
Semi-Annual
5
Year
+
4.45%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
JPMorgan
Chase
&
Co
4.49%,
12/31/2099
(f)
$
5,000
$
4,609
3
Month
USD
LIBOR
+
3.80%
4.60%,
12/31/2049
(f),(h)
4,900
4,355
United
States
Secured
Overnight
Financing
Rate
+
3.13%
6.75%,
12/31/2049
(f),(h)
2,000
2,130
3
Month
USD
LIBOR
+
3.78%
KeyCorp
5.00%,
12/31/2049
(f),(h)
4,000
3,740
3
Month
USD
LIBOR
+
3.61%
KeyCorp
Capital
I
2.17%,
07/01/2028
2,000
1,722
3
Month
USD
LIBOR
+
0.74%
KeyCorp
Capital
III
7.75%,
07/15/2029
1,500
1,964
Lloyds
Bank
PLC
12.00%,
12/31/2049
(f),(g),(h)
3,100
3,540
3
Month
USD
LIBOR
+
11.76%
12.00%,
12/31/2049
(f),(h)
5,500
6,280
3
Month
USD
LIBOR
+
11.76%
Lloyds
Banking
Group
PLC
6.41%,
12/31/2049
(f),(g),(h)
1,200
1,266
3
Month
USD
LIBOR
+
1.50%
7.50%,
12/31/2049
(f),(h)
4,300
4,391
USD
Swap
Semi-Annual
5
Year
+
4.76%
7.50%,
12/31/2049
(f),(h)
6,600
6,799
USD
Swap
Semi-Annual
5
Year
+
4.50%
M&T
Bank
Corp
5.12%,
12/31/2049
(f),(h)
4,000
4,000
3
Month
USD
LIBOR
+
3.52%
6.45%,
12/31/2049
(f),(h)
1,300
1,339
3
Month
USD
LIBOR
+
3.61%
Nordea
Bank
Abp
6.13%,
12/31/2049
(f),(g),(h)
4,300
4,298
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.63%,
12/31/2099
(f),(g),(h)
13,400
14,170
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.11%
Northern
Trust
Corp
4.60%,
12/31/2049
(f),(h)
8,898
8,587
3
Month
USD
LIBOR
+
3.20%
NTC
Capital
I
1.74%,
01/15/2027
1,250
1,141
3
Month
USD
LIBOR
+
0.52%
NTC
Capital
II
1.81%,
04/15/2027
1,200
1,061
3
Month
USD
LIBOR
+
0.59%
PNC
Capital
Trust
C
2.15%,
06/01/2028
3,000
2,576
3
Month
USD
LIBOR
+
0.57%
RBS
Capital
Trust
II
6.43%,
12/31/2049
(f),(h)
600
856
3
Month
USD
LIBOR
+
1.94%
Royal
Bank
of
Scotland
Group
PLC
3.77%,
12/31/2049
(f)
1,000
896
3
Month
USD
LIBOR
+
2.32%
7.50%,
12/31/2049
(f),(h)
6,896
6,754
USD
Swap
Semi-Annual
5
Year
+
5.80%
7.65%,
12/31/2049
(f),(h)
1,800
2,565
3
Month
USD
LIBOR
+
2.50%
8.00%,
12/31/2049
(f),(h)
1,000
1,080
USD
Swap
Semi-Annual
5
Year
+
5.72%
8.62%,
12/31/2049
(f),(h)
2,800
2,907
USD
Swap
Semi-Annual
5
Year
+
7.60%
Skandinaviska
Enskilda
Banken
AB
5.63%,
12/31/2049
(f),(h)
200
199
USD
Swap
Semi-Annual
5
Year
+
3.49%
Schedule
of
Investments
Capital
Securities
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
36
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Societe
Generale
SA
7.38%,
12/31/2049
(f),(g),(h)
$
5,500
$
5,375
USD
Swap
Semi-Annual
5
Year
+
4.30%
7.38%,
12/31/2049
(f),(g),(h)
5,000
5,034
USD
Swap
Semi-Annual
5
Year
+
6.24%
8.00%,
12/31/2049
(f),(g),(h)
3,500
3,745
USD
Swap
Rate
NY
5
Year
+
5.87%
Standard
Chartered
PLC
7.01%,
12/31/2049
(f),(g),(h)
7,800
8,463
3
Month
USD
LIBOR
+
1.46%
7.01%,
12/31/2049
(f),(h)
3,600
3,906
3
Month
USD
LIBOR
+
1.46%
7.50%,
12/31/2049
(f),(g),(h)
3,300
3,387
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.75%,
12/31/2049
(f),(g),(h)
1,000
1,031
USD
Swap
Semi-Annual
5
Year
+
5.72%
Swedbank
AB
6.00%,
12/31/2049
(f),(h)
4,400
4,394
USD
Swap
Semi-Annual
5
Year
+
4.11%
TCF
National
Bank
5.50%,
05/06/2030
(h)
2,000
2,005
3
Month
USD
LIBOR
+
5.09%
Truist
Bank
1.06%,
05/15/2027
4,500
3,860
3
Month
USD
LIBOR
+
0.67%
1.39%,
03/15/2028
2,000
1,713
3
Month
USD
LIBOR
+
0.65%
Truist
Financial
Corp
4.80%,
12/31/2099
(f),(h)
21,200
20,161
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.00%
4.95%,
12/31/2049
(f),(h),(i)
2,800
2,821
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.61%
UBS
Group
AG
6.88%,
12/31/2049
(f),(h)
9,200
9,649
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.59%
7.00%,
12/31/2049
(f),(g),(h)
1,400
1,442
USD
Swap
Semi-Annual
5
Year
+
4.34%
US
Bancorp
5.12%,
12/31/2049
(f),(h)
2,000
1,989
3
Month
USD
LIBOR
+
3.49%
$
366,623
Diversified
Financial
Services
-
3.77%
American
Express
Co
4.03%,
12/31/2049
(f)
4,500
3,757
3
Month
USD
LIBOR
+
3.29%
Capital
One
Financial
Corp
5.55%,
12/31/2049
(f)
4,000
3,260
3
Month
USD
LIBOR
+
3.80%
Charles
Schwab
Corp/The
5.38%,
12/31/2049
(f),(h)
9,200
9,747
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
7.00%,
12/31/2049
(f),(h)
5,813
6,100
3
Month
USD
LIBOR
+
4.82%
Depository
Trust
&
Clearing
Corp/The
4.88%,
12/31/2049
(f),(g),(h)
6,000
5,160
3
Month
USD
LIBOR
+
3.17%
$
28,024
Electric
-
5.04%
Dominion
Energy
Inc
4.65%,
12/31/2099
(f),(h)
8,500
8,316
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.99%
5.75%,
10/01/2054
(h)
6,775
6,919
3
Month
USD
LIBOR
+
3.06%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Duke
Energy
Corp
4.88%,
12/31/2099
(f),(h)
$
4,450
$
4,506
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.39%
Emera
Inc
6.75%,
06/15/2076
(h)
10,000
10,820
3
Month
USD
LIBOR
+
5.44%
Enel
SpA
8.75%,
09/24/2073
(g),(h)
1,700
1,930
USD
Swap
Semi-Annual
5
Year
+
5.88%
National
Rural
Utilities
Cooperative
Finance
Corp
5.25%,
04/20/2046
(h)
700
736
3
Month
USD
LIBOR
+
3.63%
NextEra
Energy
Capital
Holdings
Inc
2.87%,
06/15/2067
580
443
3
Month
USD
LIBOR
+
2.13%
3.50%,
10/01/2066
4,500
3,555
3
Month
USD
LIBOR
+
2.07%
4.80%,
12/01/2077
(h)
250
254
3
Month
USD
LIBOR
+
2.41%
$
37,479
Food
-
0.58%
Dairy
Farmers
of
America
Inc
7.13%,
12/31/2049
(f),(g)
5,000
4,294
Gas
-
1.18%
NiSource
Inc
5.65%,
12/31/2049
(f),(h)
9,195
8,735
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.84%
Hand
&
Machine
Tools
-
0.15%
Stanley
Black
&
Decker
Inc
4.00%,
03/15/2060
(h)
1,100
1,091
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.66%
Insurance
-
25.49%
ACE
Capital
Trust
II
9.70%,
04/01/2030
2,570
3,656
Allstate
Corp/The
5.75%,
08/15/2053
(h)
9,900
10,049
3
Month
USD
LIBOR
+
2.94%
American
International
Group
Inc
5.75%,
04/01/2048
(h)
13,077
13,274
3
Month
USD
LIBOR
+
2.87%
8.18%,
05/15/2068
(h)
6,700
8,272
3
Month
USD
LIBOR
+
4.20%
Aon
Corp
8.21%,
01/01/2027
1,000
1,170
Argentum
Netherlands
BV
for
Zurich
Insurance
Co
Ltd
5.13%,
06/01/2048
(h)
2,000
2,134
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.27%
AXA
SA
6.38%,
12/31/2049
(f),(g),(h)
4,905
6,180
3
Month
USD
LIBOR
+
2.26%
8.60%,
12/15/2030
2,400
3,399
Cloverie
PLC
for
Zurich
Insurance
Co
Ltd
5.63%,
06/24/2046
(h)
12,100
13,471
3
Month
USD
LIBOR
+
4.92%
Everest
Reinsurance
Holdings
Inc
2.78%,
05/01/2067
1,600
1,204
3
Month
USD
LIBOR
+
2.39%
Hartford
Financial
Services
Group
Inc/The
2.52%,
02/12/2067
(g)
2,800
2,219
3
Month
USD
LIBOR
+
2.13%
Legal
&
General
Group
PLC
5.25%,
03/21/2047
(h)
4,700
4,897
USD
Swap
Semi-Annual
5
Year
+
3.69%
Schedule
of
Investments
Capital
Securities
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
37
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Liberty
Mutual
Group
Inc
7.80%,
03/07/2087
(g)
$
6,100
$
7,072
3
Month
USD
LIBOR
+
3.58%
Liberty
Mutual
Insurance
Co
7.70%,
10/15/2097
(g)
1,100
1,619
Lincoln
National
Corp
3.18%,
04/20/2067
4,200
2,831
3
Month
USD
LIBOR
+
2.04%
Meiji
Yasuda
Life
Insurance
Co
5.10%,
04/26/2048
(a),(g),(h)
1,300
1,456
USD
Swap
Rate
NY
5
Year
+
3.15%
5.20%,
10/20/2045
(g),(h)
1,000
1,133
USD
Swap
Semi-Annual
5
Year
+
4.23%
MetLife
Capital
Trust
IV
7.88%,
12/15/2067
(g)
1,800
2,277
MetLife
Inc
5.25%,
12/31/2049
(f),(h)
3,500
3,133
3
Month
USD
LIBOR
+
3.58%
6.40%,
12/15/2066
700
811
3
Month
USD
LIBOR
+
2.21%
9.25%,
04/08/2068
(g)
4,500
6,233
3
Month
USD
LIBOR
+
5.54%
10.75%,
08/01/2069
4,300
6,558
3
Month
USD
LIBOR
+
7.55%
Mitsui
Sumitomo
Insurance
Co
Ltd
7.00%,
03/15/2072
(g),(h)
3,600
3,888
3
Month
USD
LIBOR
+
5.90%
7.00%,
03/15/2072
(h)
2,500
2,700
3
Month
USD
LIBOR
+
5.90%
Nationwide
Financial
Services
Inc
6.75%,
05/15/2087
500
564
Nippon
Life
Insurance
Co
5.00%,
10/18/2042
(g),(h)
1,525
1,607
3
Month
USD
LIBOR
+
4.24%
5.10%,
10/16/2044
(h)
785
864
USD
Swap
Rate
NY
5
Year
+
3.65%
Progressive
Corp/The
5.38%,
12/31/2049
(f),(h)
16,478
15,885
3
Month
USD
LIBOR
+
2.54%
Prudential
Financial
Inc
5.63%,
06/15/2043
(h)
9,380
9,711
3
Month
USD
LIBOR
+
3.92%
5.88%,
09/15/2042
(h)
11,000
11,568
3
Month
USD
LIBOR
+
4.18%
QBE
Insurance
Group
Ltd
5.88%,
12/31/2049
(f),(g),(h)
1,900
1,945
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.51%
Sumitomo
Life
Insurance
Co
6.50%,
09/20/2073
(g),(h)
3,000
3,390
3
Month
USD
LIBOR
+
4.44%
Swiss
Re
Finance
Luxembourg
SA
5.00%,
04/02/2049
(g),(h)
17,400
19,159
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.58%
Voya
Financial
Inc
4.70%,
01/23/2048
(h)
3,300
3,003
3
Month
USD
LIBOR
+
2.08%
5.65%,
05/15/2053
(h)
10,800
10,708
3
Month
USD
LIBOR
+
3.58%
6.13%,
12/31/2049
(f),(h)
1,400
1,386
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.36%
$
189,426
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
-
5.11%
Enbridge
Inc
6.00%,
01/15/2077
(h)
$
500
$
483
3
Month
USD
LIBOR
+
3.89%
6.25%,
03/01/2078
(h)
7,000
6,720
3
Month
USD
LIBOR
+
3.64%
Enterprise
Products
Operating
LLC
5.25%,
08/16/2077
(h)
14,212
12,805
3
Month
USD
LIBOR
+
3.03%
5.38%,
02/15/2078
(h)
1,300
1,165
3
Month
USD
LIBOR
+
2.57%
Transcanada
Trust
5.50%,
09/15/2079
(h)
12,500
12,190
3
Month
USD
LIBOR
+
4.15%
5.63%,
05/20/2075
(h)
600
575
3
Month
USD
LIBOR
+
3.53%
5.87%,
08/15/2076
(h)
4,000
4,033
3
Month
USD
LIBOR
+
4.64%
$
37,971
Sovereign
-
0.26%
CoBank
ACB
6.25%,
12/31/2049
(f),(h)
1,000
1,005
3
Month
USD
LIBOR
+
4.66%
Farm
Credit
Bank
of
Texas
6.20%,
12/31/2049
(f),(g),(h)
1,000
945
3
Month
USD
LIBOR
+
3.22%
$
1,950
Telecommunications
-
0.22%
Koninklijke
KPN
NV
7.00%,
03/28/2073
(h)
1,000
1,058
USD
Swap
Semi-Annual
10
Year
+
5.21%
Vodafone
Group
PLC
7.00%,
04/04/2079
(h)
500
579
USD
Swap
Semi-Annual
5
Year
+
4.87%
$
1,637
Transportation
-
0.68%
BNSF
Funding
Trust
I
6.61%,
12/15/2055
(h)
5,000
5,067
3
Month
USD
LIBOR
+
2.35%
TOTAL
BONDS
$
682,297
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
0.61%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
0.61%
0.25%,
04/15/2023
$
2,500
$
2,505
0.38%,
03/31/2022
2,000
2,007
$
4,512
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
4,512
Total
Investments
$
742,404
Other
Assets
and
Liabilities
- 0.10%
744
TOTAL
NET
ASSETS
-
100.00%
$
743,148
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$7,102
or
0.96%
of
net
assets.
(d)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(e)
Non-income
producing
security
(f)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
Schedule
of
Investments
Capital
Securities
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
38
(g)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$190,148
or
25.59%
of
net
assets.
(h)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(i)
Security
purchased
on
a
when-issued
basis.
Portfolio
Summary (unaudited)
Sector
Percent
Financial
80.46%
Utilities
6.36%
Energy
5.63%
Money
Market
Funds
3.16%
Government
1.77%
Industrial
1.18%
Communications
0.60%
Consumer,
Non-cyclical
0.58%
Investment
Companies
0.16%
Other
Assets
and
Liabilities
0.10%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
16,563
$
261,638
$
256,408
$
21,793
$
16,563
$
261,638
$
256,408
$
21,793
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
204
$
—
$
—
$
—
$
204
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
39
INVESTMENT
COMPANIES
-
1.60%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.01%
Invesco
S&P
Global
Water
Index
ETF
10,244
$
381
Money
Market
Funds
-
1.59%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
4,087,389
4,087
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
46,090,866
46,091
$
50,178
TOTAL
INVESTMENT
COMPANIES
$
50,559
COMMON
STOCKS
-
51.88%
Shares
Held
Value
(000's)
Advertising
-
0.02%
Clear
Channel
Outdoor
Holdings
Inc
(d)
596,711
576
Agriculture
-
0.59%
Archer-Daniels-Midland
Co
326,454
12,833
Bunge
Ltd
150,161
5,859
$
18,692
Automobile
Parts
&
Equipment
-
0.07%
Georg
Fischer
AG
2,753
2,300
Biotechnology
-
0.07%
Advanz
Pharma
Corp
Ltd
(d),(e)
15,259
53
Corteva
Inc
82,299
2,247
$
2,300
Building
Materials
-
0.70%
American
Woodmark
Corp
(d)
5,633
354
Builders
FirstSource
Inc
(d)
61,336
1,276
Fortune
Brands
Home
&
Security
Inc
18,775
1,145
Geberit
AG
14,500
7,095
Louisiana-Pacific
Corp
266,973
6,303
Norbord
Inc
206,155
3,948
Pinnacle
Renewable
Energy
Inc
(f)
101,931
291
UFP
Industries
Inc
34,766
1,590
$
22,002
Chemicals
-
1.69%
Air
Liquide
SA
48,618
6,611
CF
Industries
Holdings
Inc
337,281
9,906
FMC
Corp
103,685
10,204
ICL
Group
Ltd
604,452
2,108
Ingevity
Corp
(d)
16,337
860
K+S
AG
(f)
275,761
1,763
Mosaic
Co/The
503,751
6,090
Nutrien
Ltd
55,300
1,888
OCI
NV
(d)
134,468
1,525
Olin
Corp
(f)
107,161
1,289
Sociedad
Quimica
y
Minera
de
Chile
SA
ADR
81,758
1,992
Yara
International
ASA
273,525
9,409
$
53,645
Commercial
Services
-
1.84%
ALEATICA
SAB
de
CV
(d),(f)
6,840,253
5,660
Atlantia
SpA
(d)
847,949
13,940
Atlas
Arteria
Ltd
580,156
2,582
Cengage
Learning
Holdings
II
Inc
(d)
2,772
8
China
Merchants
Port
Holdings
Co
Ltd
1,453,687
1,783
Transurban
Group
3,593,482
34,323
$
58,296
Consumer
Products
-
0.13%
Avery
Dennison
Corp
19,558
2,165
Kimberly-Clark
Corp
12,727
1,800
$
3,965
Cosmetics
&
Personal
Care
-
0.14%
Essity
AB
(d)
55,587
1,841
Kao
Corp
11,700
942
Unicharm
Corp
45,800
1,710
$
4,493
Electric
-
9.91%
ACEA
SpA
27,644
536
Algonquin
Power
&
Utilities
Corp
323,900
4,535
American
Electric
Power
Co
Inc
178,916
15,253
AusNet
Services
11,370,063
13,332
CenterPoint
Energy
Inc
175,173
3,115
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electric
(continued)
China
Longyuan
Power
Group
Corp
Ltd
4,339,000
$
2,119
Clearway
Energy
Inc
-
Class
C
753,600
16,511
CLP
Holdings
Ltd
590,500
5,796
CMS
Energy
Corp
82,092
4,809
Dominion
Energy
Inc
206,353
17,542
DTE
Energy
Co
59,609
6,412
Duke
Energy
Corp
155,518
13,317
Edison
International
184,032
10,694
EDP
-
Energias
de
Portugal
SA
2,935,023
13,711
Emera
Inc
358,903
14,269
Hera
SpA
487,966
1,869
Huadian
Fuxin
Energy
Corp
Ltd
(g)
13,432,000
2,616
Hydro
One
Ltd
(h)
651,133
12,617
Iberdrola
SA
862,317
9,337
Infraestructura
Energetica
Nova
SAB
de
CV
2,142,301
6,106
NextEra
Energy
Inc
95,863
24,499
Orsted
A/S
(h)
29,093
3,421
Red
Electrica
Corp
SA
1,223,140
21,537
Sembcorp
Industries
Ltd
562,600
542
Sempra
Energy
162,012
20,464
Southern
Co/The
101,749
5,807
Spark
Infrastructure
Group
12,597,270
17,741
SSE
PLC
866,411
13,317
Terna
Rete
Elettrica
Nazionale
SpA
3,255,905
22,120
Transmissora
Alianca
de
Energia
Eletrica
SA
1,816,700
9,788
$
313,732
Electronics
-
0.40%
Badger
Meter
Inc
19,538
1,195
Halma
PLC
253,609
7,360
Itron
Inc
(d)
40,859
2,632
Watts
Water
Technologies
Inc
18,525
1,541
$
12,728
Energy
-
Alternate
Sources
-
1.56%
First
Solar
Inc
(d)
100,305
4,676
NextEra
Energy
Partners
LP
407,545
20,829
TerraForm
Power
Inc
891,662
16,389
Vestas
Wind
Systems
A/S
72,939
7,450
$
49,344
Engineering
&
Construction
-
2.15%
Aegion
Corp
(d)
19,013
285
Aena
SME
SA
(d),(h)
106,335
15,176
Aeroports
de
Paris
30,827
3,213
Auckland
International
Airport
Ltd
1,164,917
4,719
Enav
SpA
(h)
2,179,252
9,927
Flughafen
Zurich
AG
(d)
57,095
7,899
Fomento
de
Construcciones
y
Contratas
SA
(d)
31,395
317
Grupo
Aeroportuario
del
Pacifico
SAB
de
CV
627,000
4,173
Sacyr
SA
758,678
1,488
Sydney
Airport
3,364,307
13,163
Vinci
SA
84,234
7,859
$
68,219
Environmental
Control
-
0.74%
Casella
Waste
Systems
Inc
(d)
129,073
6,576
China
Water
Affairs
Group
Ltd
526,000
352
Clean
Harbors
Inc
(d)
62,191
3,694
Covanta
Holding
Corp
258,873
2,330
Energy
Recovery
Inc
(d)
22,195
171
Evoqua
Water
Technologies
Corp
(d)
48,370
910
Kurita
Water
Industries
Ltd
71,800
1,988
METAWATER
Co
Ltd
7,300
326
Pentair
PLC
112,813
4,415
Tetra
Tech
Inc
33,742
2,662
$
23,424
Food
-
0.14%
Ingredion
Inc
26,879
2,264
Wilmar
International
Ltd
786,800
2,223
$
4,487
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
40
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Forest
Products
&
Paper
-
1.78%
Acadian
Timber
Corp
136,178
$
1,365
BillerudKorsnas
AB
65,425
894
Canfor
Corp
(d)
393,623
2,902
Clearwater
Paper
Corp
(d)
23,816
690
Domtar
Corp
21,062
430
Empresas
CMPC
SA
563,346
1,147
Holmen
AB
(d)
73,374
2,415
Interfor
Corp
(d)
403,421
2,760
International
Paper
Co
102,979
3,506
Mercer
International
Inc
67,307
543
Mondi
PLC
222,482
4,186
Nine
Dragons
Paper
Holdings
Ltd
2,824,000
2,484
Oji
Holdings
Corp
876,100
4,407
Sappi
Ltd
(d)
292,125
422
Smurfit
Kappa
Group
PLC
127,766
4,172
Stora
Enso
Oyj
464,325
5,698
Sumitomo
Forestry
Co
Ltd
129,100
1,641
Suzano
SA
(d)
248,700
1,761
Svenska
Cellulosa
AB
SCA
(d)
508,816
6,367
UPM-Kymmene
Oyj
140,068
4,042
West
Fraser
Timber
Co
Ltd
127,262
3,444
Western
Forest
Products
Inc
2,188,112
1,208
$
56,484
Gas
-
1.97%
Atmos
Energy
Corp
30,066
3,090
Enagas
SA
164,197
3,701
Italgas
SpA
1,425,665
7,763
National
Grid
PLC
1,580,977
18,190
NiSource
Inc
135,118
3,220
Snam
SpA
4,271,090
20,007
Southwest
Gas
Holdings
Inc
86,170
6,545
$
62,516
Hand
&
Machine
Tools
-
0.04%
Franklin
Electric
Co
Inc
25,826
1,310
Healthcare
-
Products
-
0.28%
Danaher
Corp
42,373
7,060
Hengan
International
Group
Co
Ltd
225,595
1,858
$
8,918
Healthcare
-
Services
-
0.00%
Millennium
Health
LLC
(d),(e),(g),(i)
22,091
—
Millennium
Health
LLC
(d),(e),(g),(i)
20,580
23
Millennium
Health
LLC
(d),(e),(g),(i)
19,318
19
$
42
Home
Builders
-
0.25%
DR
Horton
Inc
36,559
2,022
Lennar
Corp
-
A
Shares
27,734
1,677
PulteGroup
Inc
45,931
1,560
Toll
Brothers
Inc
45,041
1,455
TRI
Pointe
Group
Inc
(d)
86,855
1,244
$
7,958
Internet
-
0.00%
Catalina
Marketing
Corp
(d),(g),(i)
3,965
2
Iron
&
Steel
-
0.96%
ArcelorMittal
SA
(d)
632,807
6,060
Evraz
PLC
537,098
1,882
Fortescue
Metals
Group
Ltd
344,435
3,188
JFE
Holdings
Inc
240,600
1,772
Nippon
Steel
Corp
198,200
1,830
Novolipetsk
Steel
PJSC
118,190
2,290
Nucor
Corp
54,135
2,288
POSCO
13,911
2,047
Steel
Dynamics
Inc
196,078
5,208
thyssenkrupp
AG
(d)
234,184
1,592
Vale
SA
ADR
227,954
2,225
$
30,382
Lodging
-
0.10%
City
Developments
Ltd
556,400
3,044
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Diversified
-
0.75%
ANDRITZ
AG
(d)
65,009
$
2,435
Gorman-Rupp
Co/The
11,751
360
Husqvarna
AB
151,048
1,120
IDEX
Corp
40,726
6,491
Kadant
Inc
7,492
725
Lindsay
Corp
7,257
682
Mueller
Water
Products
Inc
-
Class
A
105,785
988
Organo
Corp
4,200
237
SIG
Combibloc
Group
AG
(d)
55,061
927
Valmet
Oyj
67,554
1,766
Xylem
Inc/NY
120,858
8,018
$
23,749
Media
-
0.08%
Cumulus
Media
Inc
(d)
61,334
317
iHeartMedia
Inc
(d),(f)
253,758
2,208
$
2,525
Metal
Fabrication
&
Hardware
-
0.16%
Advanced
Drainage
Systems
Inc
34,812
1,543
Reliance
Worldwide
Corp
Ltd
530,298
1,084
Rexnord
Corp
81,850
2,464
$
5,091
Mining
-
3.47%
Agnico
Eagle
Mines
Ltd
47,200
3,020
Anglo
American
PLC
780,710
16,526
Antofagasta
PLC
233,049
2,545
Barrick
Gold
Corp
804,165
19,338
BHP
Group
Ltd
103,328
2,432
Franco-Nevada
Corp
20,900
2,934
Freeport-McMoRan
Inc
1,437,250
13,035
Glencore
PLC
(d)
906,831
1,713
Kirkland
Lake
Gold
Ltd
69,300
2,670
Korea
Zinc
Co
Ltd
6,565
2,011
Lundin
Mining
Corp
943,122
4,343
MMC
Norilsk
Nickel
PJSC
ADR
74,468
2,367
Newcrest
Mining
Ltd
132,009
2,675
Newmont
Corp
299,165
17,492
Norsk
Hydro
ASA
(d)
795,304
2,022
Rio
Tinto
Ltd
39,788
2,485
South32
Ltd
1,563,930
1,977
Southern
Copper
Corp
66,524
2,415
Sumitomo
Metal
Mining
Co
Ltd
89,700
2,500
Teck
Resources
Ltd
222,200
2,111
Wheaton
Precious
Metals
Corp
78,700
3,391
$
110,002
Miscellaneous
Manufacturers
-
0.19%
Aalberts
NV
64,567
1,772
Alfa
Laval
AB
(d)
201,104
4,087
$
5,859
Oil
&
Gas
-
3.77%
BP
PLC
3,097,335
11,844
Canadian
Natural
Resources
Ltd
86,800
1,586
Chevron
Corp
23,986
2,200
CNOOC
Ltd
1,631,000
1,863
Concho
Resources
Inc
111,073
6,056
ConocoPhillips
297,662
12,555
Ecopetrol
SA
ADR
126,826
1,320
Empresas
COPEC
SA
138,016
871
Eni
SpA
182,635
1,661
EOG
Resources
Inc
35,388
1,804
Equinor
ASA
712,359
10,389
Exxon
Mobil
Corp
43,516
1,979
Fieldwood
Energy
Inc
(d)
2,556
—
Fieldwood
Energy
LLC
(d),(e),(g)
12,648
—
Gazprom
PJSC
ADR
371,229
2,085
Hess
Corp
132,539
6,292
Imperial
Oil
Ltd
(f)
102,200
1,597
LUKOIL
PJSC
ADR
26,304
1,976
Marathon
Petroleum
Corp
204,365
7,182
Neste
Oyj
57,149
2,329
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
41
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
(continued)
Novatek
PJSC
15,625
$
2,287
Occidental
Petroleum
Corp
68,371
885
PBF
Energy
Inc
129,671
1,377
Petroleo
Brasileiro
SA
ADR
184,998
1,412
Petroleo
Brasileiro
SA
ADR
699,511
5,274
Phillips
66
29,905
2,340
Pioneer
Natural
Resources
Co
101,211
9,270
Repsol
SA
201,171
1,894
Rosneft
Oil
Co
PJSC
370,003
1,945
Royal
Dutch
Shell
PLC
-
A
Shares
105,483
1,670
Suncor
Energy
Inc
81,100
1,394
Tatneft
PJSC
ADR
37,574
1,712
TOTAL
SA
53,096
2,013
Transocean
Ltd
(d),(f)
54,446
72
Valero
Energy
Corp
125,257
8,347
Vantage
Drilling
International
(d)
4,456
27
Woodside
Petroleum
Ltd
124,349
1,876
$
119,384
Oil
&
Gas
Services
-
0.23%
Halliburton
Co
131,985
1,551
Schlumberger
Ltd
300,352
5,547
Select
Energy
Services
Inc
(d)
38,849
231
$
7,329
Packaging
&
Containers
-
0.84%
Amcor
PLC
240,183
2,452
Ball
Corp
79,304
5,651
DS
Smith
PLC
795,632
3,367
Graphic
Packaging
Holding
Co
87,680
1,269
Greif
Inc
-
Class
A
11,315
385
Klabin
SA
278,900
1,022
Lee
&
Man
Paper
Manufacturing
Ltd
1,015,000
549
Packaging
Corp
of
America
43,002
4,360
Sealed
Air
Corp
73,851
2,371
Sonoco
Products
Co
28,485
1,476
Westrock
Co
127,823
3,587
$
26,489
Pipelines
-
3.22%
APA
Group
1,504,589
11,660
Cheniere
Energy
Inc
(d)
407,044
18,052
Enbridge
Inc
623,659
20,283
Enterprise
Products
Partners
LP
126,142
2,409
Gibson
Energy
Inc
624,129
9,656
Kinder
Morgan
Inc
415,953
6,572
Magellan
Midstream
Partners
LP
50,652
2,297
Pembina
Pipeline
Corp
(f)
65,922
1,647
TC
Energy
Corp
341,965
15,411
Williams
Cos
Inc/The
677,399
13,840
$
101,827
Real
Estate
-
1.10%
Entra
ASA
(h)
290,289
3,933
Fabege
AB
290,475
3,537
Mitsubishi
Estate
Co
Ltd
456,400
7,254
Mitsui
Fudosan
Co
Ltd
129,470
2,491
New
World
Development
Co
Ltd
3,660,240
3,720
Sun
Hung
Kai
Properties
Ltd
125,600
1,471
Vonovia
SE
183,700
10,566
Zhongliang
Holdings
Group
Co
Ltd
2,814,100
1,996
$
34,968
REITs
-
8.93%
Alexandria
Real
Estate
Equities
Inc
99,409
15,281
Allied
Properties
Real
Estate
Investment
Trust
95,000
2,760
American
Homes
4
Rent
154,558
3,901
American
Tower
Corp
28,932
7,469
Americold
Realty
Trust
223,943
7,997
Ascendas
Real
Estate
Investment
Trust
1,370,300
3,049
AvalonBay
Communities
Inc
58,566
9,137
Boston
Properties
Inc
16,607
1,428
CatchMark
Timber
Trust
Inc
248,245
1,949
CFE
Capital
S
de
RL
de
CV
7,294,406
6,990
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Cousins
Properties
Inc
83,096
$
2,586
Crown
Castle
International
Corp
61,252
10,545
CubeSmart
99,632
2,835
Daiwa
Office
Investment
Corp
716
4,167
Dexus
661,992
3,982
Digital
Realty
Trust
Inc
29,658
4,258
Equinix
Inc
14,931
10,416
Essential
Properties
Realty
Trust
Inc
203,054
2,770
Essex
Property
Trust
Inc
58,178
14,124
Federal
Realty
Investment
Trust
34,400
2,749
Frasers
Logistics
&
Commercial
Trust
2,689,251
2,120
Gecina
SA
35,113
4,511
Goodman
Group
1,070,907
11,002
Inmobiliaria
Colonial
Socimi
SA
778,042
7,035
InterRent
Real
Estate
Investment
Trust
272,460
2,895
Invitation
Homes
Inc
486,418
12,793
Japan
Retail
Fund
Investment
Corp
1,374
1,812
Kilroy
Realty
Corp
47,091
2,690
Link
REIT
912,070
6,888
MCUBS
MidCity
Investment
Corp
5,281
4,150
Minto
Apartment
Real
Estate
Investment
Trust
371,742
5,400
Nippon
Prologis
REIT
Inc
(d)
2,400
6,764
Park
Hotels
&
Resorts
Inc
321,000
3,155
Physicians
Realty
Trust
125,707
2,171
PotlatchDeltic
Corp
155,694
5,292
Prologis
Inc
184,193
16,854
Rayonier
Inc
345,962
8,217
Regency
Centers
Corp
105,352
4,508
Rexford
Industrial
Realty
Inc
271,313
10,798
Segro
PLC
805,271
8,368
STORE
Capital
Corp
233,120
4,508
Summit
Industrial
Income
REIT
196,447
1,499
Sun
Communities
Inc
41,700
5,721
Sunstone
Hotel
Investors
Inc
207,780
1,839
UNITE
Group
PLC/The
324,505
3,488
United
Urban
Investment
Corp
2,669
2,826
Warehouses
De
Pauw
CVA
92,100
2,438
Welltower
Inc
127,212
6,446
Weyerhaeuser
Co
410,298
8,284
$
282,865
Retail
-
0.05%
Gymboree
Corp/The
(d),(g),(i)
17,842
9
Gymboree
Holding
Corp
(d),(g),(i)
48,577
24
Home
Depot
Inc/The
5,854
1,455
$
1,488
Software
-
0.04%
Avaya
Holdings
Corp
(d)
78,332
1,144
Storage
&
Warehousing
-
0.09%
Safestore
Holdings
PLC
354,043
2,934
Telecommunications
-
0.04%
Eutelsat
Communications
SA
129,651
1,298
Transportation
-
0.07%
American
Commercial
Lines
Inc
(d),(g)
2,954
74
Norfolk
Southern
Corp
12,620
2,250
$
2,324
Water
-
3.32%
Aguas
Andinas
SA
32,828,714
9,643
American
States
Water
Co
22,771
1,867
American
Water
Works
Co
Inc
98,118
12,461
Beijing
Enterprises
Water
Group
Ltd
(d)
3,718,000
1,413
California
Water
Service
Group
29,759
1,399
Cia
de
Saneamento
Basico
do
Estado
de
Sao
Paulo
ADR
211,241
2,119
Essential
Utilities
Inc
133,413
5,838
Guangdong
Investment
Ltd
1,778,000
3,516
Middlesex
Water
Co
10,773
731
Pennon
Group
PLC
737,244
10,450
Severn
Trent
PLC
672,668
20,369
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
42
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Water
(continued)
SJW
Group
16,006
$
1,006
Suez
SA
(f)
262,007
2,987
United
Utilities
Group
PLC
2,131,542
24,266
Veolia
Environnement
SA
(f)
303,234
6,677
York
Water
Co/The
8,029
356
$
105,098
TOTAL
COMMON
STOCKS
$
1,643,233
PREFERRED
STOCKS
-
0.12%
Shares
Held
Value
(000's)
Electric
-
0.12%
Cia
de
Transmissao
de
Energia
Eletrica
Paulista
0.45%
970,600
$
3,765
TOTAL
PREFERRED
STOCKS
$
3,765
BONDS
-
12.72%
Principal
Amount
(000's)
Value
(000's)
Commercial
Mortgage
Backed
Securities
-
4.38%
Bank
2019-BNK19
0.96%,
08/15/2061
(j),(k)
$
63,789
$
4,263
BBCMS
2018-TALL
Mortgage
Trust
0.91%,
03/15/2037
(h)
14,500
13,650
1.00
x
1
Month
USD
LIBOR
+
0.72%
BBCMS
2019-BWAY
Mortgage
Trust
1.14%,
11/25/2034
(h)
12,670
12,081
1.00
x
1
Month
USD
LIBOR
+
0.96%
Benchmark
2019-B12
Mortgage
Trust
1.07%,
08/15/2052
(j),(k)
94,802
6,137
2.26%,
08/15/2052
2,636
2,673
Benchmark
2019-B15
Mortgage
Trust
0.83%,
12/15/2072
(j),(k)
16,106
901
2.00%,
12/15/2072
3,031
3,060
BF
2019-NYT
Mortgage
Trust
1.38%,
12/15/2035
(h)
6,950
6,631
1.00
x
1
Month
USD
LIBOR
+
1.20%
BHP
Trust
2019-BXHP
1.16%,
08/15/2036
(h)
10,000
9,208
1.00
x
1
Month
USD
LIBOR
+
0.98%
BX
Commercial
Mortgage
Trust
2018-IND
0.93%,
11/15/2035
(h)
3,555
3,466
1.00
x
1
Month
USD
LIBOR
+
0.75%
BX
Commercial
Mortgage
Trust
2019-XL
1.10%,
10/15/2036
(h)
5,427
5,318
1.00
x
1
Month
USD
LIBOR
+
0.92%
BX
Commercial
Mortgage
Trust
2020-BXLP
0.98%,
12/15/2036
(h)
9,000
8,707
1.00
x
1
Month
USD
LIBOR
+
0.80%
BX
Trust
2018-EXCL
1.27%,
09/15/2037
(h)
5,762
5,059
1.00
x
1
Month
USD
LIBOR
+
1.09%
BX
Trust
2019-CALM
1.06%,
11/15/2032
(h)
2,500
2,382
1.00
x
1
Month
USD
LIBOR
+
0.88%
CAMB
Commercial
Mortgage
Trust
2019-LIFE
1.25%,
12/15/2037
(h)
4,562
4,392
1.00
x
1
Month
USD
LIBOR
+
1.07%
CGDB
Commercial
Mortgage
Trust
2019-MOB
1.13%,
11/15/2036
(h)
6,500
6,174
1.00
x
1
Month
USD
LIBOR
+
0.95%
Citigroup
Commercial
Mortgage
Trust
2019-GC41
1.06%,
08/10/2056
(j),(k)
71,399
4,928
1.95%,
08/10/2056
3,536
3,570
Citigroup
Commercial
Mortgage
Trust
2020-GC46
0.99%,
02/15/2053
(j),(k)
6,247
430
COMM
2018-HCLV
Mortgage
Trust
1.18%,
09/15/2033
(h)
10,120
9,478
1.00
x
1
Month
USD
LIBOR
+
1.00%
CORE
2019-CORE
Mortgage
Trust
1.06%,
12/15/2031
(h)
6,100
5,870
1.00
x
1
Month
USD
LIBOR
+
0.88%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
DBCG
2017-BBG
Mortgage
Trust
0.88%,
06/15/2034
(h)
$
3,840
$
3,725
1.00
x
1
Month
USD
LIBOR
+
0.70%
Freddie
Mac
Multifamily
Structured
Pass
Through
Certificates
0.97%,
05/25/2026
(j),(k)
73,691
3,523
1.31%,
07/25/2026
(j),(k)
12,097
781
GS
Mortgage
Securities
Corp
Trust
2019-SMP
1.33%,
08/15/2032
(h)
4,000
3,729
1.00
x
1
Month
USD
LIBOR
+
1.15%
GS
Mortgage
Securities
Corp
Trust
2019-SOHO
1.08%,
06/15/2036
(h)
3,000
2,879
1.00
x
1
Month
USD
LIBOR
+
0.90%
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-BKWD
1.18%,
09/15/2029
(h)
5,000
4,813
1.00
x
1
Month
USD
LIBOR
+
1.00%
UBS-Barclays
Commercial
Mortgage
Trust
2012-C3
3.09%,
08/10/2049
982
1,005
$
138,833
Federal
&
Federally
Sponsored
Credit
-
2.04%
Federal
Farm
Credit
Banks
Funding
Corp
0.18%,
06/28/2021
(l)
3,800
3,801
1
Month
USD
LIBOR
+
0.01%
0.19%,
12/27/2021
(l)
11,000
11,011
1
Month
USD
LIBOR
+
0.02%
0.28%,
12/13/2021
2,100
2,101
1
Month
USD
LIBOR
+
0.09%
0.28%,
05/27/2022
(l)
12,000
11,995
Federal
Reserve
Bank
Prime
Loan
Rate
US
+
(2.97)%
0.42%,
01/18/2022
(l)
1,500
1,504
1
Month
USD
LIBOR
+
0.24%
0.43%,
11/05/2021
(l)
15,000
15,023
1
Month
USD
LIBOR
+
0.13%
0.95%,
04/08/2022
(l)
17,700
17,741
1.54%,
02/24/2022
(l)
1,400
1,402
$
64,578
Finance
-
Mortgage
Loan/Banker
-
5.09%
Fannie
Mae
0.17%,
03/04/2022
(l)
17,000
16,970
United
States
Secured
Overnight
Financing
Rate
+
0.22%
0.24%,
05/13/2022
(l)
7,000
6,997
United
States
Secured
Overnight
Financing
Rate
+
0.18%
0.38%,
10/22/2021
1,000
1,003
United
States
Secured
Overnight
Financing
Rate
+
0.32%
0.41%,
04/07/2022
(l),(m)
40,000
40,119
United
States
Secured
Overnight
Financing
Rate
+
0.35%
0.45%,
04/15/2022
(l)
10,000
10,037
United
States
Secured
Overnight
Financing
Rate
+
0.39%
Federal
Home
Loan
Banks
0.18%,
10/15/2021
(l)
15,000
14,992
1
Month
USD
LIBOR
+
0.00%
0.29%,
04/05/2021
(l)
7,500
7,502
1
Month
USD
LIBOR
+
(0.01)%
0.32%,
05/03/2021
(l)
20,500
20,506
1
Month
USD
LIBOR
+
(0.01)%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
43
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Finance
-
Mortgage
Loan/Banker
(continued)
Freddie
Mac
0.21%,
03/04/2022
$
2,000
$
1,999
United
States
Secured
Overnight
Financing
Rate
+
0.15%
0.38%,
09/23/2021
(l)
10,000
10,021
United
States
Secured
Overnight
Financing
Rate
+
0.32%
0.46%,
10/21/2021
(l)
14,500
14,515
United
States
Secured
Overnight
Financing
Rate
+
0.80%
1.05%,
04/13/2022
(l)
6,500
6,506
1.15%,
03/30/2022
(l)
8,500
8,506
3.08%,
11/09/2021
(l)
1,500
1,519
$
161,192
Media
-
0.07%
iHeartCommunications
Inc
8.38%,
05/01/2027
2,406
2,250
Sovereign
-
1.14%
Colombia
Government
International
Bond
3.00%,
01/30/2030
1,300
1,300
Indonesia
Government
International
Bond
2.85%,
02/14/2030
665
679
Italy
Buoni
Poliennali
Del
Tesoro
0.40%,
05/15/2030
(h)
EUR
1,073
1,103
1.30%,
05/15/2028
(h)
2,915
3,266
Japanese
Government
CPI
Linked
Bond
0.10%,
03/10/2027
JPY
489,589
4,527
0.10%,
03/10/2028
626,176
5,783
0.10%,
03/10/2029
1,069,949
9,857
Mexico
Government
International
Bond
3.25%,
04/16/2030
$
975
960
4.50%,
04/22/2029
625
676
New
Zealand
Government
Inflation
Linked
Bond
2.50%,
09/20/2035
NZD
3,037
2,593
2.50%,
09/20/2040
912
829
3.27%,
09/20/2030
1,046
845
Saudi
Government
International
Bond
4.38%,
04/16/2029
(h)
$
225
256
Spain
Government
Bond
0.50%,
04/30/2030
(h)
EUR
2,755
3,059
Uruguay
Government
International
Bond
4.38%,
01/23/2031
$
305
348
$
36,081
TOTAL
BONDS
$
402,934
COMMODITY
INDEXED
STRUCTURED
NOTES
-
0.44%
Principal
Amount
(000's)
Value
(000's)
Banks
-
0.44%
Royal
Bank
of
Canada;
Dow
Jones
-
UBS
Commodity
Index
Linked
Note
0.05%,
04/26/2021
(h),(k)
16,700
13,954
TOTAL
COMMODITY
INDEXED
STRUCTURED
NOTES
$
13,954
SENIOR
FLOATING
RATE
INTERESTS
-
15.66%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.33%
Advantage
Sales
&
Marketing
Inc
4.70%,
07/23/2021
(n)
$
1,259
$
1,129
3
Month
USD
LIBOR
+
3.25%
4.70%,
07/23/2021
(n)
428
384
3
Month
USD
LIBOR
+
3.25%
Affinion
Group
Inc
5.00%,
PIK
1.75%,
04/10/2024
(n),(o)
745
528
1
Month
USD
LIBOR
+
4.00%
Checkout
Holding
Corp
2.00%,
PIK
9.50%,
08/15/2023
(n),(o)
251
49
3
Month
USD
LIBOR
+
1.00%
8.50%,
02/15/2023
(n)
181
106
3
Month
USD
LIBOR
+
7.50%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Advertising
(continued)
Clear
Channel
Outdoor
Holdings
Inc
4.26%,
08/07/2026
(n)
$
5,841
$
5,420
1
Month
USD
LIBOR
+
3.50%
Outfront
Media
Capital
LLC
1.93%,
11/18/2026
(n)
1,157
1,101
1
Month
USD
LIBOR
+
1.75%
Red
Ventures
LLC
2.67%,
11/08/2024
(n)
630
598
1
Month
USD
LIBOR
+
2.50%
Terrier
Media
Buyer
Inc
5.70%,
12/17/2026
(n)
1,245
1,196
1
Month
USD
LIBOR
+
4.25%
$
10,511
Aerospace
&
Defense
-
0.27%
Dynasty
Acquisition
Co
Inc
4.95%,
04/06/2026
(n)
1,143
959
1
Month
USD
LIBOR
+
3.50%
Sequa
Mezzanine
Holdings
LLC
6.00%,
10/28/2021
(n)
2,527
2,232
3
Month
USD
LIBOR
+
5.00%
10.00%,
04/28/2022
(n)
1,304
977
3
Month
USD
LIBOR
+
9.00%
Standard
Aero
Ltd
4.95%,
04/06/2026
(n)
615
515
1
Month
USD
LIBOR
+
3.50%
TransDigm
Inc
2.42%,
05/30/2025
(n)
980
896
1
Month
USD
LIBOR
+
2.25%
2.42%,
12/24/2025
(n)
3,211
2,934
1
Month
USD
LIBOR
+
2.25%
$
8,513
Airlines
-
0.16%
Allegiant
Travel
Co
3.43%,
02/05/2024
(n)
593
475
1
Month
USD
LIBOR
+
3.00%
American
Airlines
Inc
2.17%,
04/28/2023
(n)
530
399
3
Month
USD
LIBOR
+
2.00%
2.18%,
12/14/2023
(n)
1,713
1,254
3
Month
USD
LIBOR
+
2.00%
Delta
Air
Lines
Inc
5.51%,
04/27/2023
(n)
1,037
1,022
1
Month
USD
LIBOR
+
4.75%
WestJet
Airlines
Ltd
4.00%,
12/11/2026
(n)
2,743
1,996
3
Month
USD
LIBOR
+
3.00%
$
5,146
Apparel
-
0.03%
Champ
Acquisition
Corp
6.57%,
12/17/2025
(n)
976
902
3
Month
USD
LIBOR
+
5.50%
Automobile
Parts
&
Equipment
-
0.13%
Clarios
Global
LP
3.83%,
04/30/2026
(n)
4,378
4,159
3
Month
USD
LIBOR
+
3.50%
Beverages
-
0.04%
Jacobs
Douwe
Egberts
International
BV
2.37%,
10/23/2025
(n)
1,400
1,383
3
Month
USD
LIBOR
+
2.00%
Biotechnology
-
0.18%
Concordia
International
Corp
6.57%,
09/06/2024
(n)
6,539
5,792
1
Week
USD
LIBOR
+
5.50%
Building
Materials
-
0.11%
Quikrete
Holdings
Inc
2.67%,
02/01/2027
(n)
3,803
3,607
1
Month
USD
LIBOR
+
2.50%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
44
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Casino
Hotels
-
0.03%
Golden
Nugget
LLC
0.00%,
10/04/2023
(n),(p)
$
1,155
$
989
1
Month
USD
LIBOR
+
2.50%
Chemicals
-
0.12%
ASP
Unifrax
Holdings
Inc
4.82%,
12/12/2025
(n)
1,582
1,270
3
Month
USD
LIBOR
+
3.75%
INEOS
US
Finance
LLC
2.17%,
03/31/2024
(n)
235
225
3
Month
USD
LIBOR
+
2.00%
Innophos
Holdings
Inc
3.97%,
02/04/2027
(n)
1,920
1,842
1
Month
USD
LIBOR
+
3.75%
Minerals
Technologies
Inc
4.75%,
05/09/2021
(n)
415
407
Tronox
Finance
LLC
3.44%,
09/13/2024
(n)
33
31
3
Month
USD
LIBOR
+
3.00%
$
3,775
Coal
-
0.02%
Peabody
Energy
Corp
2.92%,
03/31/2025
(n)
952
512
3
Month
USD
LIBOR
+
2.75%
Commercial
Services
-
0.73%
Belron
Finance
3.26%,
10/25/2026
(n)
998
968
1
Month
USD
LIBOR
+
2.50%
Fly
Funding
2.50%,
08/09/2025
(n)
1,436
1,283
3
Month
USD
LIBOR
+
1.75%
Garda
World
Security
4.93%,
10/23/2026
(n)
606
589
1
Month
USD
LIBOR
+
4.75%
HGIM
Corp
7.71%,
07/02/2023
(n)
1,282
564
3
Month
USD
LIBOR
+
6.00%
North
American
Lifting
Holdings
Inc
0.00%,
11/27/2020
(d),(n)
2,002
1,408
3
Month
USD
LIBOR
+
4.50%
PAREXEL
International
Corp
3.10%,
08/09/2024
(n)
2,870
2,708
3
Month
USD
LIBOR
+
2.75%
Refinitiv
US
Holdings
Inc
3.57%,
10/01/2025
(n)
3,594
3,537
1
Month
USD
LIBOR
+
3.25%
Sabert
Corp
5.50%,
11/26/2026
(n)
998
973
1
Month
USD
LIBOR
+
4.50%
Syniverse
Holdings
Inc
6.87%,
02/09/2023
(n)
2,801
1,736
3
Month
USD
LIBOR
+
5.00%
10.87%,
02/09/2024
(n)
2,350
987
3
Month
USD
LIBOR
+
9.00%
Team
Health
Holdings
Inc
3.75%,
02/06/2024
(n)
1,935
1,403
3
Month
USD
LIBOR
+
2.75%
Trans
Union
LLC
1.92%,
11/13/2026
(n)
2,048
1,981
1
Month
USD
LIBOR
+
1.75%
Verscend
Holding
Corp
4.67%,
08/08/2025
(n)
2,204
2,128
3
Month
USD
LIBOR
+
4.50%
Wand
NewCo
3
Inc
4.07%,
02/05/2026
(n)
1,996
1,901
1
Month
USD
LIBOR
+
3.00%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
WEX
Inc
2.42%,
05/14/2026
(n)
$
911
$
864
3
Month
USD
LIBOR
+
2.25%
$
23,030
Computers
-
0.65%
Dell
International
LLC
2.75%,
09/12/2025
(n)
3,005
2,948
1
Month
USD
LIBOR
+
2.00%
Diebold
Nixdorf
Inc
9.44%,
08/31/2022
(n)
2,557
2,444
3
Month
USD
LIBOR
+
9.25%
iQor
US
Inc
0.00%,
04/01/2021
(d),(n)
916
486
3
Month
USD
LIBOR
+
5.00%
McAfee
LLC
3.92%,
09/30/2024
(n)
6,836
6,716
3
Month
USD
LIBOR
+
3.75%
9.50%,
09/29/2025
(n)
656
655
3
Month
USD
LIBOR
+
8.50%
NCR
Corp
2.68%,
08/07/2026
(n)
995
955
1
Month
USD
LIBOR
+
2.50%
NeuStar
Inc
4.57%,
08/08/2024
(n)
797
678
3
Month
USD
LIBOR
+
3.50%
Perforce
Software
Inc
3.92%,
07/01/2026
(n)
995
922
1
Month
USD
LIBOR
+
3.75%
Presidio
Holdings
Inc
4.27%,
01/15/2027
(n)
640
620
1
Month
USD
LIBOR
+
3.50%
Tempo
Acquisition
LLC
2.92%,
05/01/2024
(n)
2,201
2,109
1
Month
USD
LIBOR
+
2.75%
Vericast
Corp
5.75%,
11/03/2023
(n)
518
318
3
Month
USD
LIBOR
+
4.75%
Western
Digital
Corp
1.92%,
04/29/2023
(n)
1,760
1,722
1
Month
USD
LIBOR
+
1.75%
$
20,573
Consumer
Products
-
0.16%
KIK
Custom
Products
Inc
5.00%,
05/15/2023
(n)
5,202
4,960
3
Month
USD
LIBOR
+
4.00%
Cosmetics
&
Personal
Care
-
0.10%
Coty
Inc
1.72%,
04/05/2023
(n)
2,352
2,093
1
Month
USD
LIBOR
+
1.50%
Revlon
Consumer
Products
Corp
5.11%,
07/21/2023
(n)
3,680
979
1
Month
USD
LIBOR
+
3.50%
$
3,072
Distribution
&
Wholesale
-
0.09%
Core
&
Main
LP
3.98%,
08/01/2024
(n)
1,462
1,398
3
Month
USD
LIBOR
+
3.00%
IAA
Inc
2.44%,
05/22/2026
(n)
209
205
3
Month
USD
LIBOR
+
2.25%
KAR
Auction
Services
Inc
2.44%,
09/11/2026
(n)
279
266
1
Month
USD
LIBOR
+
2.25%
Univar
Solutions
USA
Inc/Washington
3.70%,
07/01/2024
(n)
1,138
1,106
3
Month
USD
LIBOR
+
2.25%
$
2,975
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
45
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
-
0.20%
American
Express
0.00%,
02/26/2027
(n),(p)
$
408
$
347
Avolon
TLB
Borrower
1
US
LLC
2.25%,
02/05/2027
(n)
959
878
1
Month
USD
LIBOR
+
1.50%
2.50%,
01/15/2025
(n)
1,942
1,831
3
Month
USD
LIBOR
+
1.75%
Ditech
Holding
Corp
0.00%,
06/30/2022
(d),(n)
1,523
620
3
Month
USD
LIBOR
+
6.00%
RPI
2019
Intermediate
Finance
Trust
1.92%,
02/05/2027
(n)
2,051
2,001
1
Month
USD
LIBOR
+
1.75%
RPI
Intermediate
Finance
Trust
1.92%,
02/05/2027
(n)
714
698
1
Month
USD
LIBOR
+
1.75%
$
6,375
Electric
-
0.18%
Calpine
Corp
2.17%,
08/12/2026
(n)
1,940
1,883
1
Month
USD
LIBOR
+
2.00%
2.43%,
01/15/2024
(n)
829
811
1
Month
USD
LIBOR
+
2.25%
Exgen
Renewables
IV
LLC
4.00%,
11/28/2024
(n)
961
933
3
Month
USD
LIBOR
+
3.00%
Vistra
Operations
Co
LLC
1.93%,
12/31/2025
(n)
2,036
1,993
1
Month
USD
LIBOR
+
1.75%
$
5,620
Electrical
Components
&
Equipment
-
0.01%
Energizer
Holdings
Inc
2.62%,
12/17/2025
(n)
235
228
1
Month
USD
LIBOR
+
2.25%
Electronics
-
0.04%
TTM
Technologies
Inc
2.87%,
09/13/2024
(n)
1,307
1,275
3
Month
USD
LIBOR
+
2.50%
Engineering
&
Construction
-
0.03%
Atlantic
Aviation
FBO
Inc
3.93%,
11/28/2025
(n)
741
694
3
Month
USD
LIBOR
+
3.75%
Brand
Industrial
Services
Inc
5.46%,
06/21/2024
(n)
379
341
3
Month
USD
LIBOR
+
4.25%
$
1,035
Entertainment
-
1.27%
AMC
Entertainment
Holdings
Inc
4.08%,
03/20/2026
(n)
2,210
1,682
3
Month
USD
LIBOR
+
3.00%
CCM
Merger
Inc
3.00%,
08/08/2021
(n)
3,169
2,935
3
Month
USD
LIBOR
+
2.25%
CEOC
LLC
2.40%,
10/06/2024
(n)
2,735
2,654
3
Month
USD
LIBOR
+
2.00%
Cineworld
Ltd
0.00%,
02/05/2027
(n),(p)
4,570
2,762
Formula
One
Management
Ltd
3.50%,
02/01/2024
(n)
7,952
7,484
3
Month
USD
LIBOR
+
2.50%
Lions
Gate
Capital
Holdings
LLC
2.65%,
03/24/2025
(n)
475
452
3
Month
USD
LIBOR
+
2.25%
Merlin
Entertainment
0.00%,
10/16/2026
(n),(p)
1,411
1,296
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Entertainment
(continued)
Metro-Goldwyn-Mayer
Inc
2.68%,
07/03/2025
(n)
$
3,069
$
2,908
3
Month
USD
LIBOR
+
2.50%
5.50%,
07/03/2026
(n)
1,500
1,402
3
Month
USD
LIBOR
+
4.50%
Nascar
Holdings
LLC
2.92%,
10/19/2026
(n)
1,651
1,611
3
Month
USD
LIBOR
+
2.75%
PCI
Gaming
Authority
2.67%,
05/29/2026
(n)
1,757
1,664
1
Month
USD
LIBOR
+
2.50%
Penn
National
Gaming
Inc
3.00%,
08/14/2025
(n)
1,480
1,386
3
Month
USD
LIBOR
+
2.25%
Scientific
Games
International
Inc
3.48%,
08/14/2024
(n)
4,585
4,095
1
Month
USD
LIBOR
+
2.75%
SeaWorld
Parks
&
Entertainment
Inc
3.75%,
04/01/2024
(n)
834
767
3
Month
USD
LIBOR
+
3.00%
Stars
Group
Holdings
BV
4.95%,
06/27/2025
(n)
5,451
5,375
3
Month
USD
LIBOR
+
3.50%
William
Morris
Endeavor
Entertainment
LLC
2.93%,
05/16/2025
(n)
2,308
1,764
3
Month
USD
LIBOR
+
2.75%
$
40,237
Environmental
Control
-
0.16%
Advanced
Disposal
Services
Inc
3.00%,
11/10/2023
(n)
398
394
3
Month
USD
LIBOR
+
2.25%
GFL
Environmental
Inc
4.00%,
05/09/2025
(n)
4,857
4,786
3
Month
USD
LIBOR
+
3.00%
$
5,180
Food
-
0.29%
Atkins
Nutritionals
Holdings
Inc
4.75%,
07/07/2024
(n)
1,351
1,327
1
Month
USD
LIBOR
+
3.75%
Bellring
Brands
LLC
6.00%,
10/10/2024
(n)
988
983
1
Month
USD
LIBOR
+
5.00%
CHG
PPC
Parent
LLC
2.92%,
03/30/2025
(n)
242
232
3
Month
USD
LIBOR
+
2.75%
Froneri
US
Inc
2.25%,
01/29/2027
(n)
2,500
2,381
1
Month
USD
LIBOR
+
2.25%
5.75%,
01/28/2028
(n)
500
469
1
Month
USD
LIBOR
+
5.75%
US
Foods
Inc
1.92%,
06/27/2023
(n)
4,208
3,963
1
Month
USD
LIBOR
+
1.75%
$
9,355
Food
Service
-
0.03%
8th
Avenue
Food
&
Provisions
Inc
3.68%,
09/19/2025
(n)
889
865
3
Month
USD
LIBOR
+
3.50%
Hand
&
Machine
Tools
-
0.02%
Apex
Tool
Group
LLC
6.50%,
08/01/2024
(n)
558
490
3
Month
USD
LIBOR
+
5.50%
Healthcare
-
Products
-
0.25%
Carestream
Health
Inc
8.20%,
05/08/2023
(n)
1,932
1,797
1
Month
USD
LIBOR
+
6.75%
13.57%,
08/08/2023
(n)
572
429
1
Month
USD
LIBOR
+
4.50%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
46
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Products
(continued)
CPI
Holdco
LLC
5.70%,
10/28/2026
(n)
$
1,705
$
1,648
1
Month
USD
LIBOR
+
4.25%
Viant
Medical
Holdings
Inc
5.20%,
07/02/2025
(n)
2,197
1,799
3
Month
USD
LIBOR
+
3.75%
VVC
Holding
Corp
5.28%,
02/07/2026
(n)
948
912
3
Month
USD
LIBOR
+
4.50%
Vyaire
Medical
Inc
6.20%,
04/11/2025
(n)
1,432
1,197
3
Month
USD
LIBOR
+
4.75%
$
7,782
Healthcare
-
Services
-
1.38%
AHP
Health
Partners
Inc
5.50%,
06/16/2025
(n)
1,978
1,891
3
Month
USD
LIBOR
+
4.50%
Air
Methods
Corp
4.95%,
04/12/2024
(n)
825
652
3
Month
USD
LIBOR
+
3.50%
Brightspring
Health
3.43%,
03/05/2026
(n)
3,014
2,929
1
Month
USD
LIBOR
+
3.25%
BW
NHHC
Holdco
Inc
5.39%,
05/15/2025
(n)
747
542
3
Month
USD
LIBOR
+
5.00%
Catalent
Pharma
Solutions
Inc
3.25%,
05/08/2026
(n)
990
972
3
Month
USD
LIBOR
+
2.25%
DaVita
Inc
1.92%,
08/12/2026
(n)
1,292
1,260
1
Month
USD
LIBOR
+
1.75%
Envision
Healthcare
Corp
3.92%,
10/10/2025
(n)
5,775
3,756
3
Month
USD
LIBOR
+
3.75%
Eyecare
Partners
LLC
4.82%,
02/05/2027
(n)
892
812
1
Month
USD
LIBOR
+
3.75%
Gentiva
Health
Services
Inc
3.44%,
07/02/2025
(n)
5,378
5,217
1
Month
USD
LIBOR
+
3.25%
Global
Medical
Response
Inc
4.25%,
04/28/2022
(n)
2,763
2,677
3
Month
USD
LIBOR
+
3.25%
HCA
Inc
1.92%,
03/13/2025
(n)
1,274
1,248
1
Month
USD
LIBOR
+
1.75%
1.92%,
03/17/2026
(n)
2,593
2,540
1
Month
USD
LIBOR
+
1.75%
Heartland
Dental
LLC
3.67%,
04/18/2025
(n)
122
107
3
Month
USD
LIBOR
+
3.75%
Jaguar
Holding
Co
II
3.11%,
08/18/2022
(n)
5,656
5,627
3
Month
USD
LIBOR
+
2.50%
LifePoint
Health
Inc
3.92%,
11/14/2025
(n)
7,076
6,760
1
Month
USD
LIBOR
+
3.75%
MMM
Holdings
LLC
6.75%,
10/30/2026
(n)
1,234
1,168
1
Month
USD
LIBOR
+
5.75%
Quorum
Health
Corp
7.75%,
04/29/2022
(n)
367
326
3
Month
USD
LIBOR
+
6.75%
Select
Medical
Corp
2.67%,
03/06/2025
(n)
3,202
3,082
3
Month
USD
LIBOR
+
2.50%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
(continued)
Surgery
Center
Holdings
Inc
0.00%,
06/20/2024
(n),(p)
$
1,000
$
913
3
Month
USD
LIBOR
+
3.25%
Syneos
Health
Inc
1.97%,
08/01/2024
(n)
1,256
1,222
3
Month
USD
LIBOR
+
2.00%
$
43,701
Insurance
-
0.25%
Acrisure
LLC
3.77%,
02/12/2027
(n)
2,561
2,393
1
Month
USD
LIBOR
+
3.50%
Alliant
Holdings
Intermediate
LLC
2.92%,
05/09/2025
(n)
2,176
2,073
3
Month
USD
LIBOR
+
3.00%
BroadStreet
Partners
Inc
3.42%,
01/22/2027
(n)
1,122
1,075
1
Month
USD
LIBOR
+
3.25%
HUB
International
Ltd
4.02%,
04/25/2025
(n)
2,033
1,955
1
Month
USD
LIBOR
+
2.75%
5.00%,
04/25/2025
(n)
574
560
1
Month
USD
LIBOR
+
4.00%
$
8,056
Internet
-
0.18%
Ancestry.com
Operations
Inc
4.75%,
10/19/2023
(n)
2,324
2,231
1
Month
USD
LIBOR
+
3.75%
ProQuest
LLC
3.67%,
10/16/2026
(n)
1,197
1,156
1
Month
USD
LIBOR
+
3.50%
Uber
Technologies
Inc
3.67%,
07/13/2023
(n)
1,897
1,841
3
Month
USD
LIBOR
+
3.50%
5.00%,
04/04/2025
(n)
579
566
3
Month
USD
LIBOR
+
4.00%
$
5,794
Leisure
Products
&
Services
-
0.34%
Alterra
Mountain
Co
2.92%,
07/31/2024
(n)
3,031
2,846
1
Month
USD
LIBOR
+
2.75%
Callaway
Golf
Co
4.68%,
12/17/2025
(n)
688
678
3
Month
USD
LIBOR
+
4.50%
ClubCorp
Holdings
Inc
4.20%,
08/16/2024
(n)
1,734
1,512
3
Month
USD
LIBOR
+
2.75%
Equinox
Holdings
Inc
4.07%,
03/08/2024
(n)
1,762
1,308
3
Month
USD
LIBOR
+
3.00%
Fitness
International
LLC
3.33%,
01/08/2025
(n)
1,618
1,052
1
Month
USD
LIBOR
+
2.25%
Life
Time
Inc
3.75%,
06/10/2022
(n)
3,021
2,662
3
Month
USD
LIBOR
+
2.75%
Sabre
GLBL
Inc
2.17%,
02/22/2024
(n)
955
845
3
Month
USD
LIBOR
+
2.00%
$
10,903
Lodging
-
0.47%
Boyd
Gaming
Corp
2.34%,
09/15/2023
(n)
4,225
4,046
3
Month
USD
LIBOR
+
2.25%
Caesars
Resort
Collection
LLC
2.92%,
12/22/2024
(n)
5,822
5,249
3
Month
USD
LIBOR
+
2.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
47
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Lodging
(continued)
CityCenter
Holdings
LLC
3.00%,
04/18/2024
(n)
$
2,494
$
2,333
3
Month
USD
LIBOR
+
2.25%
Hilton
Worldwide
Finance
LLC
1.92%,
06/18/2026
(n)
1,829
1,742
3
Month
USD
LIBOR
+
1.75%
Wyndham
Hotels
&
Resorts
Inc
1.92%,
05/30/2025
(n)
1,475
1,402
3
Month
USD
LIBOR
+
1.75%
$
14,772
Machinery
-
Construction
&
Mining
-
0.04%
Vertiv
Group
Corp
3.33%,
02/11/2027
(n)
1,250
1,197
1
Month
USD
LIBOR
+
3.00%
Machinery
-
Diversified
-
0.21%
Altra
Industrial
Motion
Corp
2.17%,
09/26/2025
(n)
430
409
3
Month
USD
LIBOR
+
2.00%
Columbus
McKinnon
Corp/NY
3.95%,
01/31/2024
(n)
993
948
3
Month
USD
LIBOR
+
2.50%
Gardner
Denver
Inc
1.92%,
02/05/2027
(n)
2,367
2,242
1
Month
USD
LIBOR
+
1.75%
NN
Inc
5.92%,
10/19/2022
(n)
1,004
821
1
Month
USD
LIBOR
+
5.75%
6.50%,
10/19/2022
(n)
656
537
1
Month
USD
LIBOR
+
5.75%
RBS
Global
Inc
1.92%,
08/21/2024
(n)
960
946
1
Month
USD
LIBOR
+
1.75%
Star
US
Bidco
LLC
5.25%,
03/03/2027
(n)
960
858
1
Month
USD
LIBOR
+
4.25%
$
6,761
Media
-
1.31%
Altice
Financing
SA
2.93%,
07/15/2025
(n)
2,318
2,189
3
Month
USD
LIBOR
+
2.75%
Charter
Communications
Operating
LLC
1.93%,
02/01/2027
(n)
4,768
4,662
1
Month
USD
LIBOR
+
1.75%
CSC
Holdings
LLC
2.43%,
07/17/2025
(n)
496
477
3
Month
USD
LIBOR
+
2.25%
2.68%,
04/27/2027
(n)
1,478
1,423
1
Month
USD
LIBOR
+
2.50%
Cumulus
Media
New
Holdings
Inc
4.82%,
03/18/2026
(n)
1,327
1,132
1
Month
USD
LIBOR
+
3.75%
Entercom
Media
Corp
2.67%,
11/18/2024
(n)
1,089
983
1
Month
USD
LIBOR
+
2.50%
EW
Scripps
Co/The
2.67%,
05/01/2026
(n)
2,475
2,341
1
Month
USD
LIBOR
+
2.50%
Gray
Television
Inc
2.58%,
02/02/2024
(n)
2,053
1,988
3
Month
USD
LIBOR
+
2.25%
2.83%,
11/02/2025
(n)
637
620
3
Month
USD
LIBOR
+
2.50%
Houghton
Mifflin
Harcourt
Publishers
Inc
7.25%,
11/19/2024
(n)
1,481
1,370
1
Month
USD
LIBOR
+
6.25%
iHeartCommunications
Inc
3.17%,
05/01/2026
(n)
6,867
6,404
1
Month
USD
LIBOR
+
3.00%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
LCPR
Loan
Financing
LLC
5.18%,
10/22/2026
(n)
$
1,815
$
1,809
1
Month
USD
LIBOR
+
5.00%
McGraw
Hill
LLC
5.45%,
05/04/2022
(n)
2,934
2,494
3
Month
USD
LIBOR
+
4.00%
Mediacom
Illinois
LLC
1.85%,
02/15/2024
(n)
322
313
3
Month
USD
LIBOR
+
1.75%
Meredith
Corp
3.26%,
01/31/2025
(n)
2,091
2,015
1
Month
USD
LIBOR
+
2.50%
Mission
Broadcasting
Inc
2.62%,
01/17/2024
(n)
400
384
3
Month
USD
LIBOR
+
2.25%
Nexstar
Broadcasting
Inc
2.42%,
01/17/2024
(n)
1,553
1,493
3
Month
USD
LIBOR
+
2.25%
3.12%,
09/21/2026
(n)
1,825
1,755
1
Month
USD
LIBOR
+
2.75%
Nielsen
Finance
LLC
2.22%,
10/04/2023
(n)
1,925
1,871
3
Month
USD
LIBOR
+
2.00%
Sinclair
Television
Group
Inc
2.43%,
01/03/2024
(n)
2,468
2,391
3
Month
USD
LIBOR
+
2.25%
2.69%,
07/17/2026
(n)
995
968
1
Month
USD
LIBOR
+
2.50%
Univision
Communications
Inc
3.75%,
03/15/2024
(n)
344
328
3
Month
USD
LIBOR
+
2.75%
Ziggo
Financing
Partnership
2.68%,
04/17/2028
(n)
2,125
2,026
1
Month
USD
LIBOR
+
2.50%
$
41,436
Mining
-
0.00%
Covia
Holdings
Corp
5.39%,
04/09/2025
(n)
153
92
3
Month
USD
LIBOR
+
3.75%
Miscellaneous
Manufacturers
-
0.07%
Gates
Global
LLC
3.75%,
03/31/2024
(n)
2,236
2,138
3
Month
USD
LIBOR
+
2.75%
Office
&
Business
Equipment
-
0.03%
Pitney
Bowes
Inc
5.91%,
01/17/2025
(n)
1,382
1,094
1
Month
USD
LIBOR
+
5.50%
Oil
&
Gas
-
0.18%
California
Resources
Corp
0.00%,
12/31/2021
(d),(n)
764
35
1
Month
USD
LIBOR
+
10.37%
0.00%,
11/14/2022
(d),(n)
5,375
1,365
1
Month
USD
LIBOR
+
4.75%
Delek
US
Holdings
Inc
0.00%,
03/30/2025
(n),(p)
1,418
1,326
1
Month
USD
LIBOR
+
5.50%
2.42%,
03/14/2025
(n)
1,201
1,033
3
Month
USD
LIBOR
+
2.25%
Fieldwood
Energy
LLC
0.00%,
04/11/2022
(d),(n)
6,271
770
3
Month
USD
LIBOR
+
5.25%
0.00%,
04/11/2023
(d),(n)
3,648
24
3
Month
USD
LIBOR
+
7.25%
Gulf
Finance
LLC
6.42%,
08/17/2023
(n)
1,832
1,050
3
Month
USD
LIBOR
+
5.25%
$
5,603
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
48
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
Services
-
0.03%
PGS
ASA
8.46%,
03/19/2024
(n)
$
1,556
$
812
3
Month
USD
LIBOR
+
5.50%
Packaging
&
Containers
-
0.31%
Berry
Global
Inc
2.22%,
01/19/2024
(n)
1,439
1,409
1
Month
USD
LIBOR
+
2.00%
2.22%,
07/01/2026
(n)
1,803
1,757
1
Month
USD
LIBOR
+
2.00%
Kloeckner
Pentaplast
of
America
Inc
5.25%,
06/29/2022
(n)
2,365
2,133
3
Month
USD
LIBOR
+
4.25%
Reynolds
Group
Holdings
Inc
2.92%,
02/05/2023
(n)
4,554
4,407
3
Month
USD
LIBOR
+
2.75%
$
9,706
Pharmaceuticals
-
0.70%
Akorn
Inc
14.75%,
PIK
0.75%,
04/16/2021
(n),(o)
902
770
1
Month
USD
LIBOR
+
12.50%
Amneal
Pharmaceuticals
LLC
3.69%,
03/21/2025
(n)
945
866
3
Month
USD
LIBOR
+
3.50%
Bausch
Health
Americas
Inc
2.92%,
11/14/2025
(n)
3,618
3,529
3
Month
USD
LIBOR
+
2.75%
3.17%,
05/19/2025
(n)
4,791
4,690
3
Month
USD
LIBOR
+
3.00%
Change
Healthcare
Holdings
LLC
3.50%,
03/01/2024
(n)
5,741
5,579
1
Month
USD
LIBOR
+
2.50%
Elanco
Animal
Health
0.00%,
02/04/2027
(n),(p)
1,800
1,742
Grifols
Worldwide
Operations
USA
Inc
2.09%,
11/08/2027
(n)
3,225
3,144
1
Month
USD
LIBOR
+
2.00%
Mallinckrodt
International
Finance
SA
3.75%,
02/24/2025
(n)
1,264
857
3
Month
USD
LIBOR
+
3.00%
4.20%,
09/24/2024
(n)
1,666
1,135
3
Month
USD
LIBOR
+
2.75%
$
22,312
Pipelines
-
0.21%
BCP
Renaissance
Parent
LLC
4.95%,
10/31/2024
(n)
967
799
3
Month
USD
LIBOR
+
3.50%
Blackstone
CQP
Holdco
LP
4.62%,
09/30/2024
(n)
2,484
2,373
3
Month
USD
LIBOR
+
3.50%
Buckeye
Partners
LP
3.12%,
11/15/2026
(n)
2,350
2,279
1
Month
USD
LIBOR
+
2.75%
Traverse
Midstream
Partners
LLC
5.00%,
09/21/2024
(n)
1,462
1,200
3
Month
USD
LIBOR
+
4.00%
$
6,651
Real
Estate
-
0.13%
Brookfield
Retail
Holdings
VII
Sub
3
LLC
2.42%,
08/28/2023
(n)
4,016
3,133
3
Month
USD
LIBOR
+
2.25%
Realogy
Group
LLC
3.00%,
02/08/2025
(n)
963
855
3
Month
USD
LIBOR
+
2.25%
$
3,988
REITs
-
0.04%
Blackstone
Mortgage
Trust
Inc
2.42%,
04/23/2026
(n)
1,489
1,396
1
Month
USD
LIBOR
+
2.25%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
-
0.58%
1011778
BC
ULC
1.92%,
11/14/2026
(n)
$
6,188
$
5,932
1
Month
USD
LIBOR
+
1.75%
Academy
Ltd
5.00%,
07/01/2022
(n)
1,709
1,273
3
Month
USD
LIBOR
+
4.00%
Belk
Inc
7.75%,
07/31/2025
(n)
1,664
478
1
Month
USD
LIBOR
+
6.75%
BJ's
Wholesale
Club
Inc
2.44%,
02/03/2024
(n)
1,082
1,060
1
Month
USD
LIBOR
+
2.25%
EG
America
LLC
5.07%,
02/07/2025
(n)
1,225
1,158
3
Month
USD
LIBOR
+
4.00%
IRB
Holding
Corp
3.75%,
02/05/2025
(n)
885
831
1
Month
USD
LIBOR
+
2.75%
Petco
Animal
Supplies
Inc
4.25%,
01/26/2023
(n)
424
292
3
Month
USD
LIBOR
+
3.25%
PetSmart
Inc
5.00%,
03/11/2022
(n)
5,323
5,224
1
Month
USD
LIBOR
+
4.00%
Serta
Simmons
Bedding
LLC
4.61%,
10/20/2023
(n)
272
110
3
Month
USD
LIBOR
+
3.50%
9.02%,
11/08/2024
(n)
470
23
3
Month
USD
LIBOR
+
8.00%
SRS
Distribution
Inc
4.32%,
05/19/2025
(n)
1,149
1,087
3
Month
USD
LIBOR
+
3.25%
Whatabrands
LLC
3.01%,
08/02/2026
(n)
845
810
1
Month
USD
LIBOR
+
2.75%
$
18,278
Semiconductors
-
0.06%
Bright
Bidco
BV
4.57%,
06/30/2024
(n)
2,076
651
3
Month
USD
LIBOR
+
3.50%
MACOM
Technology
Solutions
Holdings
Inc
2.42%,
05/17/2024
(n)
628
566
3
Month
USD
LIBOR
+
2.25%
Microchip
Technology
Inc
2.18%,
05/29/2025
(n)
575
562
3
Month
USD
LIBOR
+
2.00%
ON
Semiconductor
Corp
2.17%,
09/16/2026
(n)
261
254
1
Month
USD
LIBOR
+
2.00%
$
2,033
Software
-
1.85%
Blackboard
Inc
7.00%,
06/30/2024
(n)
2,985
2,661
1
Month
USD
LIBOR
+
6.00%
Boxer
Parent
Co
Inc
4.42%,
10/02/2025
(n)
575
542
3
Month
USD
LIBOR
+
4.25%
Camelot
Finance
SA
3.17%,
10/28/2026
(n)
1,208
1,179
1
Month
USD
LIBOR
+
3.25%
Cengage
Learning
Inc
5.25%,
06/07/2023
(n)
4,103
3,305
3
Month
USD
LIBOR
+
4.25%
Ceridian
HCM
Holding
Inc
2.59%,
04/04/2025
(n)
1,525
1,476
3
Month
USD
LIBOR
+
3.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
49
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
Compuware
Corp
6.25%,
08/08/2025
(n)
$
867
$
862
1
Month
USD
LIBOR
+
4.00%
DiscoverOrg
LLC
5.45%,
02/02/2026
(n)
1,640
1,620
3
Month
USD
LIBOR
+
4.50%
DTI
Holdco
Inc
5.75%,
10/02/2023
(n)
795
657
3
Month
USD
LIBOR
+
4.75%
Dun
&
Bradstreet
Corp/The
4.17%,
02/06/2026
(n)
1,000
972
1
Month
USD
LIBOR
+
4.00%
Dynatrace
LLC
2.42%,
08/08/2025
(n)
606
588
1
Month
USD
LIBOR
+
2.75%
Epicor
Software
Corp
3.43%,
05/12/2022
(n)
3,985
3,884
3
Month
USD
LIBOR
+
3.25%
Evergreen
Skills
Lux
Sarl
0.00%,
04/28/2021
(d),(n)
5,015
2,656
3
Month
USD
LIBOR
+
4.75%
0.00%,
04/28/2022
(d),(n)
804
33
3
Month
USD
LIBOR
+
8.25%
Finastra
USA
Inc
4.51%,
06/13/2024
(n)
1,672
1,516
3
Month
USD
LIBOR
+
3.50%
Greeneden
US
Holdings
II
LLC
3.59%,
12/01/2023
(n)
3,037
2,942
3
Month
USD
LIBOR
+
3.25%
Greenway
Health
LLC
4.82%,
02/16/2024
(n)
267
200
3
Month
USD
LIBOR
+
4.25%
Informatica
LLC
3.42%,
02/14/2027
(n)
2,527
2,405
1
Month
USD
LIBOR
+
3.25%
Kronos
Inc/MA
3.33%,
11/01/2023
(n)
1,501
1,473
3
Month
USD
LIBOR
+
3.00%
MA
FinanceCo
LLC
0.00%,
05/29/2025
(n),(p)
261
257
2.67%,
06/21/2024
(n)
695
656
3
Month
USD
LIBOR
+
2.50%
Project
Boost
Purchaser
LLC
3.67%,
05/22/2026
(n)
993
929
3
Month
USD
LIBOR
+
3.50%
Rackspace
Hosting
Inc
4.00%,
11/03/2023
(n)
5,724
5,562
3
Month
USD
LIBOR
+
3.00%
Riverbed
Technology
Inc
4.25%,
04/24/2022
(n)
1,975
1,704
3
Month
USD
LIBOR
+
3.25%
RP
Crown
Parent
LLC
3.75%,
10/12/2023
(n)
1,918
1,870
3
Month
USD
LIBOR
+
2.75%
Seattle
SpinCo
Inc
2.67%,
06/21/2024
(n)
4,692
4,427
3
Month
USD
LIBOR
+
2.50%
Sophia
LP
4.70%,
09/30/2022
(n)
3,062
2,995
3
Month
USD
LIBOR
+
3.25%
SS&C
Technologies
Inc
1.92%,
04/16/2025
(n)
1,473
1,424
1
Month
USD
LIBOR
+
1.75%
1.92%,
04/16/2025
(n)
2,298
2,223
1
Month
USD
LIBOR
+
1.75%
2.06%,
04/16/2025
(n)
2,143
2,072
1
Month
USD
LIBOR
+
1.75%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
TIBCO
Software
Inc
3.93%,
06/30/2026
(n)
$
1,884
$
1,810
1
Month
USD
LIBOR
+
3.75%
Ultimate
Software
Group
Inc/The
3.92%,
05/03/2026
(n)
2,239
2,163
3
Month
USD
LIBOR
+
3.75%
Zelis
Payments
Buyer
Inc
4.92%,
09/25/2026
(n)
1,534
1,493
1
Month
USD
LIBOR
+
4.75%
$
58,556
Telecommunications
-
1.56%
Altice
France
SA/France
4.18%,
08/14/2026
(n)
3,940
3,779
3
Month
USD
LIBOR
+
4.00%
Avaya
Inc
4.43%,
12/16/2024
(n)
5,012
4,656
3
Month
USD
LIBOR
+
4.25%
CenturyLink
Inc
2.42%,
03/15/2027
(n)
6,093
5,839
1
Month
USD
LIBOR
+
2.25%
CommScope
Inc
3.42%,
02/06/2026
(n)
2,778
2,663
3
Month
USD
LIBOR
+
3.25%
Connect
Finco
SARL
5.50%,
09/23/2026
(n)
1,875
1,744
1
Month
USD
LIBOR
+
4.50%
Consolidated
Communications
Inc
4.00%,
10/05/2023
(n)
337
322
3
Month
USD
LIBOR
+
3.00%
Frontier
Communications
Corp
5.35%,
06/15/2024
(n)
4,567
4,475
3
Month
USD
LIBOR
+
3.75%
Intelsat
Jackson
Holdings
SA
0.00%,
05/15/2021
(g),(n),(p)
5,558
5,475
5.92%,
11/27/2023
(n)
8,816
8,857
1
Month
USD
LIBOR
+
3.75%
6.63%,
01/15/2024
(n)
2,425
2,438
Intrado
Corp
4.95%,
10/10/2024
(n)
545
438
3
Month
USD
LIBOR
+
3.50%
5.45%,
10/10/2024
(n)
1,614
1,309
3
Month
USD
LIBOR
+
4.00%
Iridium
Satellite
LLC
4.75%,
10/16/2026
(n)
2,607
2,574
1
Month
USD
LIBOR
+
3.75%
Maxar
Technologies
Ltd
2.93%,
10/05/2024
(n)
1,433
1,369
3
Month
USD
LIBOR
+
2.75%
MLN
US
Holdco
LLC
4.83%,
11/30/2025
(n)
746
563
3
Month
USD
LIBOR
+
4.50%
Plantronics
Inc
2.79%,
06/02/2025
(n)
1,272
1,013
3
Month
USD
LIBOR
+
2.50%
T-Mobile
USA
Inc
3.39%,
04/01/2027
(n)
1,500
1,500
1
Month
USD
LIBOR
+
3.00%
Windstream
Services
LLC
6.17%,
08/31/2020
(n)
310
178
3
Month
USD
LIBOR
+
2.00%
Zayo
Group
Holdings
Inc
3.17%,
02/19/2027
(n)
220
211
1
Month
USD
LIBOR
+
3.00%
$
49,403
Transportation
-
0.10%
American
Commercial
9.00%,
02/11/2027
(g),(n)
24
24
1
Month
USD
LIBOR
+
7.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
50
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Transportation
(continued)
CEVA
Logistics
Finance
BV
6.45%,
08/04/2025
(n)
$
735
$
520
3
Month
USD
LIBOR
+
5.00%
Commercial
Barge
Line
Co
0.00%,
11/12/2020
(d),(n)
519
156
3
Month
USD
LIBOR
+
8.75%
Genesee
&
Wyoming
Inc
3.45%,
11/06/2026
(n)
1,300
1,270
1
Month
USD
LIBOR
+
2.00%
XPO
Logistics
Inc
2.17%,
02/24/2025
(n)
1,144
1,112
3
Month
USD
LIBOR
+
2.00%
$
3,082
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
496,105
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
17.13%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
0.95%
0.43%,
10/31/2021
(l),(q)
$
30,000
$
30,099
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.30%
U.S.
Treasury
Bill
-
0.32%
0.12%,
07/14/2020
(l),(r)
10,000
9,998
U.S.
Treasury
Inflation-Indexed
Obligations
-
15.86%
0.13%,
01/15/2022
19,949
19,997
0.13%,
04/15/2022
25,193
25,243
0.13%,
07/15/2022
23,121
23,363
0.13%,
01/15/2023
19,082
19,271
0.13%,
07/15/2024
13,790
14,165
0.13%,
04/15/2025
5,071
5,235
0.13%,
07/15/2026
23,908
24,905
0.13%,
01/15/2030
15,430
16,345
0.25%,
01/15/2025
22,103
22,821
0.25%,
07/15/2029
8,744
9,367
0.25%,
02/15/2050
2,711
2,963
0.38%,
07/15/2023
18,613
19,102
0.38%,
07/15/2025
(q)
24,722
25,900
0.38%,
01/15/2027
14,425
15,260
0.38%,
07/15/2027
18,946
20,214
0.50%,
01/15/2028
19,658
21,170
0.63%,
07/15/2021
2,814
2,834
0.63%,
04/15/2023
18,634
19,099
0.63%,
01/15/2024
13,132
13,609
0.63%,
01/15/2026
(q)
21,533
22,878
0.63%,
02/15/2043
9,369
10,800
0.75%,
07/15/2028
19,371
21,420
0.75%,
02/15/2042
8,455
9,916
0.75%,
02/15/2045
10,558
12,644
0.88%,
01/15/2029
(q)
9,426
10,528
0.88%,
02/15/2047
6,710
8,383
1.00%,
02/15/2046
6,978
8,871
1.00%,
02/15/2048
5,705
7,386
1.00%,
02/15/2049
6,221
8,144
1.38%,
02/15/2044
7,060
9,455
1.75%,
01/15/2028
3,153
3,702
2.00%,
01/15/2026
7,862
8,966
2.13%,
02/15/2040
3,381
4,879
2.13%,
02/15/2041
5,022
7,350
2.38%,
01/15/2025
2,346
2,655
2.38%,
01/15/2027
7,374
8,803
2.50%,
01/15/2029
4,234
5,332
3.38%,
04/15/2032
3,266
4,766
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
Inflation-Indexed
Obligations
(continued)
3.63%,
04/15/2028
$
3,602
$
4,765
$
502,506
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
542,603
TOTAL
PURCHASED
OPTIONS
-
0.01%
$
147
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.09%
$
2,851
TOTAL
PURCHASED
CAPPED
OPTIONS
-
0.01%
$
140
Total
Investments
$
3,156,291
Other
Assets
and
Liabilities
- 0.34%
10,970
TOTAL
NET
ASSETS
-
100.00%
$
3,167,261
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$17,237
or
0.54%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Restricted
Security.
Please
see
Restricted
Security
sub-schedule
for
additional
information.
(f)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(g)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$8,266
or
0.26%
of
net
assets.
(h)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$174,274
or
5.50%
of
net
assets.
(i)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(j)
Security
is
an
Interest
Only
Strip.
(k)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions. These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(l)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(m)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$27,582
or
0.87%
of
net
assets.
(n)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(o)
Payment
in
kind;
the
issuer
has
the
option
of
paying
additional
securities
in
lieu
of
cash.
(p)
This
Senior
Floating
Rate
Note
will
settle
after
May
31,
2020,
at
which
time
the
interest
rate
will
be
determined.
(q)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
swap
and/or
swaption
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$2,667
or
0.08%
of
net
assets.
(r)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
51
Portfolio
Summary (unaudited)
Sector
Percent
Government
25.40%
Utilities
15.50%
Financial
11.09%
Energy
9.22%
Basic
Materials
8.02%
Industrial
7.41%
Consumer,
Non-cyclical
7.02%
Mortgage
Securities
4.38%
Consumer,
Cyclical
3.69%
Communications
3.59%
Technology
2.63%
Money
Market
Funds
1.59%
Purchased
Interest
Rate
Swaptions
0.09%
Purchased
Capped
Options
0.01%
Purchased
Options
0.01%
Investment
Companies
0.01%
Other
Assets
and
Liabilities
0.34%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
115,751
$
1,905,985
$
1,975,645
$
46,091
$
115,751
$
1,905,985
$
1,975,645
$
46,091
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1,133
$
—
$
—
$
—
$
1,133
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Advanz
Pharma
Corp
Ltd
08/08/2018
$
209
$
53
0.00%
Fieldwood
Energy
LLC
04/05/2018
273
—
0.00%
Millennium
Health
LLC
12/21/2015
206
—
0.00%
Millennium
Health
LLC
03/15/2016
—
23
0.00%
Millennium
Health
LLC
03/15/2016
—
19
0.00%
Total
$
95
0.00%
Amounts
in
thousands.
Purchased
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.30%)
Receive
$
38,200
0.30%
02/15/2022
$
68
$
135
$
67
Call
-
5Y-30Y
CMS
Index
Floor
Deutsche
Bank
AG
Max
(0,
5Y
CMS-0.35%)
Receive
8,300
0.35%
07/09/2020
7
2
(5)
Call
-
5Y-30Y
CMS
Index
Floor
JPMorgan
Chase
Max
(0,
5Y
CMS-0.40%)
Receive
8,190
0.40%
06/30/2020
6
3
(3)
Total
$
81
$
140
$
59
Written
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.55%)
Receive
$
19,100
0.55%
02/15/2022
$
(16)
$
(39)
$
(23)
Put
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.55%)
Receive
19,100
0.55%
02/15/2022
(20)
(39)
(19)
Put
-
5Y-30Y
CMS
Index
Floor
Deutsche
Bank
AG
Max
(0,
5Y
CMS-0.25%)
Pay
16,610
0.25%
07/09/2020
(8)
—
8
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
52
Written
Capped
Options
(continued)
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5Y-30Y
CMS
Index
Floor
JPMorgan
Chase
Max
(0,
5Y
CMS-0.30%)
Pay
$
16,380
0.30%
06/30/2020
$
(8)
$
(2)
$
6
Total
$
(52)
$
(80)
$
(28)
Amounts
in
thousands.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
EUR
versus
GBP
Wells
Fargo
Securities
LLC
1
EUR
2,545
EUR
0.90
11/03/2020
$
41
$
66
$
25
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
186
$
465
$
99.75
12/14/2021
33
81
48
Put
-
90
Day
Eurodollar
Future;
June
2022
N/A
51
128
$
98.25
06/15/2020
11
—
(11)
Total
$
85
$
147
$
62
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
93
$
233
$
99.38
12/14/2021
$
(41)
$
(107)
$
(66)
Total
$
(41)
$
(107)
$
(66)
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
6,310
0.39%
05/23/2023
$
20
$
19
$
(1)
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290
1.77%
11/06/2024
50
115
65
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,330
2.95%
03/13/2024
60
261
201
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,956
2.98%
03/08/2024
90
389
299
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,120
1.50%
02/26/2025
59
88
29
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,490
3.09%
12/07/2038
69
298
229
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560
3.08%
01/30/2029
32
110
78
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,760
1.46%
08/17/2021
63
135
72
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560
3.05%
01/11/2029
32
109
77
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
740
0.89%
05/01/2025
40
33
(7)
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410
2.99%
04/28/2038
19
79
60
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
130
2.86%
02/23/2039
7
24
17
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
560
3.04%
01/12/2029
32
108
76
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
6,176
1.50%
06/02/2020
19
155
136
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
16,130
1.20%
09/24/2020
51
312
261
Call
-
2
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
11,430
1.25%
08/11/2020
54
232
178
Call
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
JPY
39,560
0.78%
04/19/2021
13
40
27
Call
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
550
0.83%
11/24/2020
38
22
(16)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
53
Interest
Rate
Swaptions
(continued)
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
$
9,290
1.77%
11/06/2024
$
50
$
13
$
(37)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,330
2.95%
03/13/2024
60
7
(53)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
3,280
2.35%
07/14/2020
12
—
(12)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,490
3.09%
12/07/2038
69
42
(27)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560
3.05%
01/11/2029
31
9
(22)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,120
1.50%
02/26/2025
59
38
(21)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560
3.08%
01/30/2029
32
9
(23)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
JPY
LIBOR
Pay
JPY
758,545
1.10%
06/30/2022
103
1
(102)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
1,956
2.98%
03/08/2024
90
10
(80)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,760
1.46%
08/17/2021
63
13
(50)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390
2.25%
08/09/2022
33
7
(26)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
740
0.89%
05/01/2025
40
44
4
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
130
2.86%
02/23/2039
6
4
(2)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410
2.99%
04/28/2038
19
12
(7)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
2,010
2.25%
08/03/2022
54
9
(45)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,960
2.50%
06/14/2024
88
20
(68)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
560
3.04%
01/12/2029
32
10
(22)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,330
2.50%
06/21/2024
54
14
(40)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
5,023
0.00%
06/25/2020
3
—
(3)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
5,023
0.00%
06/29/2020
2
—
(2)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
5,023
0.00%
06/24/2020
3
—
(3)
Put
-
2
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
Euro
Interbank
Offered
Rate
Receive
13,390
0.00%
06/23/2020
7
—
(7)
Put
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
JPY
39,560
0.78%
04/19/2021
12
—
(12)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
2,210
2.85%
05/10/2022
129
15
(114)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390
3.80%
06/08/2021
54
1
(53)
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
550
0.83%
11/24/2020
38
40
2
Put
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
465
1.35%
09/07/2020
18
4
(14)
Total
$
1,909
$
2,851
$
942
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
3,230
0.61%
04/07/2023
$
(12)
$
(14)
$
(2)
Call
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
6,310
0.69%
04/12/2023
(24)
(30)
(6)
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
9,290
1.58%
11/06/2020
(22)
(125)
(103)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
54
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
$
9,290
0.41%
03/18/2021
$
(16)
$
(23)
$
(7)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,420
1.74%
11/20/2020
(58)
(254)
(196)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,760
1.42%
08/18/2020
(45)
(131)
(86)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,110
0.71%
04/07/2021
(31)
(25)
6
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
550
0.69%
04/07/2021
(16)
(12)
4
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,050
1.62%
11/03/2020
(25)
(98)
(73)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,464
2.79%
03/09/2021
(73)
(504)
(431)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,040
1.64%
11/03/2020
(25)
(99)
(74)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,590
3.05%
03/13/2029
(84)
(308)
(224)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
550
0.88%
04/15/2021
(15)
(18)
(3)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,610
2.20%
06/12/2020
(57)
(401)
(344)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,010
1.62%
09/15/2020
(25)
(94)
(69)
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
525
0.77%
04/16/2021
(14)
(13)
1
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
610
0.79%
04/16/2021
(16)
(16)
—
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,100
0.69%
05/14/2021
(28)
(24)
4
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
525
0.72%
04/19/2021
(14)
(12)
2
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
550
0.69%
04/07/2021
(15)
(12)
3
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
2,220
0.66%
07/23/2020
(34)
(21)
13
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,140
0.74%
05/03/2022
(39)
(34)
5
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
2,180
1.20%
08/18/2020
(40)
(117)
(77)
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,110
0.87%
04/12/2021
(30)
(35)
(5)
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,680
0.74%
04/20/2021
(47)
(41)
6
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,105
0.71%
04/02/2021
(32)
(25)
7
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
660
0.73%
04/07/2021
(18)
(16)
2
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
445
0.85%
04/08/2021
(12)
(14)
(2)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
32,250
0.70%
09/24/2020
(36)
(303)
(267)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
12,356
1.00%
06/02/2020
(17)
(186)
(169)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
5,728
1.53%
12/14/2020
(27)
(149)
(122)
Call
-
2
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
22,860
0.75%
08/11/2020
(44)
(236)
(192)
Call
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
5,725
1.51%
12/15/2020
(28)
(147)
(119)
Call
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
2,350
1.39%
08/24/2020
(76)
(306)
(230)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
2,780
0.02%
04/08/2022
(35)
(53)
(18)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
1,023
0.14%
09/13/2022
(15)
(16)
(1)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
55
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
2,400
0.12%
04/05/2022
$
(31)
$
(38)
$
(7)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
1,020
0.04%
09/14/2022
(16)
(20)
(4)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
10,415
0.29%
08/21/2020
(50)
(33)
17
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
20,360
2.35%
05/18/2021
(41)
—
41
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
27,720
2.15%
05/28/2021
(78)
—
78
Put
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
3,230
0.61%
04/07/2023
(12)
(7)
5
Put
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
9,020
0.55%
04/22/2022
(16)
(9)
7
Put
-
1
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
6,310
0.69%
04/12/2023
(25)
(13)
12
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290
1.58%
11/06/2020
(22)
—
22
Put
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
9,290
0.41%
03/18/2021
(16)
(4)
12
Put
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
34,330
2.40%
06/02/2021
(62)
—
62
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,960
2.30%
06/16/2020
(28)
—
28
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
550
0.69%
04/07/2021
(15)
(13)
2
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300
1.85%
02/23/2022
(23)
(8)
15
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,216
1.60%
03/07/2022
(21)
(12)
9
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,040
1.64%
11/03/2020
(25)
(1)
24
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
550
0.88%
04/15/2021
(15)
(9)
6
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,950
2.15%
01/11/2022
(46)
(7)
39
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,110
0.71%
04/07/2021
(31)
(26)
5
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,930
3.87%
06/08/2021
(57)
—
57
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560
2.35%
07/13/2020
(6)
—
6
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,010
2.30%
07/27/2020
(26)
—
26
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,090
2.00%
08/04/2020
(16)
—
16
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390
3.25%
08/09/2022
(8)
(1)
7
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390
2.75%
08/09/2022
(17)
(3)
14
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,950
2.10%
01/07/2022
(45)
(7)
38
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,464
2.79%
03/09/2021
(74)
(1)
73
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
4,810
2.75%
05/10/2022
(139)
(8)
131
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,590
3.05%
03/13/2029
(84)
(27)
57
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,640
1.95%
07/14/2020
(18)
—
18
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,610
2.20%
06/12/2020
(57)
—
57
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,760
1.42%
08/18/2020
(46)
(1)
45
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300
1.85%
02/23/2022
(22)
(8)
14
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
56
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
2,420
1.74%
11/20/2020
$
(59)
$
(2)
$
57
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,000
1.76%
09/17/2020
(51)
(1)
50
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,050
1.62%
11/03/2020
(26)
(1)
25
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,010
1.62%
09/15/2020
(25)
—
25
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,935
1.60%
03/07/2022
(32)
(18)
14
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
5,215
0.18%
07/17/2020
(71)
(1)
70
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
525
0.72%
04/19/2021
(14)
(12)
2
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
610
0.79%
04/16/2021
(16)
(12)
4
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,230
1.60%
03/04/2022
(22)
(12)
10
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
525
0.77%
04/16/2021
(14)
(11)
3
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
560
2.35%
07/13/2020
(6)
—
6
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,230
1.60%
03/01/2022
(23)
(12)
11
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
550
0.69%
04/07/2021
(15)
(13)
2
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,100
0.69%
05/14/2021
(28)
(29)
(1)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,140
0.74%
05/03/2022
(39)
(43)
(4)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
2,220
0.66%
07/23/2020
(34)
(20)
14
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010
3.25%
08/03/2022
(13)
(2)
11
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,180
1.60%
08/18/2020
(40)
—
40
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010
2.75%
08/03/2022
(27)
(4)
23
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,110
0.87%
04/12/2021
(30)
(19)
11
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
445
0.85%
04/08/2021
(12)
(8)
4
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,680
0.74%
04/20/2021
(47)
(38)
9
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,730
2.25%
08/21/2024
(51)
(24)
27
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
660
0.73%
04/07/2021
(18)
(15)
3
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960
3.00%
06/14/2024
(53)
(11)
42
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,105
0.71%
04/02/2021
(31)
(26)
5
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960
3.50%
06/14/2024
(33)
(7)
26
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330
3.00%
06/21/2024
(33)
(8)
25
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,760
1.95%
01/31/2022
(41)
(9)
32
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330
3.50%
06/21/2024
(20)
(5)
15
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
5,728
1.53%
12/14/2020
(27)
—
27
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
4,950
0.11%
05/18/2021
(16)
(1)
15
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
8,350
3.50%
08/25/2020
(28)
—
28
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
57
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
2,400
3.25%
12/30/2020
$
(9)
$
—
$
9
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
10,110
0.10%
03/30/2021
(35)
(2)
33
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830
0.10%
04/13/2021
(27)
(2)
25
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,500
0.05%
07/06/2021
(6)
(2)
4
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
4,870
0.05%
06/11/2021
(12)
(2)
10
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830
0.16%
04/13/2021
(26)
(1)
25
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,190
0.00%
06/15/2021
(6)
(1)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
5,220
1.05%
10/05/2020
(9)
—
9
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,130
0.00%
06/15/2021
(6)
(1)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
8,490
0.25%
09/07/2021
(14)
(16)
(2)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570
0.00%
06/22/2021
(6)
(1)
5
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570
0.00%
07/02/2021
(5)
(1)
4
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,400
0.00%
06/28/2021
(5)
(1)
4
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
11,740
2.00%
11/30/2020
(16)
—
16
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
3,330
0.15%
08/10/2021
(5)
(4)
1
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,200
0.00%
06/21/2021
(5)
(1)
4
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,630
0.00%
07/20/2021
(5)
(2)
3
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
5,880
0.15%
08/10/2021
(8)
(7)
1
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
5,640
3.45%
06/09/2020
(24)
—
24
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
3,580
3.50%
06/16/2020
(13)
—
13
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
5,220
1.05%
10/05/2020
(7)
—
7
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
4,845
1.00%
10/06/2020
(5)
—
5
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
9,710
0.60%
09/25/2020
(11)
(1)
10
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
7,790
0.15%
04/20/2021
(28)
(1)
27
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
$
5,725
1.51%
12/15/2020
(27)
—
27
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
3,140
0.08%
06/01/2021
(9)
(1)
8
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,023
0.14%
09/13/2022
(15)
(13)
2
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,020
0.04%
09/14/2022
(16)
(11)
5
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
10,415
0.29%
08/21/2020
(50)
(36)
14
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,780
0.02%
04/08/2022
(35)
(22)
13
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
3,140
0.00%
07/28/2020
(9)
—
9
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,400
0.12%
04/05/2022
(31)
(24)
7
Total
$
(3,813)
$
(4,685)
$
(872)
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
58
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
90
Day
Eurodollar;
June
2022
Long
16
$
3,990
$
53
Brent
Crude;
September
2020
(a)
Long
145
5,535
(87)
Canada
10
Year
Bond;
September
2020
Long
48
5,356
3
Cocoa;
July
2020
(a)
Short
250
6,135
(100)
Coffee
'C';
July
2020
(a)
Short
44
1,589
4
Copper;
July
2020
(a)
Short
23
1,395
(24)
Corn;
July
2020
(a)
Short
314
5,114
(185)
Cotton
No.2;
December
2020
(a)
Long
118
3,391
(10)
Cotton
No.2;
July
2020
(a)
Long
104
2,995
(11)
Euro
Bond
10
Year
Bond;
June
2020
Short
113
21,633
138
Euro-Bobl
5
Year;
June
2020
Long
117
17,553
(110)
Euro-BTP;
June
2020
Short
11
1,736
(51)
Euro-Oat;
June
2020
Long
34
6,357
33
Feeder
Cattle;
August
2020
(a)
Short
22
1,489
(13)
Gasoline
RBOB;
September
2020
(a)
Long
9
413
58
Gold
100
oz;
August
2020
(a)
Long
8
1,401
37
Gold
100
oz;
December
2020
(a)
Long
39
6,886
478
Japan
10
Year
Bond
TSE;
June
2020
Short
10
14,113
18
KC
HRW
Wheat;
July
2020
(a)
Short
234
5,505
(292)
Lean
Hogs;
August
2020
(a)
Long
78
1,770
(88)
Lean
Hogs;
July
2020
(a)
Long
31
707
(27)
Live
Cattle;
August
2020
(a)
Short
15
598
(2)
LME
Lead;
September
2020
(a)
Long
224
9,392
(208)
LME
Nickel;
July
2020
(a)
Short
—
—
(49)
LME
Nickel;
June
2020
(a)
Short
—
—
(507)
LME
Nickel;
September
2020
(a)
Long
72
5,331
136
LME
PRI
Alum;
June
2020
(a)
Short
—
—
(2,132)
LME
PRI
Alum;
September
2020
(a)
Long
96
3,729
(520)
LME
Zinc;
June
2020
(a)
Short
—
—
(2,085)
LME
Zinc;
September
2020
(a)
Long
304
15,118
466
Low
Sulphur
Gasoline;
July
2020
(a)
Short
33
973
(57)
Low
Sulphur
Gasoline;
September
2020
(a)
Short
38
1,185
(58)
Natural
Gas;
April
2021
(a)
Short
188
4,722
(283)
Natural
Gas;
January
2021
(a)
Long
188
5,555
408
Natural
Gas;
July
2020
(a)
Long
55
1,017
(20)
Natural
Gas;
March
2021
(a)
Long
188
5,260
360
Natural
Gas;
November
2020
(a)
Short
188
4,491
(182)
Natural
Gas;
September
2020
(a)
Long
78
1,551
(56)
NY
Harb
ULSD;
July
2020
(a)
Short
85
3,701
(159)
NY
Harb
ULSD;
September
2020
(a)
Short
18
831
(29)
Palladium;
September
2020
(a)
Short
14
2,762
245
Platinum;
July
2020
(a)
Long
242
10,583
859
Short
Term
Euro-BTP;
June
2020
Long
104
12,925
73
Silver;
December
2020
(a)
Long
101
9,433
1,044
Silver;
July
2020
(a)
Long
95
8,787
1,520
Soybean
Meal;
July
2020
(a)
Short
292
8,269
174
Soybean
Oil;
July
2020
(a)
Short
56
920
(31)
Soybean;
July
2020
(a)
Long
25
1,051
(9)
Soybean;
November
2020
(a)
Long
61
2,598
18
Sugar
#11;
July
2020
(a)
Long
519
6,342
171
US
10
Year
Note;
September
2020
Short
62
8,622
(13)
US
10
Year
Ultra
Note;
September
2020
Short
153
24,071
(49)
US
2
Year
Note;
September
2020
Long
220
48,586
10
US
5
Year
Note;
September
2020
Long
146
18,341
24
US
Ultra
Bond;
September
2020
Long
27
5,887
26
Wheat;
July
2020
(a)
Long
347
9,035
134
WTI
Crude;
December
2020
(a)
Long
364
13,439
700
WTI
Crude;
July
2020
(a)
Short
189
6,708
(2,164)
WTI
Crude;
September
2020
(a)
Short
11
398
(22)
Total
$
(2,443)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
59
Foreign
Currency
Contracts
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
06/03/2020
$
5,422
EUR
4,992
$
—
$
(119)
Bank
of
America
NA
06/03/2020
$
375
NZD
606
—
(1)
Bank
of
America
NA
07/08/2020
CAD
1,758
$
1,257
20
—
Barclays
Bank
PLC
06/03/2020
JPY
2,198,370
$
20,405
—
(20)
Barclays
Bank
PLC
06/17/2020
$
282
EUR
260
—
(7)
Barclays
Bank
PLC
07/06/2020
$
20,415
JPY
2,198,370
16
—
Barclays
Bank
PLC
08/05/2020
GBP
1,574
$
1,947
—
(3)
Barclays
Bank
PLC
08/05/2020
$
1,946
EUR
1,745
7
—
BNP
Paribas
06/03/2020
CAD
17
$
12
—
—
BNP
Paribas
07/06/2020
$
12
CAD
17
—
—
Citigroup
Inc
06/03/2020
$
780
NZD
1,272
—
(10)
Citigroup
Inc
06/17/2020
EUR
555
$
637
—
(21)
Citigroup
Inc
07/08/2020
$
2,510
CAD
3,483
—
(20)
Citigroup
Inc
07/08/2020
CAD
1,171
$
830
21
—
Deutsche
Bank
AG
08/05/2020
$
620
GBP
511
—
(12)
Deutsche
Bank
AG
08/05/2020
EUR
560
$
619
3
—
Goldman
Sachs
&
Co
06/03/2020
$
40
EUR
37
—
(1)
Goldman
Sachs
&
Co
06/17/2020
$
259
AUD
445
—
(38)
Goldman
Sachs
&
Co
06/17/2020
$
257
GBP
220
—
(15)
Goldman
Sachs
&
Co
06/17/2020
$
260
JPY
28,345
—
(3)
Goldman
Sachs
&
Co
07/08/2020
CAD
1,738
$
1,242
21
—
Goldman
Sachs
&
Co
08/05/2020
GBP
1,060
$
1,229
80
—
Goldman
Sachs
&
Co
08/05/2020
$
1,228
EUR
1,145
—
(44)
HSBC
Securities
Inc
06/17/2020
JPY
61,594
$
605
—
(34)
JPMorgan
Chase
06/17/2020
GBP
470
$
617
—
(37)
JPMorgan
Chase
07/06/2020
GBP
159
$
196
—
—
JPMorgan
Chase
07/06/2020
$
517
EUR
465
1
—
JPMorgan
Chase
08/05/2020
$
2,455
GBP
2,135
—
(182)
JPMorgan
Chase
08/05/2020
EUR
2,275
$
2,455
73
—
Morgan
Stanley
&
Co
06/03/2020
$
1,092
EUR
1,007
—
(26)
Morgan
Stanley
&
Co
06/17/2020
AUD
895
$
596
1
—
Morgan
Stanley
&
Co
07/08/2020
$
845
CAD
1,173
—
(7)
Morgan
Stanley
&
Co
07/08/2020
CAD
1,742
$
1,243
22
—
Royal
Bank
of
Scotland
06/03/2020
GBP
13
$
16
—
—
Royal
Bank
of
Scotland
07/06/2020
$
16
GBP
13
—
—
Royal
Bank
of
Scotland
07/08/2020
CAD
1,761
$
1,258
21
—
Standard
Chartered
Bank,
Hong
Kong
06/03/2020
GBP
155
$
190
1
—
Standard
Chartered
Bank,
Hong
Kong
07/06/2020
$
191
GBP
155
—
—
UBS
AG
06/03/2020
$
211
GBP
168
4
—
UBS
AG
06/03/2020
$
148
CAD
205
—
(1)
UBS
AG
06/03/2020
CAD
168
$
122
—
—
UBS
AG
06/03/2020
$
217
EUR
198
—
(3)
UBS
AG
06/03/2020
EUR
5,977
$
6,649
—
(14)
UBS
AG
06/03/2020
$
20,623
JPY
2,199,173
231
—
UBS
AG
06/03/2020
$
279
NZD
453
—
(2)
UBS
AG
07/06/2020
$
6,653
EUR
5,977
15
—
Westpac
Banking
Corporation
06/03/2020
NZD
6,851
$
4,250
3
—
Westpac
Banking
Corporation
06/03/2020
$
2,807
NZD
4,617
—
(59)
Westpac
Banking
Corporation
07/06/2020
$
4,249
NZD
6,851
—
(1)
Total
$
540
$
(680)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
1.08%
Semiannual
Quarterly
N/A
09/16/2030
NZD
8,540
$
(155)
$
(9)
$
(164)
3
Month
USD
LIBOR
Receive
1.31%
Semiannual
Quarterly
N/A
02/27/2030
$
1,200
(78)
—
(78)
3
Month
USD
LIBOR
Pay
1.10%
Quarterly
Semiannual
N/A
03/01/2023
5,810
102
—
102
3
Month
USD
LIBOR
Pay
2.52%
Quarterly
Semiannual
N/A
02/28/2025
700
72
—
72
3
Month
USD
LIBOR
Receive
2.46%
Semiannual
Quarterly
N/A
02/28/2022
9,730
(374)
—
(374)
3
Month
USD
LIBOR
Pay
1.24%
Quarterly
Semiannual
N/A
03/02/2030
600
35
—
35
3
Month
USD
LIBOR
Pay
1.24%
Quarterly
Semiannual
N/A
03/02/2030
350
20
—
20
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,905
38
1
39
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,920
38
—
38
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
60
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
0.73%
Quarterly
Semiannual
N/A
09/04/2022
$
5,790
$
58
$
—
$
58
3
Month
USD
LIBOR
Pay
1.02%
Quarterly
Semiannual
N/A
09/08/2030
820
28
—
28
3
Month
USD
LIBOR
Receive
1.11%
Semiannual
Quarterly
N/A
03/08/2032
545
(16)
—
(16)
3
Month
USD
LIBOR
Pay
0.68%
Quarterly
Semiannual
N/A
03/06/2022
1,720
13
—
13
3
Month
USD
LIBOR
Receive
0.82%
Semiannual
Quarterly
N/A
09/08/2025
1,110
(25)
—
(25)
3
Month
USD
LIBOR
Pay
1.25%
Quarterly
Semiannual
N/A
09/08/2050
190
16
—
16
3
Month
USD
LIBOR
Pay
0.76%
Quarterly
Semiannual
N/A
09/08/2025
576
11
—
11
3
Month
USD
LIBOR
Pay
0.50%
Quarterly
Semiannual
N/A
03/11/2030
370
(5)
—
(5)
3
Month
USD
LIBOR
Receive
0.65%
Semiannual
Quarterly
N/A
06/02/2030
880
—
—
—
3
Month
USD
LIBOR
Pay
0.69%
Quarterly
Semiannual
N/A
03/11/2050
110
(7)
—
(7)
3
Month
USD
LIBOR
Receive
1.32%
Semiannual
Quarterly
N/A
08/27/2030
1,640
(105)
—
(105)
3
Month
USD
LIBOR
Pay
1.31%
Quarterly
Semiannual
N/A
02/26/2030
390
25
—
25
3
Month
USD
LIBOR
Pay
1.69%
Quarterly
Semiannual
N/A
01/28/2030
600
60
—
60
3
Month
USD
LIBOR
Pay
1.66%
Quarterly
Semiannual
N/A
01/28/2030
300
29
—
29
3
Month
USD
LIBOR
Pay
1.66%
Quarterly
Semiannual
N/A
01/28/2030
300
29
—
29
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/29/2030
600
54
—
54
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/29/2030
40
4
—
4
3
Month
USD
LIBOR
Pay
1.57%
Quarterly
Semiannual
N/A
04/29/2030
660
58
—
58
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/30/2030
650
59
—
59
3
Month
USD
LIBOR
Receive
2.40%
Semiannual
Quarterly
N/A
02/26/2022
42,310
(1,586)
1
(1,585)
3
Month
USD
LIBOR
Pay
1.61%
Quarterly
Semiannual
N/A
01/30/2030
300
28
—
28
3
Month
USD
LIBOR
Pay
1.81%
Quarterly
Semiannual
N/A
05/07/2050
470
112
—
112
3
Month
USD
LIBOR
Receive
1.63%
Semiannual
Quarterly
N/A
02/10/2030
600
(57)
—
(57)
3
Month
USD
LIBOR
Pay
1.83%
Quarterly
Semiannual
N/A
02/10/2050
240
58
—
58
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
02/11/2030
300
27
—
27
3
Month
USD
LIBOR
Pay
1.54%
Quarterly
Semiannual
N/A
02/12/2030
310
27
—
27
3
Month
USD
LIBOR
Pay
1.43%
Quarterly
Semiannual
N/A
02/25/2030
600
46
—
46
3
Month
USD
LIBOR
Pay
1.32%
Quarterly
Semiannual
N/A
02/26/2030
600
40
—
40
3
Month
USD
LIBOR
Pay
1.61%
Quarterly
Semiannual
N/A
01/30/2030
600
55
1
56
3
Month
USD
LIBOR
Receive
0.66%
Semiannual
Quarterly
N/A
03/11/2030
310
(1)
—
(1)
3
Month
USD
LIBOR
Receive
0.55%
Semiannual
Quarterly
N/A
03/12/2021
11,570
(21)
—
(21)
3
Month
USD
LIBOR
Pay
0.85%
Quarterly
Semiannual
N/A
03/12/2040
1,190
(33)
—
(33)
3
Month
USD
LIBOR
Receive
0.77%
Semiannual
Quarterly
N/A
05/04/2032
1,790
10
—
10
3
Month
USD
LIBOR
Pay
0.30%
Quarterly
Semiannual
N/A
05/05/2023
1,810
3
—
3
3
Month
USD
LIBOR
Pay
0.61%
Quarterly
Semiannual
N/A
05/06/2030
420
(2)
—
(2)
3
Month
USD
LIBOR
Receive
0.77%
Semiannual
Quarterly
N/A
05/06/2032
1,490
8
—
8
3
Month
USD
LIBOR
Pay
0.79%
Quarterly
Semiannual
N/A
05/09/2032
1,250
(4)
—
(4)
3
Month
USD
LIBOR
Pay
0.29%
Quarterly
Semiannual
N/A
08/10/2022
3,740
4
—
4
3
Month
USD
LIBOR
Pay
0.85%
Quarterly
Semiannual
N/A
05/15/2050
310
(8)
—
(8)
3
Month
USD
LIBOR
Pay
0.59%
Quarterly
Semiannual
N/A
05/01/2030
440
(2)
—
(2)
3
Month
USD
LIBOR
Pay
2.10%
Quarterly
Semiannual
N/A
05/15/2021
4,560
79
—
79
3
Month
USD
LIBOR
Receive
0.81%
Semiannual
Quarterly
N/A
05/18/2050
200
7
—
7
3
Month
USD
LIBOR
Pay
0.92%
Quarterly
Semiannual
N/A
05/16/2035
580
(7)
—
(7)
3
Month
USD
LIBOR
Receive
0.23%
Semiannual
Quarterly
N/A
11/24/2022
5,020
—
—
—
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
02/15/2030
1,850
—
—
—
3
Month
USD
LIBOR
Receive
0.92%
Semiannual
Quarterly
N/A
05/27/2050
240
1
—
1
3
Month
USD
LIBOR
Receive
0.92%
Semiannual
Quarterly
N/A
11/15/2045
2,560
13
(1)
12
3
Month
USD
LIBOR
Pay
0.26%
Quarterly
Semiannual
N/A
06/01/2022
550
—
—
—
3
Month
USD
LIBOR
Pay
0.60%
Quarterly
Semiannual
N/A
05/18/2030
590
(3)
—
(3)
3
Month
USD
LIBOR
Pay
0.59%
Quarterly
Semiannual
N/A
05/01/2030
560
(3)
—
(3)
3
Month
USD
LIBOR
Receive
0.76%
Semiannual
Quarterly
N/A
05/03/2032
1,730
10
—
10
3
Month
USD
LIBOR
Pay
0.65%
Quarterly
Semiannual
N/A
04/30/2030
560
—
—
—
3
Month
USD
LIBOR
Pay
1.10%
Quarterly
Semiannual
N/A
08/21/2050
400
18
—
18
3
Month
USD
LIBOR
Pay
0.71%
Quarterly
Semiannual
N/A
03/25/2030
360
2
—
2
3
Month
USD
LIBOR
Pay
0.43%
Quarterly
Semiannual
N/A
09/29/2022
1,270
5
—
5
3
Month
USD
LIBOR
Pay
0.37%
Quarterly
Semiannual
N/A
09/29/2022
1,940
5
—
5
3
Month
USD
LIBOR
Pay
0.36%
Quarterly
Semiannual
N/A
09/29/2022
1,380
3
—
3
3
Month
USD
LIBOR
Pay
0.34%
Quarterly
Semiannual
N/A
09/29/2022
3,310
7
—
7
3
Month
USD
LIBOR
Pay
0.62%
Quarterly
Semiannual
N/A
05/04/2030
700
(2)
—
(2)
3
Month
USD
LIBOR
Pay
0.35%
Quarterly
Semiannual
N/A
10/02/2022
2,760
7
—
7
3
Month
USD
LIBOR
Pay
0.64%
Quarterly
Semiannual
N/A
05/05/2030
440
—
—
—
3
Month
USD
LIBOR
Pay
0.64%
Quarterly
Semiannual
N/A
04/07/2030
1,610
(2)
—
(2)
3
Month
USD
LIBOR
Receive
0.63%
Semiannual
Quarterly
N/A
04/14/2025
3,090
(38)
—
(38)
3
Month
USD
LIBOR
Pay
0.82%
Quarterly
Semiannual
N/A
04/14/2030
1,610
26
—
26
3
Month
USD
LIBOR
Receive
2.89%
Semiannual
Quarterly
N/A
04/16/2022
4,060
(198)
1
(197)
3
Month
USD
LIBOR
Receive
0.65%
Semiannual
Quarterly
N/A
04/20/2027
230
(1)
—
(1)
3
Month
USD
LIBOR
Receive
0.70%
Semiannual
Quarterly
N/A
07/22/2030
900
(4)
—
(4)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
61
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
0.66%
Quarterly
Semiannual
N/A
04/29/2030
$
550
$
—
$
—
$
—
3
Month
USD
LIBOR
Pay
0.30%
Quarterly
Semiannual
N/A
07/30/2022
1,450
2
—
2
3
Month
USD
LIBOR
Pay
1.68%
Quarterly
Semiannual
N/A
01/27/2030
300
30
—
30
3
Month
USD
LIBOR
Pay
1.70%
Quarterly
Semiannual
N/A
01/27/2030
300
30
—
30
3
Month
USD
LIBOR
Pay
0.36%
Quarterly
Semiannual
N/A
06/02/2025
1,720
—
—
—
3
Month
USD
LIBOR
Pay
1.77%
Quarterly
Semiannual
N/A
01/23/2030
300
32
—
32
3
Month
USD
LIBOR
Pay
1.53%
Quarterly
Semiannual
N/A
08/04/2021
3,850
49
—
49
3
Month
USD
LIBOR
Pay
3.09%
Quarterly
Semiannual
N/A
11/29/2024
6,660
828
—
828
3
Month
USD
LIBOR
Pay
1.93%
Quarterly
Semiannual
N/A
12/01/2056
50
12
—
12
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/15/2044
800
(69)
—
(69)
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/12/2034
660
(69)
—
(69)
3
Month
USD
LIBOR
Receive
2.00%
Semiannual
Quarterly
N/A
11/07/2034
570
(54)
—
(54)
3
Month
USD
LIBOR
Pay
3.21%
Quarterly
Semiannual
N/A
10/29/2024
4,985
631
1
632
3
Month
USD
LIBOR
Receive
1.71%
Semiannual
Quarterly
N/A
08/16/2049
240
(13)
—
(13)
3
Month
USD
LIBOR
Pay
1.71%
Quarterly
Semiannual
N/A
07/13/2022
19,600
295
—
295
3
Month
USD
LIBOR
Receive
1.67%
Semiannual
Quarterly
N/A
08/17/2049
180
(9)
—
(9)
3
Month
USD
LIBOR
Receive
2.10%
Semiannual
Quarterly
N/A
10/23/2039
310
(27)
—
(27)
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240
(22)
—
(22)
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240
(22)
—
(22)
3
Month
USD
LIBOR
Receive
1.93%
Semiannual
Quarterly
N/A
10/22/2034
540
(48)
—
(48)
3
Month
USD
LIBOR
Receive
1.91%
Semiannual
Quarterly
N/A
10/21/2034
480
(41)
—
(41)
3
Month
USD
LIBOR
Pay
1.53%
Quarterly
Semiannual
N/A
11/22/2020
4,970
29
—
29
3
Month
USD
LIBOR
Pay
1.17%
Quarterly
Semiannual
N/A
09/08/2021
2,650
24
—
24
3
Month
USD
LIBOR
Receive
1.65%
Semiannual
Quarterly
N/A
08/22/2034
535
(33)
—
(33)
3
Month
USD
LIBOR
Pay
1.75%
Quarterly
Semiannual
N/A
01/23/2030
485
51
—
51
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
07/12/2023
19,920
(301)
1
(300)
3
Month
USD
LIBOR
Pay
2.60%
Quarterly
Semiannual
N/A
03/26/2029
1,360
239
—
239
3
Month
USD
LIBOR
Receive
1.87%
Semiannual
Quarterly
N/A
06/03/2022
12,690
(211)
—
(211)
3
Month
USD
LIBOR
Receive
2.53%
Semiannual
Quarterly
N/A
02/07/2023
390
(18)
—
(18)
3
Month
USD
LIBOR
Pay
2.10%
Quarterly
Semiannual
N/A
06/22/2031
210
28
—
28
3
Month
USD
LIBOR
Receive
2.37%
Semiannual
Quarterly
N/A
06/15/2050
780
(307)
1
(306)
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
06/15/2021
18,270
(272)
—
(272)
3
Month
USD
LIBOR
Receive
2.57%
Semiannual
Quarterly
N/A
02/07/2025
5,220
(550)
5
(545)
3
Month
USD
LIBOR
Pay
2.01%
Quarterly
Semiannual
N/A
07/02/2021
1,970
35
—
35
3
Month
USD
LIBOR
Receive
1.76%
Semiannual
Quarterly
N/A
07/09/2030
615
(67)
—
(67)
3
Month
USD
LIBOR
Pay
1.74%
Quarterly
Semiannual
N/A
06/16/2022
3,870
116
—
116
3
Month
USD
LIBOR
Pay
2.53%
Semiannual
Semiannual
N/A
02/07/2022
55,240
2,092
(24)
2,068
3
Month
USD
LIBOR
Pay
1.73%
Quarterly
Semiannual
N/A
01/08/2030
660
68
—
68
3
Month
USD
LIBOR
Pay
1.80%
Quarterly
Semiannual
N/A
01/07/2030
660
73
—
73
3
Month
USD
LIBOR
Receive
2.33%
Semiannual
Quarterly
N/A
06/24/2034
150
(19)
—
(19)
3
Month
USD
LIBOR
Pay
1.78%
Quarterly
Semiannual
N/A
01/22/2030
300
33
—
33
3
Month
USD
LIBOR
Receive
2.38%
Semiannual
Quarterly
N/A
07/05/2049
300
(33)
—
(33)
3
Month
USD
LIBOR
Pay
2.45%
Quarterly
Semiannual
N/A
05/18/2031
460
78
—
78
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/24/2023
EUR
4,700
(18)
—
(18)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/24/2023
4,695
(18)
—
(18)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
03/24/2023
4,695
(19)
—
(19)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.26)%
Annual
Semiannual
N/A
09/22/2022
2,360
(4)
—
(4)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.30)%
Annual
Semiannual
N/A
03/23/2022
4,410
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.38)%
Semiannual
Annual
N/A
05/04/2023
1,410
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.34)%
Annual
Semiannual
N/A
03/20/2022
1,220
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.25)%
Semiannual
Annual
N/A
06/24/2022
1,162
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/20/2022
2,200
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.28)%
Semiannual
Annual
N/A
06/26/2022
436
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.35)%
Semiannual
Annual
N/A
11/02/2022
1,420
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.29)%
Semiannual
Annual
N/A
06/25/2022
436
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.34)%
Semiannual
Annual
N/A
05/03/2023
1,410
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/20/2022
2,550
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.28)%
Semiannual
Annual
N/A
06/30/2022
436
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
08/11/2023
830
(2)
—
(2)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.32)%
Semiannual
Annual
N/A
09/29/2022
1,080
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.35)%
Annual
Semiannual
N/A
03/20/2022
1,210
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.31)%
Semiannual
Annual
N/A
04/29/2023
2,970
3
—
3
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.33)%
Semiannual
Annual
N/A
10/02/2022
1,980
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.30)%
Annual
Semiannual
N/A
07/25/2023
5,450
(6)
1
(5)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.29)%
Annual
Semiannual
N/A
07/26/2023
7,870
(10)
—
(10)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
07/16/2022
1,830
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.58)%
Semiannual
Annual
N/A
08/17/2023
700
(4)
—
(4)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
62
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.34)%
Semiannual
Annual
N/A
10/02/2022
EUR
2,120
$
(1)
$
—
$
(1)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.38)%
Annual
Semiannual
N/A
06/19/2022
1,720
3
—
3
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.37)%
Semiannual
Annual
N/A
05/06/2023
470
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.45)%
Annual
Semiannual
N/A
12/16/2021
2,045
6
—
6
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/18/2025
120
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
12/13/2023
2,370
(9)
—
(9)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.33)%
Semiannual
Annual
N/A
02/12/2023
1,390
1
—
1
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
11/11/2024
460
(3)
—
(3)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.06)%
Annual
Semiannual
N/A
01/03/2024
1,335
(8)
—
(8)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
03/02/2023
2,340
(3)
—
(3)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
01/16/2022
4,940
—
—
—
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.47)%
Semiannual
Annual
N/A
03/04/2023
1,290
(4)
—
(4)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.48)%
Semiannual
Annual
N/A
03/05/2022
2,560
(7)
—
(7)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.05)%
Annual
Semiannual
N/A
01/03/2024
1,335
(9)
—
(9)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.44)%
Semiannual
Annual
N/A
10/06/2023
540
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
09/28/2023
430
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
09/14/2023
530
(1)
—
(1)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.49)%
Semiannual
Annual
N/A
03/09/2022
1,730
(5)
—
(5)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.50)%
Semiannual
Annual
N/A
09/14/2023
1,800
(6)
—
(6)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.48)%
Semiannual
Annual
N/A
03/06/2022
950
(3)
—
(3)
6
Month
Euro
Interbank
Offered
Rate
Receive
0.19%
Annual
Semiannual
N/A
01/16/2030
1,020
(37)
—
(37)
6
Month
JPY
LIBOR
Receive
0.72%
Semiannual
Semiannual
N/A
03/21/2044
JPY
8,220
(6)
—
(6)
6
Month
JPY
LIBOR
Receive
0.34%
Semiannual
Semiannual
N/A
02/08/2034
8,650
(2)
—
(2)
6
Month
JPY
LIBOR
Receive
0.30%
Semiannual
Semiannual
N/A
06/17/2039
11,470
(2)
—
(2)
6
Month
JPY
LIBOR
Receive
0.17%
Semiannual
Semiannual
N/A
08/08/2039
8,330
1
—
1
6
Month
JPY
LIBOR
Receive
0.20%
Semiannual
Semiannual
N/A
08/28/2044
1,270
—
—
—
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.29%
Annual
Annual
N/A
05/05/2030
$
5,115
22
—
22
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.33%
Annual
Annual
N/A
05/04/2030
5,730
(5)
—
(5)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.82%
Annual
Annual
N/A
02/03/2030
5,375
(300)
—
(300)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.00%
Annual
Annual
N/A
04/27/2025
4,895
32
—
32
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.34%
Annual
Annual
N/A
04/29/2030
4,855
11
—
11
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
0.79%
Annual
Annual
N/A
04/29/2025
4,855
26
—
26
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.84%
Annual
Annual
N/A
01/31/2030
4,620
(267)
—
(267)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
2.25%
Annual
Annual
N/A
10/30/2028
2,195
(230)
—
(230)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.45%
Annual
Annual
N/A
04/16/2030
4,900
73
—
73
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.36%
Annual
Annual
N/A
05/29/2030
4,820
7
—
7
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
0.97%
Annual
Annual
N/A
05/29/2025
4,820
(9)
—
(9)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.30%
Annual
Annual
N/A
04/27/2030
4,895
(9)
—
(9)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
0.96%
Annual
Annual
N/A
04/16/2025
4,900
(18)
—
(18)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.94%
Annual
Annual
N/A
02/10/2050
1,715
229
—
229
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.86%
Annual
Annual
N/A
11/25/2029
2,720
155
—
155
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.24%
Annual
Annual
N/A
03/13/2030
5,270
44
1
45
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
05/10/2021
17,627
(357)
(8)
(365)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.25%
Annual
Annual
N/A
03/11/2030
2,675
18
—
18
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
0.97%
Annual
Annual
N/A
03/25/2030
1,285
(47)
—
(47)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.06%
Annual
Annual
N/A
03/26/2030
1,280
(35)
—
(35)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
63
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.92%
Annual
Annual
N/A
05/08/2021
$
13,823
$
(301)
$
—
$
(301)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.34%
Annual
Annual
N/A
03/30/2030
2,615
10
—
10
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.71%
Annual
Annual
N/A
08/12/2024
5,460
(207)
—
(207)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.79%
Annual
Annual
N/A
08/22/2049
760
(50)
—
(50)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.29%
Annual
Annual
N/A
05/15/2030
4,840
30
—
30
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.96%
Annual
Annual
N/A
12/12/2049
1,540
(213)
—
(213)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.90%
Annual
Annual
N/A
02/12/2024
3,930
(175)
—
(175)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.75%
Annual
Annual
N/A
08/22/2029
2,390
110
—
110
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.95%
Annual
Annual
N/A
11/25/2049
870
(115)
—
(115)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
02/10/2030
5,405
(320)
—
(320)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
0.83%
Annual
Annual
N/A
05/15/2025
4,840
(30)
—
(30)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
08/01/2024
5,860
(271)
—
(271)
Eurozone
Harmonised
Index
of
Consumer
Prices
ex-Tobacco
Receive
0.40%
Annual
Annual
N/A
03/15/2030
EUR
1,220
42
—
42
Eurozone
Harmonised
Index
of
Consumer
Prices
ex-Tobacco
Receive
0.64%
Annual
Annual
N/A
04/15/2030
4,500
25
(1)
24
Eurozone
Harmonised
Index
of
Consumer
Prices
ex-Tobacco
Pay
0.36%
Annual
Annual
N/A
04/15/2025
4,500
(12)
1
(11)
Eurozone
Harmonised
Index
of
Consumer
Prices
ex-Tobacco
Pay
0.39%
Annual
Annual
N/A
04/15/2025
4,510
(3)
—
(3)
Eurozone
Harmonised
Index
of
Consumer
Prices
ex-Tobacco
Receive
0.62%
Annual
Annual
N/A
04/15/2030
4,640
39
—
39
Eurozone
Harmonised
Index
of
Consumer
Prices
ex-Tobacco
Pay
0.32%
Annual
Annual
N/A
04/15/2025
4,640
(22)
1
(21)
Eurozone
Harmonised
Index
of
Consumer
Prices
ex-Tobacco
Receive
0.61%
Annual
Annual
N/A
05/15/2030
2,360
29
—
29
Eurozone
Harmonised
Index
of
Consumer
Prices
ex-Tobacco
Receive
0.71%
Annual
Annual
N/A
04/15/2030
4,510
(9)
(1)
(10)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
0.39%
Annual
Annual
N/A
05/15/2025
4,345
13
—
13
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Pay
0.66%
Annual
Annual
N/A
05/15/2030
4,345
(28)
—
(28)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.29%
Annual
Annual
N/A
03/15/2029
4,285
(319)
3
(316)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
0.34%
Annual
Annual
N/A
05/15/2025
4,425
25
—
25
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Pay
0.60%
Annual
Annual
N/A
05/15/2030
4,425
(59)
—
(59)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
0.41%
Annual
Annual
N/A
03/15/2030
1,185
39
1
40
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.13%
Annual
Annual
N/A
02/15/2030
605
(33)
—
(33)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.15%
Annual
Annual
N/A
02/15/2030
2,695
(153)
1
(152)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Pay
1.13%
Annual
Annual
N/A
01/15/2030
4,525
250
(1)
249
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
0.57%
Annual
Annual
N/A
03/15/2030
2,430
35
—
35
United
Kingdom
Retail
Prices
Index
Pay
3.29%
Annual
Annual
N/A
03/15/2030
GBP
3,310
(31)
(3)
(34)
United
Kingdom
Retail
Prices
Index
Pay
3.51%
Annual
Annual
N/A
10/15/2028
3,095
194
(19)
175
United
Kingdom
Retail
Prices
Index
Receive
3.13%
Annual
Annual
N/A
01/15/2050
1,300
(235)
22
(213)
United
Kingdom
Retail
Prices
Index
Pay
3.24%
Annual
Annual
N/A
01/15/2045
1,300
160
(16)
144
United
Kingdom
Retail
Prices
Index
Pay
3.34%
Annual
Annual
N/A
01/15/2040
1,700
136
(16)
120
United
Kingdom
Retail
Prices
Index
Receive
3.39%
Annual
Annual
N/A
01/15/2035
1,700
(75)
11
(64)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
64
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
United
Kingdom
Retail
Prices
Index
Receive
3.46%
Annual
Annual
N/A
12/15/2029
GBP
1,660
$
(41)
$
5
$
(36)
United
Kingdom
Retail
Prices
Index
Pay
3.61%
Annual
Annual
N/A
01/15/2029
1,145
84
(7)
77
United
Kingdom
Retail
Prices
Index
Receive
3.36%
Annual
Annual
N/A
01/15/2035
1,700
(59)
9
(50)
United
Kingdom
Retail
Prices
Index
Pay
3.22%
Annual
Annual
N/A
01/15/2045
1,300
144
(15)
129
United
Kingdom
Retail
Prices
Index
Receive
3.11%
Annual
Annual
N/A
01/15/2050
1,300
(210)
21
(189)
United
Kingdom
Retail
Prices
Index
Pay
3.49%
Annual
Annual
N/A
03/15/2029
3,035
127
(14)
113
United
Kingdom
Retail
Prices
Index
Pay
3.45%
Annual
Annual
N/A
02/15/2030
530
9
(2)
7
United
Kingdom
Retail
Prices
Index
Pay
3.27%
Annual
Annual
N/A
10/15/2044
2,725
423
(34)
389
United
Kingdom
Retail
Prices
Index
Receive
3.16%
Annual
Annual
N/A
10/15/2049
2,725
(565)
23
(542)
United
Kingdom
Retail
Prices
Index
Pay
3.36%
Annual
Annual
N/A
10/15/2039
3,555
372
(46)
326
United
Kingdom
Retail
Prices
Index
Receive
3.42%
Annual
Annual
N/A
10/15/2034
3,555
(243)
38
(205)
United
Kingdom
Retail
Prices
Index
Pay
3.31%
Annual
Annual
N/A
01/15/2040
1,700
111
(14)
97
United
Kingdom
Retail
Prices
Index
Pay
3.40%
Annual
Annual
N/A
08/15/2028
5,285
208
(27)
181
Total
$
(797)
$
(108)
$
(905)
Amounts
in
thousands.
(a)
Forward
swap.
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Bank
of
America
NA
Bloomberg
Commodity
Index
Total
Return
(a)
442,842
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
06/25/2020
$
59,849
$
—
$
175
$
—
Bank
of
America
NA
BofA
Merrill
Lynch
Commodity
MLBXCS3T
Total
Return
Strategy
(a)
130,218
Receive
0.20%
Annual
06/08/2020
11,066
—
—
—
M3
Capital
Partners
Bloomberg
Commodity
Index
Total
Return
(a)
538,621
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.09%
Monthly
06/25/2020
72,794
—
212
—
M3
Capital
Partners
Macquarie
Commodity
Product
251E
(a)
105,863
Receive
0.33%
Annual
06/08/2020
8,241
—
—
—
Societe
Generale
Bloomberg
Commodity
Index
Total
Return
(a)
146,250
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
06/25/2020
19,765
—
58
—
Societe
Generale
Societe
Generale
Commodities
Custom
Alpha
(a)
144,346
Receive
0.35%
Annual
06/08/2020
10,591
—
—
—
Total
$
—
$
445
$
—
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Schedule
of
Investments
Edge
MidCap
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
65
INVESTMENT
COMPANIES
-
2.62%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.62%
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c)
18,047,736
$
18,048
TOTAL
INVESTMENT
COMPANIES
$
18,048
COMMON
STOCKS
-
95.71%
Shares
Held
Value
(000's)
Advertising
-
1.96%
Interpublic
Group
of
Cos
Inc
/The
787,083
13,467
Airlines
-
0.95%
Alaska
Air
Group
Inc
190,579
6,516
Automobile
Parts
&
Equipment
-
1.09%
Autoliv
Inc
118,084
7,508
Banks
-
2.68%
Bank
OZK
270,543
6,085
Cullen/Frost
Bankers
Inc
162,725
12,362
$
18,447
Chemicals
-
2.60%
FMC
Corp
181,930
17,904
Commercial
Services
-
3.09%
Aaron's
Inc
317,012
11,701
Morningstar
Inc
62,259
9,546
$
21,247
Consumer
Products
-
2.35%
Avery
Dennison
Corp
146,410
16,203
Electric
-
6.37%
Alliant
Energy
Corp
409,586
20,217
Eversource
Energy
265,624
22,233
WEC
Energy
Group
Inc
15,390
1,412
$
43,862
Electrical
Components
&
Equipment
-
5.38%
Energizer
Holdings
Inc
433,602
19,026
Littelfuse
Inc
111,094
18,052
$
37,078
Electronics
-
1.65%
Arrow
Electronics
Inc
(b)
164,472
11,362
Environmental
Control
-
2.08%
Waste
Connections
Inc
152,175
14,311
Hand
&
Machine
Tools
-
4.39%
Lincoln
Electric
Holdings
Inc
233,428
19,180
Snap-on
Inc
85,057
11,031
$
30,211
Healthcare
-
Products
-
6.78%
Teleflex
Inc
69,042
25,052
Varian
Medical
Systems
Inc
(b)
178,629
21,684
$
46,736
Healthcare
-
Services
-
2.74%
Universal
Health
Services
Inc
178,904
18,865
Insurance
-
4.61%
Fidelity
National
Financial
Inc
517,747
16,516
Markel
Corp
(b)
16,951
15,212
$
31,728
Internet
-
1.73%
Rightmove
PLC
1,636,730
11,925
Leisure
Products
&
Services
-
2.40%
YETI
Holdings
Inc
(b)
514,625
16,519
Machinery
-
Diversified
-
2.07%
Nordson
Corp
75,744
14,266
Oil
&
Gas
-
2.69%
Cimarex
Energy
Co
278,145
7,310
Helmerich
&
Payne
Inc
185,458
3,733
HollyFrontier
Corp
237,047
7,455
$
18,498
REITs
-
8.19%
Alexandria
Real
Estate
Equities
Inc
131,957
20,284
CyrusOne
Inc
356,170
26,478
STORE
Capital
Corp
499,673
9,664
$
56,426
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Retail
-
3.61%
Chipotle
Mexican
Grill
Inc
(b)
24,794
$
24,891
Savings
&
Loans
-
2.55%
Washington
Federal
Inc
678,199
17,538
Semiconductors
-
5.79%
Microchip
Technology
Inc
237,630
22,817
Teradyne
Inc
254,446
17,053
$
39,870
Software
-
11.02%
Black
Knight
Inc
(b)
403,993
31,099
Fair
Isaac
Corp
(b)
78,489
31,604
Tyler
Technologies
Inc
(b)
35,216
13,217
$
75,920
Toys,
Games
&
Hobbies
-
2.53%
Hasbro
Inc
236,658
17,397
Transportation
-
4.41%
Expeditors
International
of
Washington
Inc
311,547
23,792
Kirby
Corp
(b)
129,092
6,620
$
30,412
TOTAL
COMMON
STOCKS
$
659,107
Total
Investments
$
677,155
Other
Assets
and
Liabilities
- 1.67%
11,525
TOTAL
NET
ASSETS
-
100.00%
$
688,680
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Non-income
producing
security
(c)
Current
yield
shown
is
as
of
period
end.
Portfolio
Summary (unaudited)
Sector
Percent
Industrial
19.98%
Financial
18.03%
Technology
16.81%
Consumer,
Non-cyclical
14.96%
Consumer,
Cyclical
10.58%
Utilities
6.37%
Communications
3.69%
Energy
2.69%
Money
Market
Funds
2.62%
Basic
Materials
2.60%
Other
Assets
and
Liabilities
1.67%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Edge
MidCap
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
66
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
19,943
$
147,555
$
149,450
$
18,048
$
19,943
$
147,555
$
149,450
$
18,048
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
156
$
—
$
—
$
—
$
156
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
67
INVESTMENT
COMPANIES
-
12.99%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.12%
iShares
Russell
1000
Growth
ETF
2,796
$
516
iShares
Russell
2000
Value
ETF
663
63
SPDR
Gold
Shares
ETP
1,063
173
VanEck
Vectors
Gold
Miners
ETF
3,272
112
VanEck
Vectors
Junior
Gold
Miners
ETF
1,841
85
$
949
Money
Market
Funds
-
12.87%
First
American
Government
Obligations
Fund
-
Institutional
Class
0.04%
(a)
2,229,740
2,230
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
–
Institutional
Class
0.06%
(a),(b)
4,681,088
4,681
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
94,305,279
94,305
$
101,216
TOTAL
INVESTMENT
COMPANIES
$
102,165
COMMON
STOCKS
-
41.20%
Shares
Held
Value
(000's)
Advertising
-
0.07%
Clear
Channel
Outdoor
Holdings
Inc
(d)
70,160
67
Interpublic
Group
of
Cos
Inc/The
(e)
9,504
163
Omnicom
Group
Inc
(e)
3,083
169
WPP
PLC
20,117
153
$
552
Aerospace
&
Defense
-
0.60%
General
Dynamics
Corp
(e)
3,530
518
HEICO
Corp
-
Class
A
(e)
1,428
120
Howmet
Aerospace
Inc
(e)
46,429
607
Lockheed
Martin
Corp
(e)
3,162
1,228
Moog
Inc
1,073
58
Northrop
Grumman
Corp
894
300
Raytheon
Technologies
Corp
(e)
9,369
605
Thales
SA
2,328
178
TransDigm
Group
Inc
(e)
2,312
982
Triumph
Group
Inc
1,743
13
Ultra
Electronics
Holdings
PLC
5,460
134
$
4,743
Agriculture
-
0.25%
Altria
Group
Inc
(e)
10,318
403
Archer-Daniels-Midland
Co
(e)
6,247
246
Philip
Morris
International
Inc
(e)
10,129
743
Swedish
Match
AB
7,788
543
$
1,935
Airlines
-
0.11%
Alaska
Air
Group
Inc
(e)
1,075
37
American
Airlines
Group
Inc
661
7
Southwest
Airlines
Co
(e)
26,134
839
$
883
Apparel
-
0.55%
Adidas
AG
(d)
3,722
987
Carter's
Inc
3,029
260
Hanesbrands
Inc
(e)
6,570
65
Kontoor
Brands
Inc
3,961
58
LVMH
Moet
Hennessy
Louis
Vuitton
SE
1,748
734
NIKE
Inc
(e)
8,696
857
PVH
Corp
(e)
10,676
485
Ralph
Lauren
Corp
(e)
1,360
103
Steven
Madden
Ltd
7,884
185
Tapestry
Inc
(e)
7,831
106
VF
Corp
(e)
7,243
407
Wolverine
World
Wide
Inc
4,309
90
$
4,337
Automobile
Manufacturers
-
0.32%
Bayerische
Motoren
Werke
AG
4,038
237
Cummins
Inc
(e)
2,783
472
Ferrari
NV
4,968
845
Fiat
Chrysler
Automobiles
NV
(d)
1,418
13
Ford
Motor
Co
(e)
30,159
172
General
Motors
Co
4,607
119
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Automobile
Manufacturers
(continued)
PACCAR
Inc
4,427
$
327
REV
Group
Inc
10,687
65
Tesla
Inc
(d),(e)
271
226
Volvo
AB
-
B
Shares
5,447
78
$
2,554
Automobile
Parts
&
Equipment
-
0.13%
BorgWarner
Inc
(e)
7,536
242
Cooper
Tire
&
Rubber
Co
2,902
75
Faurecia
SE
(d)
2,259
88
Koito
Manufacturing
Co
Ltd
3,100
132
Rheinmetall
AG
2,384
194
Valeo
SA
13,325
329
$
1,060
Banks
-
1.46%
Allegiance
Bancshares
Inc
2,302
59
Ameris
Bancorp
2,362
57
Aozora
Bank
Ltd
13,600
253
Atlantic
Union
Bankshares
Corp
1,805
42
Banca
Generali
SpA
4,761
130
Bank
of
America
Corp
(e)
14,784
357
Bank
OZK
5,963
134
Cadence
BanCorp
9,121
74
Citizens
Financial
Group
Inc
(e)
5,694
137
Concordia
Financial
Group
Ltd
75,300
247
DBS
Group
Holdings
Ltd
6,500
90
DNB
ASA
(d)
14,997
205
East
West
Bancorp
Inc
(e)
11,118
389
Fifth
Third
Bancorp
(e)
19,242
373
FinecoBank
Banca
Fineco
SpA
(d)
7,377
86
First
Citizens
BancShares
Inc/NC
218
84
First
Hawaiian
Inc
3,826
66
First
Interstate
BancSystem
Inc
2,259
71
First
Midwest
Bancorp
Inc/IL
4,849
63
First
Republic
Bank/CA
1,920
208
FNB
Corp/PA
9,187
68
Fukuoka
Financial
Group
Inc
18,300
298
Goldman
Sachs
Group
Inc/The
(e)
2,417
475
Great
Western
Bancorp
Inc
4,929
70
Heritage
Commerce
Corp
8,296
67
Hilltop
Holdings
Inc
3,871
72
Home
BancShares
Inc/AR
5,453
79
ING
Groep
NV
57,446
374
Intesa
Sanpaolo
SpA
(d)
47,218
82
JPMorgan
Chase
&
Co
(e)
4,350
423
KBC
Group
NV
3,829
201
M&T
Bank
Corp
6,553
692
Macquarie
Group
Ltd
2,228
164
Morgan
Stanley
(e)
6,773
299
Natixis
SA
(d)
47,080
106
Opus
Bank
3,611
70
PNC
Financial
Services
Group
Inc/The
(e)
4,470
509
Raiffeisen
Bank
International
AG
11,473
210
Regions
Financial
Corp
(e)
5,784
65
Shinsei
Bank
Ltd
17,800
228
Standard
Chartered
PLC
25,540
117
Sumitomo
Mitsui
Financial
Group
Inc
9,500
276
Sumitomo
Mitsui
Trust
Holdings
Inc
16,900
500
SVB
Financial
Group
(d),(e)
2,047
440
Truist
Financial
Corp
(e)
8,189
301
UBS
Group
AG
(d)
21,132
226
Umpqua
Holdings
Corp
5,597
64
United
Community
Banks
Inc/GA
3,496
68
US
Bancorp
(e)
26,319
936
Veritex
Holdings
Inc
3,601
63
Wells
Fargo
&
Co
(e)
12,749
337
Western
Alliance
Bancorp
5,134
196
Zions
Bancorp
NA
7,886
259
$
11,460
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
68
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Beverages
-
0.64%
Asahi
Group
Holdings
Ltd
2,600
$
98
Boston
Beer
Co
Inc/The
(d)
227
128
Carlsberg
A/S
3,266
423
Coca-Cola
Co/The
(e)
25,865
1,208
Coca-Cola
HBC
AG
7,156
181
Constellation
Brands
Inc
(e)
2,663
460
Diageo
PLC
11,728
409
Keurig
Dr
Pepper
Inc
5,740
160
Molson
Coors
Beverage
Co
412
16
Monster
Beverage
Corp
(d),(e)
15,273
1,099
PepsiCo
Inc
(e)
6,753
888
$
5,070
Biotechnology
-
0.48%
Abcam
PLC
6,927
129
Alexion
Pharmaceuticals
Inc
(d),(e)
1,847
221
Amgen
Inc
80
18
Apellis
Pharmaceuticals
Inc
(d)
2,715
91
Arena
Pharmaceuticals
Inc
(d)
1,235
74
Ascendis
Pharma
A/S
ADR
(d)
334
49
Biogen
Inc
(d),(e)
4,537
1,393
ChemoCentryx
Inc
(d)
1,050
65
Constellation
Pharmaceuticals
Inc
(d)
1,682
60
Corteva
Inc
(e)
11,609
317
Emergent
BioSolutions
Inc
(d)
1,411
118
Exact
Sciences
Corp
(d)
2,116
182
Genmab
A/S
(d)
625
193
Illumina
Inc
(d)
229
83
Incyte
Corp
(d),(e)
939
96
Ionis
Pharmaceuticals
Inc
(d),(e)
2,545
143
Livongo
Health
Inc
(d)
2,467
148
Regeneron
Pharmaceuticals
Inc
(d)
361
222
Sage
Therapeutics
Inc
(d)
900
32
Y-mAbs
Therapeutics
Inc
(d)
4,048
155
$
3,789
Building
Materials
-
0.50%
American
Woodmark
Corp
(d)
1,388
87
Boise
Cascade
Co
3,457
118
Carrier
Global
Corp
(e)
11,493
235
Cemex
SAB
de
CV
ADR
88,953
213
Cie
de
Saint-Gobain
8,701
285
CRH
PLC
5,804
187
CRH
PLC
1,911
62
Daikin
Industries
Ltd
2,200
324
Fortune
Brands
Home
&
Security
Inc
(e)
4,598
280
JELD-WEN
Holding
Inc
(d)
6,400
87
Johnson
Controls
International
plc
(e)
9,340
294
Lennox
International
Inc
1,799
385
LIXIL
Group
Corp
13,900
194
Marshalls
PLC
10,666
86
Martin
Marietta
Materials
Inc
(e)
1,453
279
Masco
Corp
(e)
10,580
494
ROCKWOOL
International
A/S
598
168
Sanwa
Holdings
Corp
7,300
63
Wienerberger
AG
6,360
127
$
3,968
Chemicals
-
1.28%
Akzo
Nobel
NV
1,685
138
Asahi
Kasei
Corp
13,800
110
Borregaard
ASA
6,024
66
Brenntag
AG
3,532
188
Celanese
Corp
(e)
5,064
455
CF
Industries
Holdings
Inc
(e)
21,881
642
Dow
Inc
10,891
420
DuPont
de
Nemours
Inc
(e)
21,084
1,070
Eastman
Chemical
Co
1,984
135
Ecolab
Inc
1,181
251
EMS-Chemie
Holding
AG
1,521
1,130
FMC
Corp
(e)
3,025
298
Hexion
Holdings
Corp
(d)
22,049
133
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
(continued)
IMCD
NV
1,533
$
145
Ingevity
Corp
(d)
781
41
Linde
PLC
(e)
5,193
1,051
LyondellBasell
Industries
NV
(e)
4,520
288
Mosaic
Co/The
6,625
80
Nissan
Chemical
Corp
12,400
550
Nitto
Denko
Corp
6,600
358
Nutrien
Ltd
992
34
PPG
Industries
Inc
(e)
6,908
702
Sherwin-Williams
Co/The
(e)
1,291
767
Shin-Etsu
Chemical
Co
Ltd
6,000
703
Showa
Denko
KK
4,900
118
Toray
Industries
Inc
32,700
159
$
10,032
Commercial
Services
-
1.56%
2U
Inc
(d)
2,333
85
Adtalem
Global
Education
Inc
(d)
2,315
77
AMERCO
760
245
Aramark
4,760
123
Automatic
Data
Processing
Inc
(e)
3,810
558
Avalara
Inc
(d)
646
69
Babcock
International
Group
PLC
30,071
143
Badger
Daylighting
Ltd
4,852
101
BrightView
Holdings
Inc
(d)
4,771
65
Bureau
Veritas
SA
43,489
890
Carriage
Services
Inc
4,318
81
Chegg
Inc
(d)
2,290
140
Cintas
Corp
(e)
5,197
1,289
CoStar
Group
Inc
(d)
344
226
Deluxe
Corp
2,128
50
Edenred
3,163
132
Elis
SA
(d)
2,625
33
Escrow
Altegrity
Inc
NPV
(d),(f),(g)
20,714
447
EVERTEC
Inc
2,782
81
FleetCor
Technologies
Inc
(d)
868
212
Gartner
Inc
(d)
1,961
239
Global
Payments
Inc
365
66
H&R
Block
Inc
300
5
Hypoport
SE
(d)
301
134
ICF
International
Inc
1,707
112
IHS
Markit
Ltd
2,148
149
ISS
A/S
(d)
14,268
238
Kforce
Inc
2,243
68
LiveRamp
Holdings
Inc
(d)
3,323
168
Loomis
AB
(d)
5,535
140
Medifast
Inc
685
70
Moody's
Corp
(e)
2,805
750
Nielsen
Holdings
PLC
(e)
14,548
202
Paylocity
Holding
Corp
(d)
599
78
PayPal
Holdings
Inc
(d)
6,496
1,006
Persol
Holdings
Co
Ltd
34,000
449
Quanta
Services
Inc
(e)
18,356
678
Robert
Half
International
Inc
(e)
8,728
443
S&P
Global
Inc
(e)
3,116
1,013
Square
Inc
(d),(e)
7,820
634
TriNet
Group
Inc
(d)
2,728
147
United
Rentals
Inc
(d),(e)
3,255
452
$
12,288
Computers
-
1.76%
Accenture
PLC
-
Class
A
(e)
3,585
723
Amdocs
Ltd
1,112
69
Apple
Inc
(e)
22,111
7,029
Cognizant
Technology
Solutions
Corp
846
45
Endava
PLC
ADR
(d)
1,744
84
Fortinet
Inc
(d),(e)
1,841
256
Genpact
Ltd
2,498
90
HP
Inc
(e)
18,517
281
International
Business
Machines
Corp
(e)
4,649
581
Itochu
Techno-Solutions
Corp
11,100
376
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
69
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
Leidos
Holdings
Inc
8,395
$
883
Lumentum
Holdings
Inc
(d)
2,460
180
NetApp
Inc
(e)
5,843
260
Nomura
Research
Institute
Ltd
5,500
146
NTT
Data
Corp
98,257
1,139
Obic
Co
Ltd
1,600
278
Otsuka
Corp
23,000
1,114
Rapid7
Inc
(d)
2,675
131
Softcat
PLC
2,746
39
Vocera
Communications
Inc
(d)
4,571
90
Western
Digital
Corp
998
44
$
13,838
Consumer
Products
-
0.08%
Avery
Dennison
Corp
(e)
282
31
Church
&
Dwight
Co
Inc
1,446
108
Clorox
Co/The
473
98
Kimberly-Clark
Corp
2,664
377
$
614
Cosmetics
&
Personal
Care
-
0.47%
Colgate-Palmolive
Co
(e)
17,952
1,298
Edgewell
Personal
Care
Co
(d)
2,571
78
Estee
Lauder
Cos
Inc/The
(e)
1,232
244
Pola
Orbis
Holdings
Inc
14,600
285
Procter
&
Gamble
Co/The
(e)
15,450
1,791
$
3,696
Distribution
&
Wholesale
-
0.24%
Bunzl
PLC
3,729
87
Copart
Inc
(d),(e)
6,432
575
Diploma
PLC
6,146
140
Fastenal
Co
9,001
371
LKQ
Corp
(d),(e)
8,475
233
Toyota
Tsusho
Corp
4,100
104
WW
Grainger
Inc
(e)
1,166
361
$
1,871
Diversified
Financial
Services
-
1.83%
4L
Technologies
(d),(f),(g)
24,306
97
Alliance
Data
Systems
Corp
(e)
2,075
96
American
Express
Co
(e)
6,345
604
Ares
Management
Corp
2,578
97
B
Riley
Financial
Inc
4,309
83
BlackRock
Inc
(e)
1,344
711
Cboe
Global
Markets
Inc
(e)
5,116
544
Charles
Schwab
Corp/The
11,637
418
CI
Financial
Corp
10,800
128
CME
Group
Inc
(e)
2,356
430
Credit
Acceptance
Corp
(d)
856
317
Discover
Financial
Services
(e)
7,843
373
ECN
Capital
Corp
35,390
122
Element
Comm
Aviation
(d),(f),(g),(h)
280
342
Euronext
NV
(i)
1,479
137
Federal
Agricultural
Mortgage
Corp
1,110
71
Franklin
Resources
Inc
(e)
27,546
520
Greenhill
&
Co
Inc
5,186
52
Hamilton
Lane
Inc
1,495
109
Hannon
Armstrong
Sustainable
Infrastructure
Capital
Inc
3,695
107
Hargreaves
Lansdown
PLC
15,087
344
Intercontinental
Exchange
Inc
(e)
4,990
485
Invesco
Ltd
(e)
87,441
697
London
Stock
Exchange
Group
PLC
642
64
Magellan
Financial
Group
Ltd
8,209
321
Mastercard
Inc
(e)
6,165
1,855
Moelis
&
Co
2,749
92
Nasdaq
Inc
(e)
5,082
602
Navient
Corp
6,814
51
PRA
Group
Inc
(d)
6,833
233
Raymond
James
Financial
Inc
2,307
160
Sanne
Group
PLC
13,545
114
SEI
Investments
Co
(e)
12,605
683
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Diversified
Financial
Services
(continued)
Singapore
Exchange
Ltd
23,100
$
136
SLM
Corp
10,196
77
Synchrony
Financial
(e)
22,564
460
T
Rowe
Price
Group
Inc
(e)
4,323
523
Visa
Inc
(e)
7,003
1,367
VZ
Holding
AG
1,750
130
Western
Union
Co/The
(e)
30,806
617
$
14,369
Electric
-
1.17%
AES
Corp/The
(e)
1,845
23
Canadian
Utilities
Ltd
12,400
298
Dominion
Energy
Inc
(e)
12,504
1,063
Duke
Energy
Corp
1,065
92
Electric
Power
Development
Co
Ltd
3,300
62
Electricite
de
France
SA
14,783
132
Endesa
SA
16,780
401
Enel
SpA
16,212
125
Entergy
Corp
70
7
Evergy
Inc
(e)
1,750
108
Exelon
Corp
4,219
162
FirstEnergy
Corp
256
11
Fortum
Oyj
12,366
238
Iberdrola
SA
8,300
90
Meridian
Energy
Ltd
63,632
188
NextEra
Energy
Inc
6,730
1,720
NRG
Energy
Inc
(e)
32,870
1,185
Public
Service
Enterprise
Group
Inc
(e)
2,664
136
Red
Electrica
Corp
SA
28,514
502
RWE
AG
60,131
2,003
Sempra
Energy
725
92
Southern
Co/The
(e)
1,743
99
Terna
Rete
Elettrica
Nazionale
SpA
16,864
115
Vistra
Energy
Corp
(e)
16,151
330
$
9,182
Electrical
Components
&
Equipment
-
0.34%
AMETEK
Inc
(e)
6,559
601
Belden
Inc
2,400
82
Brother
Industries
Ltd
8,600
163
Emerson
Electric
Co
(e)
9,828
600
Energizer
Holdings
Inc
1,385
61
EnerSys
2,696
171
Legrand
SA
7,172
491
Novanta
Inc
(d)
315
32
Schneider
Electric
SE
4,598
455
$
2,656
Electronics
-
0.95%
Allegion
plc
1,369
136
Amphenol
Corp
1,342
130
Assa
Abloy
AB
19,243
393
Coherent
Inc
(d)
468
68
DiscoverIE
Group
PLC
13,104
90
Electrocomponents
PLC
16,667
132
FARO
Technologies
Inc
(d)
2,014
113
Fitbit
Inc
(d)
53,425
339
FLIR
Systems
Inc
(e)
10,323
477
Fortive
Corp
(e)
7,768
473
Garmin
Ltd
(e)
9,007
812
GoPro
Inc
(d)
21,817
103
Halma
PLC
6,244
182
Honeywell
International
Inc
(e)
8,549
1,247
II-VI
Inc
(d)
1,571
75
Keysight
Technologies
Inc
(d),(e)
1,614
174
LEM
Holding
SA
67
94
nVent
Electric
PLC
3,421
63
PerkinElmer
Inc
(e)
1,784
179
Roper
Technologies
Inc
(e)
1,017
400
Rotork
PLC
34,945
116
TE
Connectivity
Ltd
(e)
5,944
483
Tech
Data
Corp
(d)
5,325
725
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
70
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electronics
(continued)
Trimble
Inc
(d)
3,069
$
120
Venture
Corp
Ltd
16,200
176
Yokogawa
Electric
Corp
9,200
133
$
7,433
Energy
-
Alternate
Sources
-
0.07%
First
Solar
Inc
(d)
2,479
116
Vestas
Wind
Systems
A/S
4,514
461
$
577
Engineering
&
Construction
-
0.28%
Alten
SA
1,063
86
CIMIC
Group
Ltd
5,871
98
Comfort
Systems
USA
Inc
2,100
78
Dycom
Industries
Inc
(d)
2,918
123
Eiffage
SA
(d)
3,842
351
Flughafen
Zurich
AG
(d)
1,632
226
Gaztransport
Et
Technigaz
SA
768
57
HOCHTIEF
AG
2,563
227
JGC
Holdings
Corp
38,300
413
Obayashi
Corp
13,500
125
Taisei
Corp
12,000
417
$
2,201
Entertainment
-
0.22%
Aristocrat
Leisure
Ltd
5,413
93
CTS
Eventim
AG
&
Co
KGaA
(d)
2,177
99
Deluxe
Entertainment
(d)
67,048
42
DraftKings
Inc
-
Warrants
(d)
118
3
DraftKings
Pipe
(d),(h)
19,373
769
Genting
Singapore
Ltd
717,800
400
Lions
Gate
Entertainment
Corp
-
B
shares
(d)
10,213
77
Live
Nation
Entertainment
Inc
(d)
557
27
OPAP
SA
8,952
84
Penn
National
Gaming
Inc
(d)
1,300
43
Vail
Resorts
Inc
404
80
$
1,717
Environmental
Control
-
0.15%
Pentair
PLC
(e)
10,767
422
Republic
Services
Inc
(e)
4,384
375
Waste
Management
Inc
(e)
3,283
350
$
1,147
Food
-
1.15%
a2
Milk
Co
Ltd
(d)
8,326
99
Calavo
Growers
Inc
1,477
86
Campbell
Soup
Co
(e)
10,205
520
Colruyt
SA
5,257
317
Cranswick
PLC
2,863
131
General
Mills
Inc
5,064
319
Hershey
Co/The
(e)
2,750
373
Hostess
Brands
Inc
(d)
6,785
82
JM
Smucker
Co/The
2,405
274
Just
Eat
Takeaway.com
NV
(d),(i)
6,014
655
Koninklijke
Ahold
Delhaize
NV
15,780
400
Kroger
Co/The
972
32
Lamb
Weston
Holdings
Inc
(e)
11,901
715
Mondelez
International
Inc
(e)
4,969
259
Nisshin
Seifun
Group
Inc
21,800
340
Post
Holdings
Inc
(d)
16,857
1,467
Seven
&
i
Holdings
Co
Ltd
16,900
580
Simply
Good
Foods
Co/The
(d)
89,008
1,516
Sysco
Corp
(e)
6,528
360
Tyson
Foods
Inc
(e)
7,025
432
Viscofan
SA
1,378
90
$
9,047
Food
Service
-
0.06%
Compass
Group
PLC
23,407
343
Elior
Group
SA
(i)
16,654
103
$
446
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Forest
Products
&
Paper
-
0.13%
International
Paper
Co
(e)
10,004
$
341
Mondi
PLC
7,812
147
Schweitzer-Mauduit
International
Inc
2,023
62
Smurfit
Kappa
Group
PLC
6,777
221
UPM-Kymmene
Oyj
7,423
214
$
985
Gas
-
0.12%
New
Jersey
Resources
Corp
2,900
102
Osaka
Gas
Co
Ltd
29,600
594
UGI
Corp
6,569
209
$
905
Hand
&
Machine
Tools
-
0.18%
Disco
Corp
600
134
Kennametal
Inc
6,330
176
Makita
Corp
8,500
289
Snap-on
Inc
(e)
4,558
591
Stanley
Black
&
Decker
Inc
(e)
1,583
199
$
1,389
Healthcare
-
Products
-
1.51%
Abbott
Laboratories
(e)
4,069
386
ABIOMED
Inc
(d)
850
190
Align
Technology
Inc
(d),(e)
1,256
309
Baxter
International
Inc
14,388
1,296
Boston
Scientific
Corp
(d)
31,467
1,195
Carl
Zeiss
Meditec
AG
(d)
811
83
Cellavision
AB
(d)
2,266
72
Cochlear
Ltd
2,305
297
Danaher
Corp
(e)
3,617
602
DENTSPLY
SIRONA
Inc
(e)
12,785
595
DiaSorin
SpA
612
129
Edwards
Lifesciences
Corp
(d),(e)
861
194
Elekta
AB
4,842
51
Envista
Holdings
Corp
(d)
3,720
79
Globus
Medical
Inc
(d)
1,302
71
Henry
Schein
Inc
(d),(e)
4,212
256
Hill-Rom
Holdings
Inc
746
76
Hologic
Inc
(d)
2,415
128
Insulet
Corp
(d)
1,853
349
Intuitive
Surgical
Inc
(d),(e)
1,411
818
Koninklijke
Philips
NV
(d)
7,717
350
Medtronic
PLC
(e)
22,765
2,244
Natus
Medical
Inc
(d)
2,618
56
Novocure
Ltd
(d)
572
39
Smith
&
Nephew
PLC
8,755
179
STERIS
PLC
730
121
Stryker
Corp
1,589
311
Sysmex
Corp
1,200
96
Tandem
Diabetes
Care
Inc
(d)
1,599
133
Thermo
Fisher
Scientific
Inc
(e)
1,694
591
Varian
Medical
Systems
Inc
(d),(e)
3,151
383
West
Pharmaceutical
Services
Inc
255
55
Zimmer
Biomet
Holdings
Inc
(e)
882
111
$
11,845
Healthcare
-
Services
-
0.95%
Anthem
Inc
1,847
543
Centene
Corp
(d)
2,591
172
DaVita
Inc
(d),(e)
6,285
509
Eurofins
Scientific
SE
159
108
HCA
Healthcare
Inc
(e)
4,950
529
Humana
Inc
(e)
3,436
1,411
IQVIA
Holdings
Inc
(d)
8,068
1,206
Laboratory
Corp
of
America
Holdings
(d),(e)
2,264
397
LHC
Group
Inc
(d)
765
124
Orpea
1,106
130
Quest
Diagnostics
Inc
(e)
4,845
573
UnitedHealth
Group
Inc
(e)
4,349
1,326
Universal
Health
Services
Inc
(e)
4,328
456
$
7,484
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
71
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Holding
Companies
-
Diversified
-
0.01%
CK
Hutchison
Holdings
Ltd
14,500
$
89
US
Well
Services
Inc
-
Warrants
(d)
103,668
3
$
92
Home
Builders
-
0.35%
Berkeley
Group
Holdings
PLC
4,805
245
Cairn
Homes
PLC
120,888
121
Cavco
Industries
Inc
(d)
567
108
DR
Horton
Inc
240
13
Glenveagh
Properties
PLC
(d),(i)
170,890
124
Installed
Building
Products
Inc
(d)
1,512
97
Kaufman
&
Broad
SA
2,987
106
Lennar
Corp
-
A
Shares
489
30
NVR
Inc
(d),(e)
280
902
Persimmon
PLC
11,568
330
PulteGroup
Inc
(e)
11,830
402
Skyline
Champion
Corp
(d)
8,245
205
Thor
Industries
Inc
791
68
$
2,751
Home
Furnishings
-
0.06%
Hoshizaki
Corp
2,600
210
Leggett
&
Platt
Inc
(e)
4,211
129
Whirlpool
Corp
1,294
157
$
496
Housewares
-
0.03%
Newell
Brands
Inc
(e)
17,169
226
Insurance
-
1.55%
Admiral
Group
PLC
17,435
504
Aegon
NV
51,541
138
Aflac
Inc
(e)
6,988
255
Alleghany
Corp
152
78
Allianz
SE
1,463
265
Allstate
Corp/The
181
18
American
International
Group
Inc
(e)
8,804
265
Aon
PLC
893
176
Arthur
J
Gallagher
&
Co
(e)
1,935
182
Assurant
Inc
(e)
529
54
Athene
Holding
Ltd
(d)
2,987
86
Beazley
PLC
23,430
111
Berkshire
Hathaway
Inc
-
Class
B
(d),(e)
7,043
1,307
Chubb
Ltd
(e)
5,204
635
Cincinnati
Financial
Corp
(e)
5,827
343
CNO
Financial
Group
Inc
5,121
73
CNP
Assurances
(d)
6,776
72
Direct
Line
Insurance
Group
PLC
27,649
91
eHealth
Inc
(d)
4,744
619
Equitable
Holdings
Inc
2,745
52
Everest
Re
Group
Ltd
417
83
Fairfax
Financial
Holdings
Ltd
900
250
Fidelity
National
Financial
Inc
(e)
13,019
415
First
American
Financial
Corp
3,736
189
Gjensidige
Forsikring
ASA
(d)
10,484
191
Globe
Life
Inc
(e)
2,788
215
Hartford
Financial
Services
Group
Inc/The
(e)
1,058
41
Insurance
Australia
Group
Ltd
129,249
528
James
River
Group
Holdings
Ltd
2,567
99
Lancashire
Holdings
Ltd
7,898
66
Lincoln
National
Corp
256
10
Loews
Corp
(e)
2,563
85
Markel
Corp
(d),(e)
729
655
Marsh
&
McLennan
Cos
Inc
(e)
4,487
475
Medibank
Pvt
Ltd
28,877
55
MetLife
Inc
(e)
12,045
433
MGIC
Investment
Corp
11,200
92
NMI
Holdings
Inc
(d)
5,770
89
Progressive
Corp/The
4,243
329
Prudential
Financial
Inc
(e)
2,408
147
Radian
Group
Inc
5,138
82
RSA
Insurance
Group
PLC
16,325
80
Sampo
Oyj
14,318
514
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
Sony
Financial
Holdings
Inc
19,112
$
461
Third
Point
Reinsurance
Ltd
(d)
7,536
56
Travelers
Cos
Inc/The
(e)
3,402
364
Tryg
A/S
10,091
283
Unum
Group
2,836
43
Voya
Financial
Inc
1,597
72
White
Mountains
Insurance
Group
Ltd
180
165
Willis
Towers
Watson
PLC
615
125
WR
Berkley
Corp
(e)
2,834
164
$
12,180
Internet
-
2.55%
Alphabet
Inc
-
A
Shares
(d),(e)
2,045
2,931
Alphabet
Inc
-
C
Shares
(d)
934
1,335
Amazon.com
Inc
(d),(e)
1,681
4,106
Anaplan
Inc
(d)
7,622
350
Booking
Holdings
Inc
(d)
82
134
Cardlytics
Inc
(d)
2,933
200
CDW
Corp/DE
300
33
Cerved
Group
SpA
(d)
18,993
132
eBay
Inc
(e)
10,635
484
Expedia
Group
Inc
(e)
6,319
503
F5
Networks
Inc
(d)
2,125
308
Facebook
Inc
(d),(e)
9,245
2,081
GoDaddy
Inc
(d),(e)
9,092
703
JD.com
Inc
ADR
(d)
5,469
297
Kakaku.com
Inc
13,000
316
Klarna
Holding
AB
(d),(f),(g),(h)
808
212
Limelight
Networks
Inc
(d)
20,820
103
Match
Group
Inc
(d)
2,106
187
Mimecast
Ltd
(d)
1,935
81
MonotaRO
Co
Ltd
7,600
276
Netflix
Inc
(d)
1,787
750
NortonLifeLock
Inc
(e)
22,970
524
Prosus
NV
(d)
1,790
149
Q2
Holdings
Inc
(d)
1,100
91
Rubicon
Project
Inc/The
(d)
9,666
61
Spotify
Technology
SA
(d)
1,968
356
TD
Ameritrade
Holding
Corp
3,201
119
Twitter
Inc
(d)
1,230
38
Uber
Technologies
Inc
(d)
52,352
1,901
VeriSign
Inc
(d),(e)
1,661
364
Z
Holdings
Corp
176,601
726
ZOZO
Inc
12,000
221
$
20,072
Investment
Companies
-
0.01%
Melrose
Industries
PLC
69,490
100
Iron
&
Steel
-
0.25%
Evraz
PLC
97,444
341
Hitachi
Metals
Ltd
110,807
1,277
Nippon
Steel
Corp
12,200
113
Reliance
Steel
&
Aluminum
Co
1,182
115
Steel
Dynamics
Inc
4,835
128
$
1,974
Leisure
Products
&
Services
-
0.20%
BRP
Inc
3,003
104
Fox
Factory
Holding
Corp
(d)
1,540
111
Malibu
Boats
Inc
(d)
1,931
91
MIPS
AB
4,293
144
Peloton
Interactive
Inc
(d)
3,546
150
Polaris
Inc
800
70
Royal
Caribbean
Cruises
Ltd
682
35
Shimano
Inc
3,600
662
Thule
Group
AB
(i)
4,846
112
YETI
Holdings
Inc
(d)
2,274
73
$
1,552
Lodging
-
0.19%
Choice
Hotels
International
Inc
4,121
333
Hilton
Worldwide
Holdings
Inc
(e)
4,839
384
Las
Vegas
Sands
Corp
1,372
66
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
72
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Lodging
(continued)
Marriott
International
Inc/MD
2,273
$
201
MGM
Resorts
International
(e)
29,587
508
$
1,492
Machinery
-
Construction
&
Mining
-
0.15%
Argan
Inc
3,291
122
Astec
Industries
Inc
2,627
112
Caterpillar
Inc
1,244
149
Sandvik
AB
(d)
47,044
786
$
1,169
Machinery
-
Diversified
-
1.06%
Atlas
Copco
AB
-
A
Shares
5,442
215
Curtiss-Wright
Corp
1,642
165
Deere
&
Co
1,507
229
Dover
Corp
(e)
10,172
989
FANUC
Corp
1,300
232
Flowserve
Corp
(e)
27,151
709
Hexagon
AB
(d)
11,282
626
Ichor
Holdings
Ltd
(d)
2,827
64
IDEX
Corp
(e)
7,890
1,258
Inficon
Holding
AG
117
88
Ingersoll
Rand
Inc
(d)
3,608
102
Interpump
Group
SpA
2,303
69
Kone
Oyj
5,913
397
Marel
HF
(i)
23,405
122
Middleby
Corp/The
(d)
1,071
73
Nabtesco
Corp
9,500
297
Otis
Worldwide
Corp
(e)
26,417
1,391
Rockwell
Automation
Inc
(e)
2,791
603
SMC
Corp/Japan
400
203
Spirax-Sarco
Engineering
PLC
733
90
Stabilus
SA
1,713
93
Washtec
AG
(d)
1,342
55
Westinghouse
Air
Brake
Technologies
Corp
4,773
291
$
8,361
Media
-
0.74%
Charter
Communications
Inc
(d),(e)
2,449
1,332
Comcast
Corp
-
Class
A
13,725
544
Discovery
Inc
-
A
Shares
(d),(e)
7,234
157
Discovery
Inc
-
C
Shares
(d),(e)
20,740
406
DISH
Network
Corp
(d),(e)
19,092
604
FactSet
Research
Systems
Inc
253
78
Fox
Corp
-
A
Shares
(e)
20,939
611
iHeartMedia
Inc
(d)
18,582
162
News
Corp
-
A
Shares
5,122
63
Quebecor
Inc
6,800
150
Shaw
Communications
Inc
10,400
175
TEGNA
Inc
6,818
80
Telenet
Group
Holding
NV
5,335
218
Walt
Disney
Co/The
(e)
5,228
613
Wolters
Kluwer
NV
7,830
625
$
5,818
Metal
Fabrication
&
Hardware
-
0.07%
Advanced
Drainage
Systems
Inc
3,245
144
Rexnord
Corp
8,846
266
Tenaris
SA
ADR
2,474
32
Troax
Group
AB
7,632
114
$
556
Mining
-
0.67%
Barrick
Gold
Corp
13,140
315
BHP
Group
Ltd
24,722
582
BHP
Group
PLC
20,737
408
Compass
Minerals
International
Inc
1,356
65
Ecobat
Holdings,
Inc
-
Class
B
(d)
2,998
1,889
First
Quantum
Minerals
Ltd
11,200
65
Franco-Nevada
Corp
2,400
337
Kinross
Gold
Corp
(d)
23,200
151
Kirkland
Lake
Gold
Ltd
16,300
628
Newmont
Corp
8,609
503
Rio
Tinto
PLC
4,033
219
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Mining
(continued)
Wheaton
Precious
Metals
Corp
1,600
$
69
$
5,231
Miscellaneous
Manufacturers
-
0.35%
3M
Co
(e)
2,843
445
Alstom
SA
2,624
110
AO
Smith
Corp
1,326
63
Eaton
Corp
PLC
(e)
4,750
403
Enerpac
Tool
Group
Corp
4,589
82
Illinois
Tool
Works
Inc
(e)
5,047
871
ITT
Inc
2,519
145
JSR
Corp
6,106
120
Sturm
Ruger
&
Co
Inc
1,017
63
Trane
Technologies
PLC
(e)
5,044
456
$
2,758
Office
&
Business
Equipment
-
0.03%
Xerox
Holdings
Corp
(e)
15,479
246
Office
Furnishings
-
0.01%
Herman
Miller
Inc
1,543
35
Knoll
Inc
4,220
45
Steelcase
Inc
1,038
12
$
92
Oil
&
Gas
-
0.86%
Apache
Corp
(e)
59,707
644
Bellatrix
Exploration
Ltd
(d),(f),(g)
94,641
—
Canadian
Natural
Resources
Ltd
5,611
102
Chevron
Corp
(e)
9,344
857
Concho
Resources
Inc
(e)
12,099
659
ConocoPhillips
(e)
22,589
953
Devon
Energy
Corp
12,074
131
Diamondback
Energy
Inc
1,604
68
Dommo
Energia
SA
ADR
(d)
269
—
EOG
Resources
Inc
(e)
16,361
833
Exxon
Mobil
Corp
(e)
17,572
799
HollyFrontier
Corp
(e)
9,011
283
JXTG
Holdings
Inc
42,907
166
Lundin
Energy
AB
5,603
137
Marathon
Petroleum
Corp
(e)
3,902
137
Neste
Oyj
6,298
257
Occidental
Petroleum
Corp
(e)
12,400
161
Phillips
66
(e)
3,621
283
Santos
Ltd
68,268
245
Valero
Energy
Corp
(e)
968
65
$
6,780
Oil
&
Gas
Services
-
0.11%
Halliburton
Co
(e)
14,944
175
Schlumberger
Ltd
(e)
14,137
261
TechnipFMC
PLC
(e)
51,990
385
TGS
NOPEC
Geophysical
Co
ASA
3,819
55
$
876
Packaging
&
Containers
-
0.31%
Amcor
PLC
(e)
23,154
236
Ball
Corp
16,410
1,170
Sealed
Air
Corp
(e)
29,843
958
Vidrala
SA
1,109
106
$
2,470
Pharmaceuticals
-
1.92%
AbbVie
Inc
(e)
13,498
1,251
Aerie
Pharmaceuticals
Inc
(d)
1,495
21
AmerisourceBergen
Corp
201
19
Astellas
Pharma
Inc
25,900
463
AstraZeneca
PLC
ADR
3,394
185
AstraZeneca
PLC
1,343
145
Bayer
AG
6,968
476
Bristol-Myers
Squibb
Co
14,154
846
Cardinal
Health
Inc
2,606
143
China
Biologic
Products
Holdings
Inc
(d)
10,374
1,149
Chugai
Pharmaceutical
Co
Ltd
500
74
Cigna
Corp
(e)
854
168
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
73
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Pharmaceuticals
(continued)
CVS
Health
Corp
(e)
16,072
$
1,054
DexCom
Inc
(d)
703
266
Elanco
Animal
Health
Inc
(d)
5,887
126
Eli
Lilly
and
Co
521
80
Galapagos
NV
(d)
893
181
Global
Blood
Therapeutics
Inc
(d)
1,848
129
Ipsen
SA
898
70
Jazz
Pharmaceuticals
PLC
(d),(e)
958
114
Johnson
&
Johnson
(e)
15,842
2,357
KalVista
Pharmaceuticals
Inc
(d)
4,259
48
Kyowa
Kirin
Co
Ltd
9,210
250
Merck
&
Co
Inc
(e)
10,712
865
MyoKardia
Inc
(d)
715
73
Neurocrine
Biosciences
Inc
(d),(e)
3,745
467
Novartis
AG
3,054
266
Novo
Nordisk
A/S
6,840
448
Odonate
Therapeutics
Inc
(d)
1,989
65
Pfizer
Inc
(e)
22,007
840
Principia
Biopharma
Inc
(d)
636
41
Rhythm
Pharmaceuticals
Inc
(d)
3,510
68
Roche
Holding
AG
4,469
1,551
Sarepta
Therapeutics
Inc
(d),(e)
800
122
Shionogi
&
Co
Ltd
2,700
160
Sumitomo
Dainippon
Pharma
Co
Ltd
20,290
287
Takeda
Pharmaceutical
Co
Ltd
2,800
110
UCB
SA
1,573
157
$
15,135
Pipelines
-
0.14%
Enterprise
Products
Partners
LP
1,124
21
Kinder
Morgan
Inc
(e)
38,386
607
Southcross
Holdings
(d),(f),(g)
388,623
31
Williams
Cos
Inc/The
(e)
20,717
423
$
1,082
Private
Equity
-
0.02%
Blackstone
Group
Inc/The
2,668
152
Real
Estate
-
0.17%
Catena
AB
3,389
133
CBRE
Group
Inc
(d),(e)
4,290
189
CK
Asset
Holdings
Ltd
23,500
129
Daito
Trust
Construction
Co
Ltd
1,900
201
Hill
Street
(d),(f),(g)
222
5
Hill
Street
-
Warrants
(d),(f),(g)
377
—
Kojamo
Oyj
3,643
74
LEG
Immobilien
AG
(d)
1,364
171
REA
Group
Ltd
2,909
196
Redfin
Corp
(d)
1,132
34
Shurgard
Self
Storage
SA
2,004
66
Swiss
Prime
Site
AG
1,343
125
WE
Company
Common
Class
A
(d),(f),(g),(h)
356
2
$
1,325
REITs
-
1.00%
Agree
Realty
Corp
1,407
88
Alexandria
Real
Estate
Equities
Inc
(e)
1,027
158
American
Tower
Corp
2,492
644
Americold
Realty
Trust
3,927
140
Apartment
Investment
and
Management
Co
3,371
124
AvalonBay
Communities
Inc
1,714
267
Big
Yellow
Group
PLC
6,270
78
Boston
Properties
Inc
2,457
211
Camden
Property
Trust
681
62
CoreCivic
Inc
5,826
70
Crown
Castle
International
Corp
651
112
Digital
Realty
Trust
Inc
621
89
Easterly
Government
Properties
Inc
3,580
90
Equinix
Inc
103
72
Essential
Properties
Realty
Trust
Inc
4,727
64
Essex
Property
Trust
Inc
454
110
Extra
Space
Storage
Inc
(e)
3,242
314
Federal
Realty
Investment
Trust
(e)
2,351
188
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Goodman
Group
19,922
$
205
Hibernia
REIT
plc
94,006
114
Host
Hotels
&
Resorts
Inc
6,426
77
Iron
Mountain
Inc
692
18
Japan
Real
Estate
Investment
Corp
16
87
Japan
Retail
Fund
Investment
Corp
120
158
Kimco
Realty
Corp
(e)
9,307
103
Mid-America
Apartment
Communities
Inc
(e)
854
99
Monmouth
Real
Estate
Investment
Corp
7,246
94
Omega
Healthcare
Investors
Inc
(e)
4,493
140
Outfront
Media
Inc
3,330
47
Pebblebrook
Hotel
Trust
6,367
87
Piedmont
Office
Realty
Trust
Inc
4,122
69
Prologis
Inc
(e)
5,097
465
Public
Storage
(e)
4,340
880
Realty
Income
Corp
(e)
1,087
60
SBA
Communications
Corp
174
55
Segro
PLC
8,252
86
Simon
Property
Group
Inc
(e)
8,064
466
SL
Green
Realty
Corp
1,774
75
UDR
Inc
(e)
2,056
76
Ventas
Inc
(e)
11,120
389
VICI
Properties
Inc
5,927
116
Vicinity
Centres
66,874
72
Weyerhaeuser
Co
(e)
48,076
971
$
7,890
Retail
-
2.86%
ABC-Mart
Inc
4,100
249
Advance
Auto
Parts
Inc
(e)
4,264
594
AutoZone
Inc
(d),(e)
722
829
Best
Buy
Co
Inc
(e)
1,787
140
BMC
Stock
Holdings
Inc
(d)
1,800
47
Burlington
Stores
Inc
(d)
655
137
CarMax
Inc
(d)
3,329
293
Casey's
General
Stores
Inc
6,132
979
Cheesecake
Factory
Inc/The
2,179
47
Children's
Place
Inc/The
2,429
101
Costco
Wholesale
Corp
(e)
1,728
533
Darden
Restaurants
Inc
(e)
9,844
757
Dollar
General
Corp
102
20
Dollar
Tree
Inc
(d)
1,470
144
Domino's
Pizza
Inc
(e)
560
216
FamilyMart
Co
Ltd
22,100
414
Fast
Retailing
Co
Ltd
400
225
Five
Below
Inc
(d)
1,273
133
Floor
&
Decor
Holdings
Inc
(d)
2,323
121
Gap
Inc/The
(e)
66,859
595
Genuine
Parts
Co
(e)
1,432
119
Hennes
&
Mauritz
AB
27,948
425
Home
Depot
Inc/The
(e)
6,538
1,625
Jand
Inc
(d),(f),(g),(h)
1,693
27
Kohl's
Corp
(e)
15,563
299
L
Brands
Inc
25,909
419
Lawson
Inc
2,500
139
Lowe's
Cos
Inc
(e)
6,808
887
Marui
Group
Co
Ltd
11,600
210
McDonald's
Corp
(e)
5,942
1,107
McDonald's
Holdings
Co
Japan
Ltd
8,900
474
Michaels
Cos
Inc/The
(d)
9,190
36
Moncler
SpA
(d)
6,664
249
Movado
Group
Inc
4,684
49
Next
PLC
3,912
237
Nitori
Holdings
Co
Ltd
2,200
398
Ollie's
Bargain
Outlet
Holdings
Inc
(d)
983
90
O'Reilly
Automotive
Inc
(d)
1,674
698
Pandora
A/S
3,218
161
Panera
Bread
Co
(d),(f),(g)
1,664
—
Regis
Corp
(d)
3,155
33
Restaurant
Brands
International
Inc
10,508
573
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
74
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Retail
(continued)
Starbucks
Corp
(e)
3,572
$
279
Sundrug
Co
Ltd
9,400
317
Target
Corp
(e)
10,327
1,263
Texas
Roadhouse
Inc
1,650
86
Tiffany
&
Co
367
47
TJX
Cos
Inc/The
(e)
32,700
1,725
Ulta
Beauty
Inc
(d),(e)
3,180
776
USS
Co
Ltd
11,900
208
Walgreens
Boots
Alliance
Inc
(e)
3,000
129
Walmart
Inc
(e)
12,769
1,584
Wesfarmers
Ltd
4,055
109
Yum
China
Holdings
Inc
1,747
81
Yum!
Brands
Inc
(e)
11,795
1,059
$
22,492
Savings
&
Loans
-
0.04%
OceanFirst
Financial
Corp
4,314
72
Sterling
Bancorp/DE
13,019
160
WSFS
Financial
Corp
1,900
53
$
285
Semiconductors
-
1.39%
ACM
Research
Inc
(d)
1,219
73
Advanced
Micro
Devices
Inc
(d)
5,001
269
Analog
Devices
Inc
(e)
2,322
262
Applied
Materials
Inc
(e)
3,092
174
ASML
Holding
NV
2,095
686
BE
Semiconductor
Industries
NV
2,645
101
Broadcom
Inc
(e)
2,092
609
Entegris
Inc
1,443
86
FormFactor
Inc
(d)
4,505
113
Hamamatsu
Photonics
KK
4,700
214
Infineon
Technologies
AG
5,307
112
Intel
Corp
(e)
21,432
1,349
KLA
Corp
1,194
211
Lam
Research
Corp
(e)
919
252
Marvell
Technology
Group
Ltd
6,029
197
Maxim
Integrated
Products
Inc
(e)
5,288
305
Microchip
Technology
Inc
(e)
7,414
712
Micron
Technology
Inc
(d)
3,175
152
MKS
Instruments
Inc
463
49
NVIDIA
Corp
(e)
4,656
1,652
Qorvo
Inc
(d),(e)
5,987
627
QUALCOMM
Inc
(e)
7,734
626
Renesas
Electronics
Corp
(d)
37,266
194
Rohm
Co
Ltd
3,542
240
Samsung
Electronics
Co
Ltd
2,572
106
Silicon
Motion
Technology
Corp
ADR
1,456
66
Skyworks
Solutions
Inc
(e)
1,443
171
SOITEC
(d)
1,194
117
STMicroelectronics
NV
3,299
82
Teradyne
Inc
4,079
273
Texas
Instruments
Inc
(e)
3,111
369
Tokyo
Electron
Ltd
1,000
201
Tower
Semiconductor
Ltd
(d)
14,880
299
$
10,949
Shipbuilding
-
0.01%
Yangzijiang
Shipbuilding
Holdings
Ltd
161,100
108
Software
-
2.37%
Activision
Blizzard
Inc
3,052
220
Adobe
Inc
(d),(e)
1,929
746
Agilysys
Inc
(d)
4,200
81
Akamai
Technologies
Inc
(d),(e)
1,408
149
Autodesk
Inc
(d),(e)
2,269
478
Avid
Technology
Inc
(d)
10,341
73
Bandwidth
Inc
(d)
1,096
121
Black
Knight
Inc
(d)
4,292
330
Cadence
Design
Systems
Inc
(d),(e)
2,063
188
Cerner
Corp
(e)
5,370
391
Citrix
Systems
Inc
(e)
5,471
810
Cloudera
Inc
(d)
14,371
147
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
(continued)
Constellation
Software
Inc/Canada
412
$
468
CSG
Systems
International
Inc
1,335
63
Dassault
Systemes
SE
1,370
234
Dropbox
Inc
-
A
Shares
(d),(e)
10,735
242
Electronic
Arts
Inc
(d)
1,078
132
Envestnet
Inc
(d)
11,569
840
Fair
Isaac
Corp
(d)
471
190
Five9
Inc
(d)
806
84
Guidewire
Software
Inc
(d)
1,920
197
Health
Catalyst
Inc
(d)
2,649
72
HubSpot
Inc
(d)
561
112
Manhattan
Associates
Inc
(d)
1,220
108
Microsoft
Corp
(e)
28,242
5,175
MINDBODY
Inc
(d),(f),(g)
9,229
337
MSCI
Inc
(e)
936
308
NextGen
Healthcare
Inc
(d)
4,807
50
Omnicell
Inc
(d)
2,635
176
Oracle
Corp
(e)
26,794
1,441
Paychex
Inc
(e)
16,980
1,227
Paycom
Software
Inc
(d)
74
22
PROS
Holdings
Inc
(d)
1,004
39
RingCentral
Inc
(d)
226
62
salesforce.com
Inc
(d)
1,400
245
SAP
SE
4,105
524
ServiceNow
Inc
(d)
1,188
462
SimCorp
A/S
692
76
Slack
Technologies
Inc
(d)
9,126
320
Splunk
Inc
(d)
1,983
368
Synopsys
Inc
(d)
235
42
Take-Two
Interactive
Software
Inc
(d)
177
24
Veeva
Systems
Inc
(d),(e)
1,812
397
VMware
Inc
(d)
221
35
Workday
Inc
(d)
3,717
682
XRAY-TWOLF
HoldCo
Corp
5,374
74
Zoom
Video
Communications
Inc
(d)
661
119
$
18,681
Telecommunications
-
1.24%
AT&T
Inc
(e)
33,112
1,022
Calix
Inc
(d)
9,442
133
Cisco
Systems
Inc
(e)
37,692
1,803
Deutsche
Telekom
AG
92,879
1,458
Elisa
Oyj
1,547
96
Harmonic
Inc
(d)
17,371
94
Hellenic
Telecommunications
Organization
SA
9,475
133
HMS
Networks
AB
(d)
3,123
63
InterDigital
Inc
1,087
60
Juniper
Networks
Inc
(e)
9,196
223
Koninklijke
KPN
NV
534,426
1,307
Motorola
Solutions
Inc
(e)
3,243
439
NTT
DOCOMO
Inc
3,100
85
Oi
SA
ADR
(d)
3,284
2
Ooma
Inc
(d)
6,229
78
PagerDuty
Inc
(d)
3,176
84
Plantronics
Inc
5,204
68
Proximus
SADP
4,821
100
Rogers
Communications
Inc
4,400
184
Sectra
AB
-
B
Shares
(d)
1,795
101
SoftBank
Group
Corp
19,411
887
Telefonica
SA
22,084
103
Telenor
ASA
6,409
97
T-Mobile
US
Inc
(d),(e)
3,064
306
Verizon
Communications
Inc
(e)
13,996
803
$
9,729
Textiles
-
0.02%
Mohawk
Industries
Inc
(d)
1,701
159
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
75
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Toys,
Games
&
Hobbies
-
0.10%
Games
Workshop
Group
PLC
1,396
$
138
Hasbro
Inc
(e)
1,106
82
Nintendo
Co
Ltd
1,400
569
$
789
Transportation
-
0.71%
Aurizon
Holdings
Ltd
38,828
123
Canadian
National
Railway
Co
7,223
622
Canadian
Pacific
Railway
Ltd
400
100
Central
Japan
Railway
Co
1,800
309
CH
Robinson
Worldwide
Inc
(e)
904
73
CSX
Corp
(e)
6,273
449
Deutsche
Post
AG
(d)
26,719
837
Expeditors
International
of
Washington
Inc
(e)
12,765
976
Hub
Group
Inc
(d)
1,729
81
Norfolk
Southern
Corp
2,509
447
Old
Dominion
Freight
Line
Inc
902
154
Seibu
Holdings
Inc
22,900
299
Union
Pacific
Corp
(e)
6,658
1,131
$
5,601
Water
-
0.04%
Severn
Trent
PLC
6,404
194
Veolia
Environnement
SA
6,990
154
$
348
TOTAL
COMMON
STOCKS
$
324,090
CONVERTIBLE
PREFERRED
STOCKS
-
0.13%
Shares
Held
Value
(000's)
Agriculture
-
0.08%
Bunge
Ltd
4.88%
(j)
6,930
$
638
Banks
-
0.01%
Bank
of
America
Corp
7.25%
(j)
38
52
Electric
-
0.01%
NextEra
Energy
Inc
5.28%,
03/01/2023
1,526
68
Hand
&
Machine
Tools
-
0.00%
Stanley
Black
&
Decker
Inc
5.25%,
11/15/2022
462
38
Internet
-
0.02%
Airbnb
Inc
-
Series
E
0.00%
(d),(f),(g),(h)
1,685
119
Oil
&
Gas
-
0.00%
Chesapeake
Energy
Corp
5.75%
(j)
355
3
Pipelines
-
0.00%
El
Paso
Energy
Capital
Trust
I
4.75%,
03/31/2028
452
21
Retail
-
0.01%
Jand
Inc
0.00%
(d),(f),(g),(h)
3,781
63
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
1,002
PREFERRED
STOCKS
-
0.42%
Shares
Held
Value
(000's)
Automobile
Manufacturers
-
0.02%
Volkswagen
AG
0.00%
(d)
1,249
185
Chemicals
-
0.01%
FUCHS
PETROLUB
SE
0.97%
2,500
100
Internet
-
0.00%
Veracode
Inc
0.00%
(d),(f),(g),(h)
6,031
3
Pipelines
-
0.33%
Southcross
Energy
Series
A
0.00%
(d),(f),(g)
2,399,339
1,656
Southcross
Energy
Series
B
0.00%
(d),(f),(g)
703,849
950
$
2,606
Private
Equity
-
0.03%
Forward
Venture
Services
LLC
0.00%
(d),(f),(g),(h)
32,815
243
Real
Estate
-
0.01%
WE
Company
Preferred
D-1
0.00%
(d),(f),(g),(h)
4,867
38
WE
Company
Preferred
D-2
0.00%
(d),(f),(g),(h)
3,824
30
$
68
Software
-
0.02%
Marklogic
Corp
0.00%
(d),(f),(g),(h)
14,832
124
TOTAL
PREFERRED
STOCKS
$
3,329
BONDS
-
37.82%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.04%
Lamar
Media
Corp
3.75%,
02/15/2028
(i)
$
50
$
49
4.00%,
02/15/2030
(i)
100
96
5.00%,
05/01/2023
100
100
Outfront
Media
Capital
LLC
/
Outfront
Media
Capital
Corp
4.63%,
03/15/2030
(i)
120
110
$
355
Aerospace
&
Defense
-
0.43%
Boeing
Co/The
2.25%,
06/15/2026
195
181
2.95%,
02/01/2030
85
80
3.10%,
05/01/2026
10
10
3.25%,
02/01/2035
25
22
3.38%,
06/15/2046
25
19
3.50%,
03/01/2039
65
55
3.55%,
03/01/2038
30
25
3.63%,
03/01/2048
35
29
3.65%,
03/01/2047
5
4
3.75%,
02/01/2050
90
78
3.85%,
11/01/2048
40
34
3.95%,
08/01/2059
60
55
5.15%,
05/01/2030
380
407
5.81%,
05/01/2050
380
431
Embraer
Netherlands
Finance
BV
5.05%,
06/15/2025
240
218
5.40%,
02/01/2027
130
118
Leonardo
US
Holdings
Inc
6.25%,
01/15/2040
(i)
716
780
Spirit
AeroSystems
Inc
4.60%,
06/15/2028
35
28
7.50%,
04/15/2025
(i)
310
308
TransDigm
Inc
5.50%,
11/15/2027
(i)
15
14
6.25%,
03/15/2026
(i)
441
451
$
3,347
Agriculture
-
0.16%
JBS
Investments
II
GmbH
7.00%,
01/15/2026
(i)
1,200
1,276
Airlines
-
0.11%
Latam
Airlines
2015-1
Pass
Through
Trust
B
4.50%,
08/15/2025
454
273
United
Airlines
2019-2
Class
B
Pass
Through
Trust
3.50%,
11/01/2029
925
598
$
871
Apparel
-
0.03%
Levi
Strauss
&
Co
5.00%,
05/01/2025
(i)
245
250
Automobile
Asset
Backed
Securities
-
1.06%
Americredit
Automobile
Receivables
Trust
2018-2
4.01%,
07/18/2024
550
556
Americredit
Automobile
Receivables
Trust
2018-3
0.43%,
01/18/2022
48
48
1.00
x
1
Month
USD
LIBOR
+
0.25%
4.04%,
11/18/2024
670
690
Avid
Automobile
Receivables
Trust
2019-1
3.14%,
07/15/2026
(i)
150
148
CarMax
Auto
Owner
Trust
2018-1
3.37%,
07/15/2024
25
24
CarMax
Auto
Owner
Trust
2018-2
3.99%,
04/15/2025
320
324
Carmax
Auto
Owner
Trust
2018-4
4.15%,
04/15/2025
205
202
Carmax
Auto
Owner
Trust
2020-1
2.64%,
07/15/2026
175
166
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
76
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Asset
Backed
Securities
(continued)
Chesapeake
Funding
II
LLC
3.57%,
04/15/2030
(i)
$
175
$
178
3.71%,
05/15/2029
(i)
130
131
3.92%,
04/15/2030
(i)
455
466
CIG
AUTO
RECEIVABLES
TRUST
2017-1
2.71%,
05/15/2023
(i)
8
8
CPS
Auto
Receivables
Trust
2018-A
3.05%,
12/15/2023
(i)
105
105
CPS
Auto
Receivables
Trust
2018-D
3.83%,
09/15/2023
(i)
330
335
Drive
Auto
Receivables
Trust
2018-5
4.30%,
04/15/2026
420
425
Drive
Auto
Receivables
Trust
2019-1
4.09%,
06/15/2026
260
262
DT
Auto
Owner
Trust
2018-2
4.15%,
03/15/2024
(i)
290
296
First
Investors
Auto
Owner
Trust
2019-2
2.80%,
12/15/2025
(i)
75
72
3.88%,
01/15/2026
(i)
175
169
Flagship
Credit
Auto
Trust
2019-2
3.53%,
05/15/2025
(i)
520
497
GLS
Auto
Receivables
Issuer
Trust
2019-2
3.54%,
02/18/2025
(i)
785
760
Hertz
Vehicle
Financing
II
LP
3.29%,
10/25/2023
(i)
315
300
Motor
2017-1
PLC
0.70%,
09/25/2024
(i)
63
62
1.00
x
1
Month
USD
LIBOR
+
0.53%
Prestige
Auto
Receivables
Trust
2016-1
5.15%,
11/15/2021
(i)
815
820
Prestige
Auto
Receivables
Trust
2019-1
3.90%,
05/15/2026
(i)
145
126
Santander
Drive
Auto
Receivables
Trust
2019-2
3.22%,
07/15/2025
655
653
Santander
Drive
Auto
Receivables
Trust
2020-1
5.35%,
03/15/2028
380
390
Tidewater
Auto
Receivables
Trust
2018-A
4.30%,
11/15/2024
(i)
100
96
$
8,309
Automobile
Floor
Plan
Asset
Backed
Securities
-
0.03%
Navistar
Financial
Dealer
Note
Master
Owner
Trust
II
0.80%,
09/25/2023
(i)
205
202
1.00
x
1
Month
USD
LIBOR
+
0.63%
Automobile
Manufacturers
-
0.20%
FCE
Bank
PLC
0.87%,
09/13/2021
EUR
395
417
1.88%,
06/24/2021
280
301
Ford
Motor
Co
8.50%,
04/21/2023
$
185
192
9.00%,
04/22/2025
220
230
9.63%,
04/22/2030
50
56
General
Motors
Co
6.80%,
10/01/2027
320
365
$
1,561
Banks
-
1.13%
Banco
Hipotecario
SA
32.50%,
11/07/2022
(i)
ARS
10,245
124
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.00%
Banco
Macro
SA
17.50%,
05/08/2022
(i)
5,115
43
Banco
Mercantil
del
Norte
SA/Grand
Cayman
6.75%,
12/31/2049
(j),(k)
$
550
520
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Banco
Supervielle
SA
24.83%,
08/09/2020
(i)
ARS
5,500
$
73
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.50%
Bancolombia
SA
4.63%,
12/18/2029
(k)
$
1,500
1,346
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.94%
Danske
Bank
A/S
3.24%,
12/20/2025
(i),(k)
200
204
3
Month
USD
LIBOR
+
1.59%
Financiera
de
Desarrollo
Territorial
SA
Findeter
7.88%,
08/12/2024
(i)
COP
3,380,000
958
International
Bank
of
Azerbaijan
OJSC
3.50%,
09/01/2024
$
2,000
1,765
JPMorgan
Chase
&
Co
4.49%,
03/24/2031
(k)
780
927
United
States
Secured
Overnight
Financing
Rate
+
3.79%
Kreditanstalt
fuer
Wiederaufbau
1.38%,
08/05/2024
1,387
1,439
Morgan
Stanley
5.60%,
03/24/2051
(k)
285
410
United
States
Secured
Overnight
Financing
Rate
+
4.84%
MUFG
Union
Bank
NA
0.84%,
12/09/2022
750
744
United
States
Secured
Overnight
Financing
Rate
+
0.71%
Standard
Chartered
PLC
4.64%,
04/01/2031
(i),(k)
295
329
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.85%
$
8,882
Beverages
-
0.11%
Anheuser-Busch
Cos
LLC
/
Anheuser-Busch
InBev
Worldwide
Inc
4.90%,
02/01/2046
615
712
Anheuser-Busch
InBev
Worldwide
Inc
4.60%,
04/15/2048
120
134
$
846
Building
Materials
-
0.12%
Builders
FirstSource
Inc
6.75%,
06/01/2027
(i)
225
237
Carrier
Global
Corp
2.72%,
02/15/2030
(i)
400
380
3.58%,
04/05/2050
(i)
270
240
Vulcan
Materials
Co
3.50%,
06/01/2030
95
99
$
956
Chemicals
-
0.24%
Braskem
Netherlands
Finance
BV
4.50%,
01/31/2030
(i)
200
175
MEGlobal
Canada
ULC
5.00%,
05/18/2025
(i)
1,700
1,734
$
1,909
Commercial
Mortgage
Backed
Securities
-
4.00%
Banc
of
America
Commercial
Mortgage
Trust
2015-UBS7
3.17%,
09/15/2048
531
348
COMM
2012-LC4
Mortgage
Trust
5.54%,
12/10/2044
(l)
10
8
COMM
2014-CCRE18
Mortgage
Trust
3.60%,
07/15/2047
(i)
1,925
1,246
COMM
2015-CCRE25
Mortgage
Trust
3.79%,
08/10/2048
(l)
2,280
1,557
COMM
2015-CCRE27
Mortgage
Trust
3.25%,
10/10/2048
(i)
2,800
1,757
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
77
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
COMM
2015-LC21
Mortgage
Trust
1.09%,
07/10/2048
(i),(l),(m)
$
10,000
$
490
1.09%,
07/10/2048
(i),(l),(m)
3,125
148
3.25%,
07/10/2048
(i)
1,012
486
COMM
2016-CR28
Mortgage
Trust
3.25%,
02/10/2049
(i)
850
399
Credit
Suisse
Commercial
Mortgage
Securities
Corp
2019-SLKZ
3.78%,
01/15/2034
(i)
155
135
1.00
x
1
Month
USD
LIBOR
+
3.60%
Csail
2015-C2
Commercial
Mortgage
Trust
4.19%,
06/15/2057
(l)
960
539
4.19%,
06/15/2057
(l)
2,184
1,160
CSAIL
2015-C3
Commercial
Mortgage
Trust
3.35%,
08/15/2048
(l)
1,690
1,135
CSMC
2014-USA
OA
LLC
4.37%,
09/15/2037
(i)
1,055
769
GS
Mortgage
Securities
Corp
II
4.41%,
07/10/2051
(i),(l)
635
271
GS
Mortgage
Securities
Trust
2014-GC20
4.96%,
04/10/2047
(i),(l)
1,820
1,429
GS
Mortgage
Securities
Trust
2015-GC32
4.43%,
07/10/2048
(i),(l)
2,476
1,092
HPLY
Trust
2019-HIT
1.78%,
11/15/2036
(i)
254
222
1.00
x
1
Month
USD
LIBOR
+
1.60%
JPMBB
Commercial
Mortgage
Securities
Trust
2013-C12
4.10%,
07/15/2045
(i),(l)
932
640
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C21
3.90%,
08/15/2047
(i),(l)
1,120
679
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C26
4.00%,
01/15/2048
(i)
1,300
739
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C29
3.70%,
05/15/2048
(l),(n)
2,735
1,547
3.90%,
05/15/2048
(i),(l)
2,160
1,121
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C12
3.71%,
10/15/2046
(i)
1,275
813
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C25
4.53%,
10/15/2048
(i),(l)
350
209
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2017-C34
0.88%,
11/15/2052
(i),(l),(m)
3,150
160
Morgan
Stanley
Capital
I
Trust
2011-C2
5.48%,
06/15/2044
(i),(l)
475
307
5.48%,
06/15/2044
(i),(l)
160
94
Motel
6
Trust
2017-M6MZ
7.11%,
08/15/2024
(i)
912
704
1.00
x
1
Month
USD
LIBOR
+
6.93%
SG
Commercial
Mortgage
Securities
Trust
2016-C5
2.54%,
10/10/2048
(i)
1,665
828
Starwood
Retail
Property
Trust
2014-STAR
2.93%,
11/15/2027
(i)
170
113
1.00
x
1
Month
USD
LIBOR
+
2.75%
4.58%,
11/15/2027
(i)
645
223
1.00
x
1
Month
USD
LIBOR
+
4.40%
Wells
Fargo
Commercial
Mortgage
Trust
2015-C26
3.25%,
02/15/2048
(i)
1,981
1,087
Wells
Fargo
Commercial
Mortgage
Trust
2015-C28
3.00%,
05/15/2048
(i)
1,794
644
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
Wells
Fargo
Commercial
Mortgage
Trust
2015-LC22
3.36%,
09/15/2058
(i)
$
260
$
128
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1
2.88%,
05/15/2048
(i),(l)
1,485
895
Wells
Fargo
Commercial
Mortgage
Trust
2016-NXS6
2.00%,
11/15/2049
(i),(l),(m)
7,575
670
Wells
Fargo
Commercial
Mortgage
Trust
2019-JWDR
3.14%,
09/15/2031
(i),(l)
650
592
WF-RBS
Commercial
Mortgage
Trust
2011-C2
5.66%,
02/15/2044
(i),(l)
115
84
WFRBS
Commercial
Mortgage
Trust
2011-C3
5.68%,
03/15/2044
(i),(l)
350
150
WFRBS
Commercial
Mortgage
Trust
2011-C4
5.22%,
06/15/2044
(i),(l)
845
640
WFRBS
Commercial
Mortgage
Trust
2012-C6
5.58%,
04/15/2045
(i),(l)
500
450
WFRBS
Commercial
Mortgage
Trust
2012-C7
4.81%,
06/15/2045
(l)
80
53
4.81%,
06/15/2045
(i),(l)
225
90
WFRBS
Commercial
Mortgage
Trust
2014-C20
3.99%,
05/15/2047
(i)
267
174
WFRBS
Commercial
Mortgage
Trust
2014-C21
3.49%,
08/15/2047
(i)
1,030
609
3.50%,
08/15/2047
(i),(n)
4,515
3,006
WFRBS
Commercial
Mortgage
Trust
2014-LC14
3.50%,
03/15/2047
(i),(l)
1,300
801
$
31,441
Commercial
Services
-
0.20%
APX
Group
Inc
6.75%,
02/15/2027
(i)
1,000
941
United
Rentals
North
America
Inc
4.00%,
07/15/2030
630
614
$
1,555
Consumer
Products
-
0.12%
Kronos
Acquisition
Holdings
Inc
9.00%,
08/15/2023
(i)
1,000
973
Credit
Card
Asset
Backed
Securities
-
0.03%
Genesis
Sales
Finance
Master
Trust
Series
2019-A
4.68%,
08/20/2023
(i)
255
250
Diversified
Financial
Services
-
0.93%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
3.65%,
07/21/2027
150
125
3.88%,
01/23/2028
150
124
Aircastle
Ltd
4.25%,
06/15/2026
945
747
Ally
Financial
Inc
3.88%,
05/21/2024
35
35
4.63%,
03/30/2025
40
41
5.75%,
11/20/2025
240
250
5.80%,
05/01/2025
285
313
Jefferies
Group
LLC
5.13%,
01/20/2023
300
323
Navient
Corp
5.00%,
03/15/2027
345
295
5.88%,
10/25/2024
15
14
6.13%,
03/25/2024
5
5
6.50%,
06/15/2022
5
5
6.75%,
06/15/2026
15
14
7.25%,
01/25/2022
20
20
7.25%,
09/25/2023
50
48
Power
Finance
Corp
Ltd
5.25%,
08/10/2028
2,740
2,820
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
78
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
(continued)
Quicken
Loans
LLC
5.25%,
01/15/2028
(i)
$
685
$
691
5.75%,
05/01/2025
(i)
105
107
Springleaf
Finance
Corp
5.38%,
11/15/2029
130
115
6.63%,
01/15/2028
30
29
6.88%,
03/15/2025
5
5
7.13%,
03/15/2026
425
419
8.88%,
06/01/2025
85
88
Unifin
Financiera
SAB
de
CV
7.25%,
09/27/2023
815
664
$
7,297
Electric
-
0.67%
Adani
Electricity
Mumbai
Ltd
3.95%,
02/12/2030
(i)
1,800
1,654
AES
Corp/The
3.95%,
07/15/2030
(i)
115
116
4.50%,
03/15/2023
5
5
4.88%,
05/15/2023
10
10
5.13%,
09/01/2027
115
122
5.50%,
04/15/2025
40
41
6.00%,
05/15/2026
15
16
Enel
SpA
8.75%,
09/24/2073
(i),(k)
320
363
USD
Swap
Semi-Annual
5
Year
+
5.88%
GenOn
Energy
Inc
-
Escrow
0.00%,
10/15/2018
(d),(f),(g)
6,993
—
0.00%,
10/15/2020
(d),(f),(g)
6,143
—
IPALCO
Enterprises
Inc
4.25%,
05/01/2030
(i)
30
32
NRG
Energy
Inc
4.45%,
06/15/2029
(i)
130
140
5.25%,
06/15/2029
(i)
60
65
5.75%,
01/15/2028
130
141
Pacific
Gas
and
Electric
Co
0.00%,
03/01/2034
(d),(e)
1,000
1,140
Vistra
Operations
Co
LLC
3.70%,
01/30/2027
(i)
1,285
1,305
4.30%,
07/15/2029
(i)
110
114
$
5,264
Engineering
&
Construction
-
0.15%
GMR
Hyderabad
International
Airport
Ltd
5.38%,
04/10/2024
270
240
IHS
Netherlands
Holdco
BV
7.13%,
03/18/2025
(i)
265
258
PowerTeam
Services
LLC
9.03%,
12/04/2025
(i)
650
658
$
1,156
Entertainment
-
0.16%
AMC
Entertainment
Holdings
Inc
10.50%,
04/15/2025
(i)
66
58
Resorts
World
Las
Vegas
LLC
/
RWLV
Capital
Inc
4.63%,
04/16/2029
(i)
1,300
1,226
$
1,284
Food
-
0.54%
Albertsons
Cos
Inc
/
Safeway
Inc
/
New
Albertsons
LP
/
Albertsons
LLC
5.75%,
03/15/2025
290
298
JBS
USA
LUX
SA
/
JBS
USA
Food
Co
/
JBS
USA
Finance
Inc
5.50%,
01/15/2030
(i)
65
68
Kraft
Heinz
Foods
Co
4.38%,
06/01/2046
170
160
4.88%,
10/01/2049
(i)
570
567
5.00%,
06/04/2042
85
87
5.20%,
07/15/2045
175
180
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Food
(continued)
Lamb
Weston
Holdings
Inc
4.88%,
05/15/2028
(i)
$
80
$
84
MARB
BondCo
PLC
7.00%,
03/15/2024
2,500
2,506
NBM
US
Holdings
Inc
7.00%,
05/14/2026
(i)
320
322
$
4,272
Healthcare
-
Products
-
0.01%
Ortho-Clinical
Diagnostics
Inc
/
Ortho-Clinical
Diagnostics
SA
7.38%,
06/01/2025
(i),(o)
66
67
Healthcare
-
Services
-
0.31%
Centene
Corp
4.63%,
12/15/2029
35
38
Encompass
Health
Corp
4.75%,
02/01/2030
45
46
Hadrian
Merger
Sub
Inc
8.50%,
05/01/2026
(i)
971
820
HCA
Inc
3.50%,
09/01/2030
190
187
IQVIA
Inc
5.00%,
05/15/2027
(i)
200
208
Rede
D'or
Finance
Sarl
4.50%,
01/22/2030
(i)
660
553
Tenet
Healthcare
Corp
5.13%,
05/01/2025
620
629
$
2,481
Home
Builders
-
0.04%
Lennar
Corp
4.75%,
11/29/2027
160
174
4.88%,
12/15/2023
35
37
5.00%,
06/15/2027
5
5
PulteGroup
Inc
4.25%,
03/01/2021
100
102
$
318
Insurance
-
0.09%
American
International
Group
Inc
4.38%,
06/30/2050
625
698
Internet
-
0.41%
Booking
Holdings
Inc
4.50%,
04/13/2027
245
272
4.63%,
04/13/2030
400
458
eBay
Inc
4.00%,
07/15/2042
35
37
Expedia
Group
Inc
3.25%,
02/15/2030
420
370
6.25%,
05/01/2025
(i)
520
555
7.00%,
05/01/2025
(i)
265
284
Uber
Technologies
Inc
7.50%,
05/15/2025
(i)
40
40
7.50%,
09/15/2027
(i)
600
609
8.00%,
11/01/2026
(i)
575
583
$
3,208
Investment
Companies
-
0.17%
Ares
Capital
Corp
3.25%,
07/15/2025
750
681
Icahn
Enterprises
LP
/
Icahn
Enterprises
Finance
Corp
4.75%,
09/15/2024
90
87
5.25%,
05/15/2027
235
224
6.25%,
05/15/2026
325
327
$
1,319
Iron
&
Steel
-
0.07%
ABJA
Investment
Co
Pte
Ltd
5.45%,
01/24/2028
210
187
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
79
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Iron
&
Steel
(continued)
Steel
Dynamics
Inc
3.45%,
04/15/2030
$
370
$
366
$
553
Leisure
Products
&
Services
-
0.31%
Constellation
Merger
Sub
Inc
8.50%,
09/15/2025
(i)
2,449
1,690
Royal
Caribbean
Cruises
Ltd
10.88%,
06/01/2023
(i)
132
138
11.50%,
06/01/2025
(i)
368
390
Sabre
GLBL
Inc
9.25%,
04/15/2025
(i)
30
32
Viking
Cruises
Ltd
13.00%,
05/15/2025
(i)
198
214
$
2,464
Lodging
-
0.24%
Boyd
Gaming
Corp
4.75%,
12/01/2027
(i)
430
396
Hyatt
Hotels
Corp
5.38%,
04/23/2025
45
47
5.75%,
04/23/2030
80
84
Marriott
International
Inc/MD
1.65%,
03/08/2021
845
822
3
Month
USD
LIBOR
+
0.65%
2.13%,
10/03/2022
455
441
4.63%,
06/15/2030
(o)
85
87
5.75%,
05/01/2025
5
6
$
1,883
Media
-
0.81%
Block
Communications
Inc
4.88%,
03/01/2028
(i)
95
94
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp
4.50%,
08/15/2030
(i)
190
197
4.50%,
05/01/2032
(i)
20
21
5.38%,
06/01/2029
(i)
35
38
Cengage
Learning
Inc
9.50%,
06/15/2024
(i)
1,161
784
Clear
Channel
Worldwide
Holdings
Inc
5.13%,
08/15/2027
(i)
295
295
CSC
Holdings
LLC
6.50%,
02/01/2029
(i)
200
221
7.75%,
07/15/2025
(i)
200
209
iHeartCommunications
Inc
4.75%,
01/15/2028
(i)
320
307
5.25%,
08/15/2027
(i)
260
255
6.38%,
05/01/2026
100
105
8.38%,
05/01/2027
285
266
NBCUniversal
Enterprise
Inc
5.25%,
12/31/2099
(i),(j)
1,205
1,217
Sirius
XM
Radio
Inc
4.63%,
07/15/2024
(i)
30
31
5.00%,
08/01/2027
(i)
160
167
5.38%,
04/15/2025
(i)
30
31
5.38%,
07/15/2026
(i)
60
62
5.50%,
07/01/2029
(i)
15
16
ViacomCBS
Inc
4.20%,
06/01/2029
75
80
4.20%,
05/19/2032
468
489
4.38%,
03/15/2043
115
110
4.90%,
08/15/2044
30
30
4.95%,
01/15/2031
485
534
4.95%,
05/19/2050
173
178
5.85%,
09/01/2043
35
38
Virgin
Media
Secured
Finance
PLC
5.50%,
08/15/2026
(i)
200
208
Ziggo
BV
4.88%,
01/15/2030
(i)
215
221
5.50%,
01/15/2027
(i)
150
158
$
6,362
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mining
-
0.39%
First
Quantum
Minerals
Ltd
6.88%,
03/01/2026
(i)
$
405
$
361
7.50%,
04/01/2025
(i)
200
182
Freeport-McMoRan
Inc
3.88%,
03/15/2023
30
30
4.13%,
03/01/2028
140
136
4.25%,
03/01/2030
105
102
5.00%,
09/01/2027
20
20
Indonesia
Asahan
Aluminium
Persero
PT
4.75%,
05/15/2025
(i)
2,000
2,080
Newcrest
Finance
Pty
Ltd
3.25%,
05/13/2030
(i)
135
141
$
3,052
Miscellaneous
Manufacturers
-
0.12%
FXI
Holdings
Inc
7.88%,
11/01/2024
(i),(n)
1,162
962
Mortgage
Backed
Securities
-
3.34%
Alternative
Loan
Trust
2003-22CB
5.75%,
12/25/2033
91
95
Alternative
Loan
Trust
2004-16CB
5.50%,
07/25/2034
67
69
5.50%,
08/25/2034
76
79
Alternative
Loan
Trust
2004-J10
6.00%,
09/25/2034
166
174
Alternative
Loan
Trust
2005-J1
5.50%,
02/25/2025
72
73
Banc
of
America
Alternative
Loan
Trust
2003-8
5.50%,
10/25/2033
69
69
Banc
of
America
Funding
2005-7
Trust
5.75%,
11/25/2035
66
69
Banc
of
America
Funding
2007-4
Trust
5.50%,
11/25/2034
84
81
Banc
of
America
Mortgage
2005-A
Trust
3.67%,
02/25/2035
(l)
25
23
CHL
Mortgage
Pass-Through
Trust
2004-HYB4
4.09%,
09/20/2034
(l)
30
28
Citigroup
Mortgage
Loan
Trust
2018-A
4.00%,
01/25/2068
(i),(l)
226
224
Citigroup
Mortgage
Loan
Trust
2018-C
4.13%,
03/25/2059
(i),(l)
507
500
Citigroup
Mortgage
Loan
Trust
2019-B
3.26%,
04/25/2066
(i),(l)
332
326
Connecticut
Avenue
Securities
Trust
2019-R04
5.42%,
06/25/2039
(i)
280
207
1.00
x
1
Month
USD
LIBOR
+
5.25%
Connecticut
Avenue
Securities
Trust
2019-R07
3.57%,
10/25/2039
(i)
2,000
1,434
1.00
x
1
Month
USD
LIBOR
+
3.40%
Connecticut
Avenue
Securities
Trust
2020-R01
2.22%,
01/25/2040
(i)
155
139
1.00
x
1
Month
USD
LIBOR
+
2.05%
3.42%,
01/25/2040
(i)
260
130
1.00
x
1
Month
USD
LIBOR
+
3.25%
Connecticut
Avenue
Securities
Trust
2020-SBT1
3.82%,
02/25/2040
(i)
295
226
1.00
x
1
Month
USD
LIBOR
+
3.65%
3.82%,
02/25/2040
(i)
365
251
1.00
x
1
Month
USD
LIBOR
+
3.65%
CSFB
Mortgage-Backed
Pass-Through
Certificates
Series
2003-27
5.75%,
11/25/2033
37
39
CSMC
2018-RPL2
Trust
4.03%,
08/25/2062
(i),(l)
547
508
CSMC
2019-RP10
Trust
3.16%,
12/26/2059
(i),(l)
291
293
DSLA
Mortgage
Loan
Trust
2005-AR5
0.50%,
09/19/2045
129
94
1.00
x
1
Month
USD
LIBOR
+
0.33%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
80
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Dukinfield
II
PLC
1.79%,
12/20/2052
GBP
278
$
341
1.00
x
3
Month
GBP
LIBOR
+
1.25%
Fannie
Mae
Connecticut
Avenue
Securities
2.37%,
01/25/2030
$
36
35
1.00
x
1
Month
USD
LIBOR
+
2.20%
2.57%,
05/25/2030
148
145
1.00
x
1
Month
USD
LIBOR
+
2.40%
4.42%,
01/25/2031
4,451
3,694
1.00
x
1
Month
USD
LIBOR
+
4.25%
5.02%,
10/25/2029
1,320
1,152
1.00
x
1
Month
USD
LIBOR
+
4.85%
5.92%,
07/25/2029
1,215
1,106
1.00
x
1
Month
USD
LIBOR
+
5.75%
Fannie
Mae
REMICS
5.93%,
05/25/2047
(m)
1,863
425
(1.00)
x
1
Month
USD
LIBOR
+
6.10%
6.03%,
12/25/2045
(m)
1,114
256
(1.00)
x
1
Month
USD
LIBOR
+
6.20%
Freddie
Mac
STACR
2019-HQA3
7.67%,
09/25/2049
(i)
240
106
1.00
x
1
Month
USD
LIBOR
+
7.50%
Freddie
Mac
Stacr
Remic
Trust
2019-Hqa4
6.77%,
11/25/2049
(i)
530
204
1.00
x
1
Month
USD
LIBOR
+
6.60%
Freddie
Mac
Stacr
Remic
Trust
2020-DNA1
5.42%,
01/25/2050
(i)
350
129
1.00
x
1
Month
USD
LIBOR
+
5.25%
Freddie
Mac
STACR
Remic
Trust
2020-DNA2
4.97%,
02/25/2050
(i)
470
235
1.00
x
1
Month
USD
LIBOR
+
4.80%
Freddie
Mac
STACR
REMIC
Trust
2020-HQA1
5.27%,
01/25/2050
(i)
220
76
1.00
x
1
Month
USD
LIBOR
+
5.10%
Freddie
Mac
Stacr
Remic
Trust
2020-HQA2
3.27%,
03/25/2050
(i)
660
559
1.00
x
1
Month
USD
LIBOR
+
3.10%
4.27%,
03/25/2050
(i)
660
379
1.00
x
1
Month
USD
LIBOR
+
4.10%
Freddie
Mac
STACR
Trust
2019-DNA4
6.42%,
10/25/2049
(i)
300
124
1.00
x
1
Month
USD
LIBOR
+
6.25%
Freddie
Mac
STACR
Trust
2019-HRP1
4.22%,
02/25/2049
(i)
270
152
1.00
x
1
Month
USD
LIBOR
+
4.05%
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes
1.97%,
07/25/2030
24
22
1.00
x
1
Month
USD
LIBOR
+
1.80%
2.02%,
10/25/2027
150
150
1.00
x
1
Month
USD
LIBOR
+
1.85%
5.12%,
07/25/2029
2,689
2,312
1.00
x
1
Month
USD
LIBOR
+
4.95%
8.97%,
03/25/2028
4,458
3,515
1.00
x
1
Month
USD
LIBOR
+
8.80%
Grand
Avenue
Mortgage
Loan
Trust
2017-RPL1
3.25%,
08/25/2064
(i)
126
113
GSR
Mortgage
Loan
Trust
2005-4F
6.50%,
02/25/2035
39
39
IndyMac
INDX
Mortgage
Loan
Trust
2004-AR7
1.39%,
09/25/2034
122
107
1.00
x
1
Month
USD
LIBOR
+
1.22%
IndyMac
INDX
Mortgage
Loan
Trust
2005-AR11
3.57%,
08/25/2035
(l)
506
429
Lehman
XS
Trust
Series
2006-2N
0.43%,
02/25/2046
92
77
1.00
x
1
Month
USD
LIBOR
+
0.26%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
MASTR
Alternative
Loan
Trust
2003-9
5.25%,
11/25/2033
$
38
$
39
MASTR
Alternative
Loan
Trust
2004-5
5.50%,
06/25/2034
36
37
6.00%,
06/25/2034
42
44
MASTR
Alternative
Loan
Trust
2004-8
6.00%,
09/25/2034
224
232
Merrill
Lynch
Mortgage
Investors
Trust
Series
MLCC
2006-2
3.27%,
05/25/2036
(l)
14
14
RCO
V
Mortgage
LLC
2019-1
3.72%,
05/24/2024
(i),(l)
490
458
Residential
Asset
Securitization
Trust
2005-A8CB
5.38%,
07/25/2035
240
199
STACR
Trust
2018-HRP2
2.57%,
02/25/2047
(i)
2,390
2,051
1.00
x
1
Month
USD
LIBOR
+
2.40%
Structured
Adjustable
Rate
Mortgage
Loan
Trust
0.48%,
07/25/2035
564
404
1.00
x
1
Month
USD
LIBOR
+
0.31%
Toorak
Mortgage
Corp
2018-1
Ltd
4.34%,
08/25/2021
(i),(l)
1,880
1,779
$
26,270
Office
&
Business
Equipment
-
0.02%
CDW
LLC
/
CDW
Finance
Corp
4.13%,
05/01/2025
195
199
Oil
&
Gas
-
1.35%
Aker
BP
ASA
3.75%,
01/15/2030
(i)
505
463
Bellatrix
Exploration
Ltd
0.00%,
09/11/2023
(d),(f),(g)
236
—
0.00%,
PIK
0.00%,
12/15/2023
(d),(f),(g),(p)
257
—
Bruin
E&P
Partners
LLC
8.88%,
08/01/2023
(i)
675
7
California
Resources
Corp
0.00%,
12/15/2022
(d),(i)
795
13
Cobalt
International
Energy
Inc
0.00%,
12/01/2023
(d)
4,635
97
Diamond
Offshore
Drilling
Inc
0.00%,
10/15/2039
(d)
327
35
Diamondback
Energy
Inc
3.50%,
12/01/2029
105
102
Hess
Corp
5.60%,
02/15/2041
155
154
Occidental
Petroleum
Corp
2.70%,
08/15/2022
75
69
2.70%,
02/15/2023
20
17
2.90%,
08/15/2024
105
83
3.50%,
06/15/2025
35
27
5.55%,
03/15/2026
10
9
Odebrecht
Drilling
Norbe
VIII/IX
Ltd
6.35%,
12/01/2021
1,284
1,059
Odebrecht
Offshore
Drilling
Finance
Ltd
6.72%,
12/01/2022
612
474
OGX
Austria
GmbH
0.00%,
06/01/2018
(d),(i)
600
—
0.00%,
04/01/2022
(d),(i)
1,100
—
Petrobras
Global
Finance
BV
5.09%,
01/15/2030
1,025
977
6.00%,
01/27/2028
1,850
1,864
6.75%,
06/03/2050
(o)
750
734
7.25%,
03/17/2044
125
130
Petroleos
Mexicanos
5.95%,
01/28/2031
(i)
1,435
1,153
6.63%,
06/15/2035
630
505
6.84%,
01/23/2030
(i)
1,450
1,242
Petronas
Capital
Ltd
3.50%,
04/21/2030
(i)
1,050
1,150
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
81
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
Whiting
Petroleum
Corp
0.00%,
01/15/2026
(d)
$
175
$
20
YPF
SA
6.95%,
07/21/2027
(i)
240
147
7.28%,
07/07/2020
(i)
410
76
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.00%
$
10,607
Other
Asset
Backed
Securities
-
5.43%
Accelerated
Assets
2018-1
LLC
4.51%,
12/02/2033
(i)
153
149
Adams
Outdoor
Advertising
LP
4.81%,
11/15/2048
(i)
754
748
AIG
CLO
2018-1
Ltd
7.59%,
01/20/2032
(i)
2,640
2,356
1.00
x
3
Month
USD
LIBOR
+
6.45%
AIM
Aviation
Finance
Ltd
5.07%,
02/15/2040
(i),(l)
675
168
Ajax
Mortgage
Loan
Trust
2017-B
3.16%,
09/25/2056
(i),(l)
266
261
Allegro
CLO
VI
Ltd
3.88%,
01/17/2031
(i)
250
215
1.00
x
3
Month
USD
LIBOR
+
2.75%
ALM
VII
R
Ltd
8.36%,
10/15/2028
(i)
2,000
1,719
1.00
x
3
Month
USD
LIBOR
+
7.14%
American
Homes
4
Rent
2014-SFR2
Trust
5.15%,
10/17/2036
(i)
280
297
6.23%,
10/17/2036
(i)
695
756
American
Homes
4
Rent
2014-SFR3
Trust
6.42%,
12/17/2036
(i)
900
987
American
Homes
4
Rent
2015-SFR1
5.64%,
04/17/2052
(i)
1,045
1,076
Anchorage
Capital
CLO
9
Ltd
5.22%,
07/15/2032
(i)
250
230
1.00
x
3
Month
USD
LIBOR
+
4.00%
Apidos
CLO
XXIII
3.60%,
04/15/2033
(i)
370
356
1.00
x
3
Month
USD
LIBOR
+
2.00%
ARES
LI
CLO
Ltd
3.92%,
04/15/2031
(i)
250
247
1.00
x
3
Month
USD
LIBOR
+
2.70%
ArrowMark
Colorado
Holdings
3.92%,
07/15/2029
(i)
250
242
1.00
x
3
Month
USD
LIBOR
+
2.70%
Ascentium
Equipment
Receivables
2017-2
Trust
2.87%,
08/10/2022
(i)
80
80
Avery
Point
VII
CLO
Ltd
7.82%,
01/15/2028
(i)
1,400
1,070
1.00
x
3
Month
USD
LIBOR
+
6.60%
Barings
Clo
Ltd
2019-IV
4.41%,
01/15/2033
(i)
250
247
1.00
x
3
Month
USD
LIBOR
+
2.80%
Bayview
Opportunity
Master
Fund
IVa
Trust
2019-RN2
3.97%,
03/28/2034
(i),(l)
40
40
BCC
Funding
XIV
LLC
6.00%,
04/21/2025
(i)
250
248
Blackbird
Capital
Aircraft
Lease
Securitization
Ltd
2016-1
4.21%,
12/16/2041
(i),(l)
203
156
5.68%,
12/16/2041
(i),(l)
565
308
BlueMountain
CLO
XXIV
Ltd
3.84%,
04/20/2031
(i)
250
243
1.00
x
3
Month
USD
LIBOR
+
2.70%
Bowman
Park
CLO
Ltd
5.76%,
11/23/2025
(i)
1,000
810
1.00
x
3
Month
USD
LIBOR
+
5.40%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
Cairn
CLO
XI
DAC
6.77%,
07/15/2035
(i)
EUR
360
$
364
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
6.77%
Canyon
Capital
CLO
2019-2
Ltd
8.37%,
10/15/2032
(i)
$
250
211
1.00
x
3
Month
USD
LIBOR
+
7.15%
Carlyle
Global
Market
Strategies
Euro
CLO
2015-1
Ltd
3.40%,
01/16/2033
(i)
EUR
2,205
2,206
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
3.40%
5.50%,
01/16/2033
(i)
882
783
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
5.50%
CCG
Receivables
Trust
2018-1
3.42%,
06/16/2025
(i)
$
100
99
Coinstar
Funding
LLC
Series
2017-1
5.22%,
04/25/2047
(i)
674
648
Cole
Park
CLO
Ltd
2015-1
4.29%,
10/20/2028
(i)
255
234
1.00
x
3
Month
USD
LIBOR
+
3.15%
Colony
American
Finance
2015-1
Ltd
5.65%,
10/15/2047
(i)
550
557
Colony
American
Finance
2016-1
Ltd
4.64%,
06/15/2048
(i),(l)
260
259
DB
Master
Finance
LLC
4.35%,
05/20/2049
(i)
208
212
Diamond
Resorts
Owner
Trust
6.07%,
10/22/2029
(i)
73
72
Diamond
Resorts
Owner
Trust
2018-1
4.53%,
01/21/2031
(i)
256
245
Diamond
Resorts
Owner
Trust
2019-1
3.53%,
02/20/2032
(i)
255
243
Domino's
Pizza
Master
Issuer
LLC
4.12%,
07/25/2047
(i)
327
339
4.12%,
07/25/2048
(i)
49
51
Driven
Brands
Funding
LLC
4.74%,
04/20/2048
(i)
167
162
Dryden
33
Senior
Loan
Fund
8.19%,
04/15/2029
(i)
700
573
1.00
x
3
Month
USD
LIBOR
+
6.97%
Dryden
63
GBP
CLO
2018
BV
3.57%,
10/15/2032
(i)
GBP
2,060
2,453
1.00
x
3
Month
GBP
LIBOR
+
2.90%
5.17%,
10/15/2032
(i)
1,052
1,216
1.00
x
3
Month
GBP
LIBOR
+
4.50%
Fairstone
Financial
Issuance
Trust
I
3.95%,
03/21/2033
(i)
CAD
515
371
GCA2014
Holdings
Ltd
-
Class
C
6.00%,
01/05/2030
(f),(g),(i)
$
668
200
GCA2014
Holdings
Ltd
-
Class
D
7.50%,
01/05/2030
(f),(g),(i)
301
30
GCA2014
Holdings
Ltd
-
Class
E
0.00%,
01/05/2030
(d),(f),(g),(i)
1,030
—
Global
Container
Assets
Ltd
4.50%,
02/05/2030
(i)
217
213
Harbour
Aircraft
Investments
Ltd
8.00%,
11/15/2037
548
190
HPEFS
Equipment
Trust
2020-1
2.26%,
02/20/2030
(i)
115
109
Invitation
Homes
2018-SFR1
Trust
2.18%,
03/17/2037
(i)
470
446
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR2
Trust
2.18%,
06/17/2037
(i)
835
790
1.00
x
1
Month
USD
LIBOR
+
2.00%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
82
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
Invitation
Homes
2018-SFR4
Trust
1.83%,
01/17/2038
(i)
$
210
$
198
1.00
x
1
Month
USD
LIBOR
+
1.65%
Kestrel
Aircraft
Funding
Ltd
4.25%,
12/15/2038
(i)
352
284
KKR
Clo
25
Ltd
7.76%,
04/15/2032
(i)
640
475
1.00
x
3
Month
USD
LIBOR
+
6.54%
Legacy
Mortgage
Asset
Trust
2018-GS2
4.00%,
04/25/2058
(i),(l)
205
201
Legacy
Mortgage
Asset
Trust
2019-GS3
3.75%,
04/25/2059
(i),(l)
357
357
MAPS
2018-1
Ltd
4.21%,
05/15/2043
(i)
647
516
Marlette
Funding
Trust
2019-1
3.44%,
04/16/2029
(i)
118
117
Marlette
Funding
Trust
2019-3
2.69%,
09/17/2029
(i)
131
130
Neuberger
Berman
CLO
XIV
Ltd
2.79%,
01/28/2030
(i)
365
345
1.00
x
3
Month
USD
LIBOR
+
1.90%
Octagon
Investment
Partners
40
Ltd
4.94%,
04/20/2031
(i)
250
230
1.00
x
3
Month
USD
LIBOR
+
3.80%
Octagon
Investment
Partners
XVI
Ltd
6.88%,
07/17/2030
(i)
500
396
1.00
x
3
Month
USD
LIBOR
+
5.75%
Octagon
Investment
Partners
XXII
Ltd
3.00%,
01/22/2030
(i)
250
238
1.00
x
3
Month
USD
LIBOR
+
1.90%
OHA
Credit
Funding
5
Ltd
3.31%,
04/18/2033
(i)
420
394
1.00
x
3
Month
USD
LIBOR
+
2.00%
OHA
Loan
Funding
2013-1
Ltd
4.09%,
07/23/2031
(i)
275
247
1.00
x
3
Month
USD
LIBOR
+
3.05%
OHA
Loan
Funding
2016-1
Ltd
3.09%,
01/20/2033
(i)
345
329
1.00
x
3
Month
USD
LIBOR
+
1.95%
OneMain
Financial
Issuance
Trust
2015-3
4.16%,
11/20/2028
(i)
790
790
OneMain
Financial
Issuance
Trust
2019-1
4.22%,
02/14/2031
(i)
620
561
Oxford
Finance
Funding
2019-1
LLC
4.46%,
02/15/2027
(i)
145
143
Parallel
2017-1
Ltd
3.14%,
07/20/2029
(i)
305
286
1.00
x
3
Month
USD
LIBOR
+
2.00%
Parallel
2018-2
Ltd
3.29%,
10/20/2031
(i)
480
449
1.00
x
3
Month
USD
LIBOR
+
2.15%
Planet
Fitness
Master
Issuer
LLC
3.86%,
12/05/2049
(i)
274
213
4.26%,
09/05/2048
(i)
596
572
Progress
Residential
2017-SFR2
Trust
4.14%,
12/17/2034
(i)
100
98
Progress
Residential
2018-SFR2
Trust
4.66%,
08/17/2035
(i)
100
99
Progress
Residential
2019-SFR1
Trust
4.47%,
08/17/2035
(i)
420
412
Prosper
Pass-Thru
Trust
II
Series
2019-St2
0.00%,
11/15/2025
(d),(g),(i)
1,190
869
0.00%,
11/15/2025
(d),(g),(i)
595
313
PRPM
2018-1
LLC
5.00%,
04/25/2023
(i),(l)
200
185
PRPM
2019-4
LLC
3.35%,
11/25/2024
(i),(l)
200
192
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
PRPM
2020-1
LLC
2.98%,
02/25/2025
(i),(l)
$
450
$
431
Republic
FInance
Issuance
Trust
2019-A
3.43%,
11/22/2027
(i)
490
468
Rockford
Tower
CLO
2017-2
Ltd
3.12%,
10/15/2029
(i)
295
278
1.00
x
3
Month
USD
LIBOR
+
1.90%
SCF
Equipment
Leasing
2018-1
LLC
4.21%,
04/20/2027
(i)
795
800
S-Jets
2017-1
Ltd
3.97%,
08/15/2042
(i)
758
627
Sound
Point
Clo
XV
Ltd
7.00%,
01/23/2029
(i)
1,500
1,027
1.00
x
3
Month
USD
LIBOR
+
5.96%
Sprite
2017-1
Ltd
5.75%,
12/15/2037
(i)
242
128
TAL
Advantage
V
LLC
3.55%,
11/20/2038
(i)
184
184
Thunderbolt
Aircraft
Lease
Ltd
5.75%,
05/17/2032
(i),(l)
163
89
Towd
Point
Mortgage
Trust
2015-2
2.50%,
11/25/2060
(i),(l)
197
198
Towd
Point
Mortgage
Trust
2019-4
2.90%,
10/25/2059
(i),(l)
425
439
Tricon
American
Homes
2017-SFR1
Trust
5.15%,
09/17/2034
(i)
375
369
VERDE
CLO
Ltd
8.12%,
04/15/2032
(i)
555
509
1.00
x
3
Month
USD
LIBOR
+
6.90%
VOLT
LXXXVII
LLC
2.98%,
02/25/2050
(i),(l)
430
408
WAVE
2017-1
Trust
5.68%,
11/15/2042
(i)
243
119
Wendy's
Funding
LLC
4.08%,
06/15/2049
(i)
84
81
Wingstop
Funding
2018-1
LLC
4.97%,
12/05/2048
(i)
153
155
York
CLO-2
Ltd
2.95%,
01/22/2031
(i)
250
235
1.00
x
3
Month
USD
LIBOR
+
1.85%
York
CLO-7
Ltd
5.59%,
01/22/2033
(i)
295
269
1.00
x
3
Month
USD
LIBOR
+
3.80%
$
42,738
Pharmaceuticals
-
0.30%
Bausch
Health
Cos
Inc
4.50%,
05/15/2023
EUR
640
704
Teva
Pharmaceutical
Finance
Netherlands
II
BV
6.00%,
01/31/2025
(i)
190
227
Teva
Pharmaceutical
Finance
Netherlands
III
BV
4.10%,
10/01/2046
$
1,420
1,194
7.13%,
01/31/2025
(i)
210
225
$
2,350
Pipelines
-
0.26%
Cheniere
Corpus
Christi
Holdings
LLC
3.70%,
11/15/2029
(i)
630
627
Energy
Transfer
Operating
LP
3.75%,
05/15/2030
65
64
5.00%,
05/15/2050
355
339
Kinder
Morgan
Inc
5.05%,
02/15/2046
75
87
Midwest
Connector
Capital
Co
LLC
3.63%,
04/01/2022
(i)
410
411
Sabine
Pass
Liquefaction
LLC
4.50%,
05/15/2030
(i)
445
488
$
2,016
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
83
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Real
Estate
-
0.94%
Arabian
Centres
Sukuk
Ltd
5.38%,
11/26/2024
(i)
$
3,200
$
2,643
Country
Garden
Holdings
Co
Ltd
4.75%,
07/25/2022
700
707
4.75%,
09/28/2023
650
652
Easy
Tactic
Ltd
8.13%,
02/27/2023
200
177
Kaisa
Group
Holdings
Ltd
8.50%,
06/30/2022
1,150
1,075
11.95%,
10/22/2022
(i)
410
406
Sunac
China
Holdings
Ltd
7.88%,
02/15/2022
1,531
1,535
Yuzhou
Properties
Co
Ltd
8.30%,
05/27/2025
200
184
$
7,379
Regional
Authority
-
0.09%
Provincia
de
Buenos
Aires/Government
Bonds
27.19%,
04/12/2025
(i)
ARS
11,045
107
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.75%
29.35%,
05/31/2022
51,665
565
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.83%
$
672
REITs
-
0.09%
Equinix
Inc
3.20%,
11/18/2029
$
45
48
Ladder
Capital
Finance
Holdings
LLLP
/
Ladder
Capital
Finance
Corp
4.25%,
02/01/2027
(i)
620
518
5.25%,
03/15/2022
(i)
50
47
5.25%,
10/01/2025
(i)
130
110
$
723
Retail
-
0.38%
1011778
BC
ULC
/
New
Red
Finance
Inc
3.88%,
01/15/2028
(i)
50
49
4.38%,
01/15/2028
(i)
660
648
AutoNation
Inc
4.75%,
06/01/2030
60
63
IRB
Holding
Corp
7.00%,
06/15/2025
(i)
132
137
Macy's
Inc
8.38%,
06/15/2025
(i),(o)
198
200
McDonald's
Corp
3.63%,
09/01/2049
230
251
Staples
Inc
10.75%,
04/15/2027
(i),(n)
2,048
1,393
Yum!
Brands
Inc
4.75%,
01/15/2030
(i)
230
239
$
2,980
Semiconductors
-
0.35%
Broadcom
Corp
/
Broadcom
Cayman
Finance
Ltd
3.50%,
01/15/2028
10
10
3.88%,
01/15/2027
40
42
Broadcom
Inc
4.25%,
04/15/2026
(i)
10
11
4.30%,
11/15/2032
(i)
740
781
4.75%,
04/15/2029
(i)
710
781
5.00%,
04/15/2030
(i)
225
250
Micron
Technology
Inc
5.33%,
02/06/2029
670
773
NXP
BV
/
NXP
Funding
LLC
/
NXP
USA
Inc
3.15%,
05/01/2027
(i)
70
72
3.40%,
05/01/2030
(i)
40
41
$
2,761
Software
-
0.06%
MSCI
Inc
3.63%,
09/01/2030
(i)
265
272
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
Open
Text
Corp
3.88%,
02/15/2028
(i)
$
70
$
69
Open
Text
Holdings
Inc
4.13%,
02/15/2030
(i)
65
64
SS&C
Technologies
Inc
5.50%,
09/30/2027
(i)
65
68
$
473
Sovereign
-
9.28%
1MDB
Global
Investments
Ltd
4.40%,
03/09/2023
4,100
3,813
Abu
Dhabi
Government
International
Bond
2.50%,
04/16/2025
(i)
850
882
3.13%,
04/16/2030
(i)
1,175
1,261
3.88%,
04/16/2050
(i)
1,200
1,366
Argentina
POM
Politica
Monetaria
38.04%,
06/21/2020
ARS
6,725
94
Argentina
Blended
Historical
Policy
Rate
+
0.00%
Argentine
Republic
Government
International
Bond
3.88%,
01/15/2022
EUR
66
26
Bonos
de
la
Tesoreria
de
la
Republica
1.90%,
09/01/2030
CLP
1,852,216
2,869
Colombia
Government
International
Bond
3.88%,
04/25/2027
$
2,425
2,567
4.50%,
03/15/2029
375
413
Costa
Rica
Government
International
Bond
6.13%,
02/19/2031
1,065
868
7.00%,
04/04/2044
(n)
1,673
1,305
Dominican
Republic
International
Bond
4.50%,
01/30/2030
550
478
5.50%,
01/27/2025
1,425
1,421
6.00%,
07/19/2028
1,125
1,083
Export-Import
Bank
of
Korea
1.74%,
06/25/2022
650
644
3
Month
USD
LIBOR
+
0.53%
Hellenic
Republic
Treasury
Bill
0.00%,
06/12/2020
(d)
EUR
1,124
1,248
Indonesia
Treasury
Bond
7.00%,
09/15/2030
IDR
60,400,000
4,027
8.75%,
05/15/2031
16,250,000
1,192
Israel
Government
International
Bond
2.75%,
07/03/2030
$
2,300
2,493
3.88%,
07/03/2050
1,275
1,458
4.50%,
04/03/2120
825
1,003
Ivory
Coast
Government
International
Bond
5.25%,
03/22/2030
EUR
3,319
3,306
Mexico
Government
International
Bond
4.75%,
04/27/2032
$
1,850
2,003
Montenegro
Government
International
Bond
5.75%,
03/10/2021
EUR
2,282
2,568
Peru
Government
Bond
6.15%,
08/12/2032
(i)
PEN
9,875
3,340
Peruvian
Government
International
Bond
2.39%,
01/23/2026
$
1,100
1,137
2.78%,
01/23/2031
900
948
6.90%,
08/12/2037
PEN
11,150
3,980
Qatar
Government
International
Bond
3.40%,
04/16/2025
(i)
$
1,450
1,548
3.75%,
04/16/2030
(i)
1,175
1,307
4.40%,
04/16/2050
(i)
1,000
1,189
Republic
of
South
Africa
Government
Bond
6.25%,
03/31/2036
ZAR
29,188
1,131
8.88%,
02/28/2035
50,000
2,519
Romanian
Government
International
Bond
2.00%,
01/28/2032
EUR
1,100
1,106
2.12%,
07/16/2031
1,225
1,249
3.62%,
05/26/2030
(i)
750
875
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
84
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Russian
Federal
Bond
-
OFZ
7.25%,
05/10/2034
RUB
238,500
$
3,879
Serbia
International
Bond
3.13%,
05/15/2027
(i)
EUR
2,175
2,530
Sri
Lanka
Government
International
Bond
5.75%,
04/18/2023
$
850
510
6.13%,
06/03/2025
200
110
6.20%,
05/11/2027
200
108
6.35%,
06/28/2024
200
112
6.85%,
03/14/2024
300
168
6.85%,
11/03/2025
750
412
Ukraine
Government
International
Bond
0.00%,
05/31/2040
(d),(l)
2,645
2,252
4.38%,
01/27/2030
(i)
EUR
1,650
1,493
7.38%,
09/25/2032
$
1,050
1,000
7.75%,
09/01/2023
1,175
1,185
7.75%,
09/01/2027
525
518
$
72,994
Student
Loan
Asset
Backed
Securities
-
0.32%
Education
Funding
Trust
Trust
2.79%,
07/25/2041
(i)
355
356
Navient
Private
Education
Refi
Loan
Trust
2018-A
3.68%,
02/18/2042
(i)
140
142
Navient
Private
Education
Refi
Loan
Trust
2019-F
3.12%,
08/15/2068
(i)
445
430
Navient
Private
Education
Refi
Loan
Trust
2019-G
3.08%,
10/15/2068
(i)
105
100
SLM
Private
Credit
Student
Loan
Trust
2003-A
4.07%,
06/15/2032
189
183
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SLM
Private
Credit
Student
Loan
Trust
2003-B
3.80%,
03/15/2033
500
463
1.00
x
US
28
Day
Auction
Rate
+
0.00%
4.48%,
03/15/2033
50
47
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SMB
Private
Education
Loan
Trust
2015-C
3.50%,
09/15/2043
(i)
100
103
SMB
Private
Education
Loan
Trust
2017-B
0.93%,
10/15/2035
(i)
239
232
1.00
x
1
Month
USD
LIBOR
+
0.75%
SMB
Private
Education
Loan
Trust
2018-C
4.00%,
11/17/2042
(i)
100
100
SoFi
Professional
Loan
Program
2015-C
LLC
3.58%,
08/25/2036
(i)
34
35
Sofi
Professional
Loan
Program
2016-A
LLC
3.57%,
01/26/2038
(i)
194
196
SoFi
Professional
Loan
Program
2020-ATrust
3.12%,
05/15/2046
(i)
160
155
$
2,542
Supranational
Bank
-
0.92%
African
Export-Import
Bank/The
3.99%,
09/21/2029
(i)
400
382
Eastern
&
Southern
African
Trade
&
Development
Bank
4.88%,
05/23/2024
1,425
1,366
European
Investment
Bank
0.63%,
07/25/2025
139
140
1.63%,
03/14/2025
2,220
2,338
International
Bank
for
Reconstruction
&
Development
0.63%,
04/22/2025
694
694
1.63%,
01/15/2025
2,220
2,332
$
7,252
Telecommunications
-
1.24%
AT&T
Inc
3.65%,
06/01/2051
325
329
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Bharti
Airtel
Ltd
4.38%,
06/10/2025
$
200
$
204
C&W
Senior
Financing
DAC
7.50%,
10/15/2026
(i)
1,850
1,887
CommScope
Inc
6.00%,
03/01/2026
(i)
250
263
Gogo
Intermediate
Holdings
LLC
/
Gogo
Finance
Co
Inc
9.88%,
05/01/2024
(i)
2,245
2,082
Intrado
Corp
8.50%,
10/15/2025
(i)
1,912
1,386
Kenbourne
Invest
SA
6.88%,
11/26/2024
(i)
355
354
Level
3
Financing
Inc
4.63%,
09/15/2027
(i)
55
56
5.38%,
08/15/2022
135
135
Millicom
International
Cellular
SA
5.13%,
01/15/2028
(i)
200
199
MTN
Mauritius
Investments
Ltd
5.37%,
02/13/2022
2,610
2,644
Sprint
Capital
Corp
6.88%,
11/15/2028
40
50
Sprint
Communications
Inc
7.00%,
08/15/2020
70
71
T-Mobile
USA
Inc
4.50%,
02/01/2026
65
67
$
9,727
Transportation
-
0.02%
FedEx
Corp
4.05%,
02/15/2048
5
5
4.10%,
02/01/2045
40
39
5.25%,
05/15/2050
90
104
$
148
TOTAL
BONDS
$
297,454
CONVERTIBLE
BONDS
-
0.37%
Principal
Amount
(000's)
Value
(000's)
Biotechnology
-
0.07%
BioMarin
Pharmaceutical
Inc
0.60%,
08/01/2024
355
399
1.25%,
05/15/2027
(i)
110
117
$
516
Internet
-
0.01%
Proofpoint
Inc
0.25%,
08/15/2024
(i)
75
76
Media
-
0.26%
DISH
Network
Corp
2.38%,
03/15/2024
555
478
3.38%,
08/15/2026
1,770
1,559
$
2,037
Oil
&
Gas
-
0.00%
Chesapeake
Energy
Corp
5.50%,
09/15/2026
190
6
Software
-
0.00%
Akamai
Technologies
Inc
0.38%,
09/01/2027
(i)
35
38
Telecommunications
-
0.02%
CalAmp
Corp
2.00%,
08/01/2025
270
193
Trucking
&
Leasing
-
0.01%
Greenbrier
Cos
Inc/The
2.88%,
02/01/2024
80
65
TOTAL
CONVERTIBLE
BONDS
$
2,931
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
85
MUNICIPAL
BONDS
-
0.07%
Principal
Amount
(000's)
Value
(000's)
Massachusetts
-
0.07%
Massachusetts
Educational
Financing
Authority
3.85%,
05/25/2033
$
504
$
524
TOTAL
MUNICIPAL
BONDS
$
524
SENIOR
FLOATING
RATE
INTERESTS
-
1.39%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.05%
Clear
Channel
Outdoor
Holdings
Inc
4.26%,
08/07/2026
(q)
$
409
$
380
1
Month
USD
LIBOR
+
3.50%
Automobile
Parts
&
Equipment
-
0.15%
American
Axle
&
Manufacturing
Inc
3.00%,
03/08/2024
(q)
403
384
3
Month
USD
LIBOR
+
2.25%
GC
EOS
Buyer
Inc
5.58%,
06/27/2025
(q)
978
782
3
Month
USD
LIBOR
+
3.25%
$
1,166
Building
Materials
-
0.03%
Airxcel
Inc
8.92%,
04/27/2026
(q)
282
220
3
Month
USD
LIBOR
+
8.75%
Commercial
Services
-
0.14%
Digital
Room
Holdings
Inc
6.07%,
05/08/2026
(q)
239
175
3
Month
USD
LIBOR
+
5.00%
Imagine!
Print
Solutions
Inc
9.75%,
06/21/2023
(q)
427
35
3
Month
USD
LIBOR
+
8.75%
Kingpin
Intermediate
Holdings
LLC
4.50%,
07/03/2024
(q)
151
121
3
Month
USD
LIBOR
+
3.50%
PSC
Industrial
Outsourcing
LP
9.73%,
10/13/2025
(q)
980
735
3
Month
USD
LIBOR
+
8.50%
$
1,066
Computers
-
0.08%
Diebold
Nixdorf
Inc
0.00%,
08/31/2022
(q),(r)
262
250
3
Month
USD
LIBOR
+
9.25%
Electronics
For
Imaging
Inc
6.45%,
07/02/2026
(q)
373
273
3
Month
USD
LIBOR
+
5.00%
Genuine
Financial
Holdings
LLC
0.00%,
06/27/2025
(q),(r)
110
93
3
Month
USD
LIBOR
+
3.75%
$
616
Diversified
Financial
Services
-
0.02%
4L
Technologies
8.94%,
02/05/2024
(q)
205
172
1
Month
USD
LIBOR
+
7.50%
Entertainment
-
0.18%
Deluxe
Entertainment
Services
Group
Inc
2.94%,
PIK
5.50%,
03/25/2024
(p),(q)
618
544
1
Month
USD
LIBOR
+
6.50%
2.94%,
PIK
5.50%,
09/25/2024
(p),(q)
796
573
1
Month
USD
LIBOR
+
8.50%
William
Morris
Endeavor
Entertainment
LLC
9.50%,
05/18/2025
(q)
322
309
1
Month
USD
LIBOR
+
8.50%
$
1,426
Healthcare
-
Services
-
0.02%
Air
Methods
Corp
4.95%,
04/12/2024
(q)
164
130
3
Month
USD
LIBOR
+
3.50%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Household
Products
&
Wares
-
0.02%
Acuity
Specialty
Products
Inc
5.07%,
08/09/2024
(q)
$
237
$
191
3
Month
USD
LIBOR
+
4.00%
Insurance
-
0.11%
Confie
Seguros
Holding
II
Co
10.08%,
10/31/2025
(q)
979
607
3
Month
USD
LIBOR
+
8.50%
Sedgwick
Claims
Management
Services
Inc
0.00%,
09/03/2026
(q),(r)
225
219
1
Month
USD
LIBOR
+
4.25%
$
826
Internet
-
0.02%
Airbnb
Inc
8.50%,
04/14/2025
(q)
169
172
1
Month
USD
LIBOR
+
7.50%
Leisure
Products
&
Services
-
0.01%
Bombardier
Recreational
Products
Inc
6.00%,
05/24/2027
(q)
86
85
1
Month
USD
LIBOR
+
5.00%
Machinery
-
Diversified
-
0.02%
NN
Inc
6.50%,
10/19/2022
(q)
206
168
1
Month
USD
LIBOR
+
5.75%
Media
-
0.07%
NEP
Group
Inc
0.00%,
10/20/2025
(q),(r)
347
291
3
Month
USD
LIBOR
+
3.25%
Ziggo
BV
3.00%,
01/17/2029
(q)
EUR
235
252
3
Month
Euro
Interbank
Offered
Rate
+
3.00%
$
543
Oil
&
Gas
-
0.01%
California
Resources
Corp
0.00%,
11/14/2022
(d),(q)
$
184
47
1
Month
USD
LIBOR
+
4.75%
Gavilan
Resources
LLC
0.00%,
03/01/2024
(d),(q)
680
58
3
Month
USD
LIBOR
+
6.00%
$
105
Oil
&
Gas
Services
-
0.15%
ChampionX
Holdings
0.00%,
05/28/2027
(q),(r)
14
13
McDermott
Technology
Americas
Inc
10.00%,
10/22/2020
(q)
865
833
1
Month
USD
LIBOR
+
9.00%
10.02%,
10/21/2020
(q)
360
347
1
Month
USD
LIBOR
+
9.00%
$
1,193
Pipelines
-
0.10%
Southcross
Energy
10.00%,
01/06/2025
(q)
769
769
1
Month
USD
LIBOR
+
9.00%
Real
Estate
-
0.00%
Toys
R
Us
Property
Co
I
LLC
0.00%,
PIK
12.50%,
02/04/2024
(d),(p),(q)
8
8
Software
-
0.15%
Rackspace
Hosting
Inc
4.00%,
11/03/2023
(q)
1,000
972
3
Month
USD
LIBOR
+
3.00%
Riverbed
Technology
Inc
4.25%,
04/24/2022
(q)
66
57
3
Month
USD
LIBOR
+
3.25%
WebPros
Particle
0.00%,
05/11/2027
(q),(r)
184
174
$
1,203
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
86
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
-
0.06%
GTT
Communications
Inc
0.00%,
05/31/2025
(q),(r)
$
369
$
264
3
Month
USD
LIBOR
+
2.75%
T-Mobile
USA
Inc
3.39%,
04/01/2027
(q)
190
190
1
Month
USD
LIBOR
+
3.00%
$
454
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
10,893
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
53.77%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
2.37%
2.50%,
07/01/2050
(s)
$
18,022
$
18,660
U.S.
Treasury
-
49.54%
0.13%,
05/31/2022
(o)
2,312
2,311
0.25%,
05/31/2025
(o)
11,308
11,278
0.50%,
04/30/2027
(n)
24,690
24,710
1.13%,
02/28/2022
7,000
7,117
1.25%,
10/31/2021
(n)
20,120
20,422
1.38%,
08/31/2026
(n)
39,913
42,205
1.50%,
02/15/2030
(n)
7,515
8,128
1.63%,
12/15/2022
(n)
7,528
7,805
1.63%,
10/31/2026
(n)
43,386
46,594
1.88%,
03/31/2022
(n)
18,234
18,800
2.13%,
05/15/2022
(n)
23,265
24,150
2.13%,
11/30/2024
(n)
48,717
52,730
2.25%,
03/31/2021
(n)
13,602
13,833
2.50%,
01/15/2022
(n)
26,693
27,696
2.50%,
02/15/2022
(n)
18,234
18,955
2.50%,
03/31/2023
(n)
9,458
10,075
2.63%,
12/31/2023
(n)
36,039
39,122
2.88%,
05/15/2043
(n)
3,622
4,728
3.75%,
11/15/2043
(n)
6,066
9,029
$
389,688
U.S.
Treasury
Bill
-
1.06%
0.14%,
06/16/2020
(n),(t)
500
500
0.14%,
10/13/2020
(t)
1,900
1,899
0.14%,
11/19/2020
(t)
1,275
1,274
0.16%,
11/27/2020
(t)
1,285
1,284
1.50%,
11/05/2020
(t)
1,895
1,893
1.90%,
06/18/2020
(t),(u)
1,470
1,470
$
8,320
U.S.
Treasury
Inflation-Indexed
Obligations
-
0.80%
0.13%,
10/15/2024
(n)
1,384
1,425
0.50%,
04/15/2024
(n)
4,715
4,876
$
6,301
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
422,969
REPURCHASE
AGREEMENTS
-
32.74%
Maturity
Amount
(000's)
Value
(000's)
Banks
-
32.74%
Barclays
Repurchase
Agreement
on
securities
sold
short;
(0.50)%
traded
04/29/2020
(collateralized
by
Comision
Federal
de
Electricidad;
$499,778;
6.13%;
dated
06/16/45)
(v)
$
434
$
434
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.00%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$3,201,333;
2.00%;
dated
02/15/50)
(d)
3,203
3,203
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.00%
traded
03/18/2020
(collateralized
by
Turkey
Government
International
Bond;
$677,093;
11.88%;
dated
01/15/30)
(d),(v)
631
631
REPURCHASE
AGREEMENTS
(continued)
Maturity
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.01%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$37,434,536;
1.38%;
dated
02/15/23)
$
37,387
$
37,387
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
(0.03)%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Note/
Bond;
$28,850,840;
0.13%;
dated
04/30/22)
28,832
28,832
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.05%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$34,325,292;
1.13%;
dated
02/28/22)
34,299
34,299
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.06%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$26,094,002;
2.38%;
dated
05/15/27)
25,994
25,994
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.06%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Inflation
Indexed
Bonds;
$3,132,401;
0.25%;
dated
07/15/29)
3,116
3,116
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.06%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$51,902,730;
1.75%;
dated
12/31/24)
51,776
51,776
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.06%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$34,278,538;
0.50%;
dated
03/31/25)
34,188
34,187
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.06%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$31,864,060;
0.25%;
dated
04/15/23)
31,833
31,833
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
0.06%
traded
05/29/2020
maturing
06/01/2020
(collateralized
by
United
States
Treasury
Inflation
Indexed
Bonds;
$2,863,883;
0.13%;
dated
04/15/25)
2,852
2,852
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
(0.30)%
traded
03/18/2020
(collateralized
by
Republic
of
South
Africa
Government
International
Bond;
$2,951,606;
4.85%;
dated
09/27/27)
(v)
2,954
2,956
$
257,500
TOTAL
REPURCHASE
AGREEMENTS
$
257,500
TOTAL
PURCHASED
OPTIONS
-
0.12%
$
961
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.05%
$
417
Total
Investments
$
1,424,235
Other
Assets
and
Liabilities
- (81.07)%
(637,633)
TOTAL
NET
ASSETS
-
100.00%
$
786,602
(a)
Current
yield
shown
is
as
of
period
end.
(b)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
87
(e)
Security
or
a
portion
of
the
security
was
pledged
as
collateral
for
short
sales.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$110,202
or
14.01%
of
net
assets.
(f)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(g)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$6,138
or
0.78%
of
net
assets.
(h)
Restricted
Security.
Please
see
Restricted
Security
sub-schedule
for
additional
information.
(i)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$156,544
or
19.90%
of
net
assets.
(j)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(k)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(l)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions. These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(m)
Security
is
an
Interest
Only
Strip.
(n)
Security
or
portion
of
the
security
was
pledged
as
collateral
for
reverse
repurchase
agreements.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$366,536
or
46.60%
of
net
assets.
(o)
Security
purchased
on
a
when-issued
basis.
(p)
Payment
in
kind;
the
issuer
has
the
option
of
paying
additional
securities
in
lieu
of
cash.
(q)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(r)
This
Senior
Floating
Rate
Note
will
settle
after
May
31,
2020,
at
which
time
the
interest
rate
will
be
determined.
(s)
Security
was
purchased
in
a
"to-be-announced"
("TBA")
transaction. See
Notes
to
Financial
Statements
for
additional
information.
(t)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
(u)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$350
or
0.04%
of
net
assets.
(v)
Although
the
maturity
date
of
the
repurchase
agreement
is
open-ended
through
the
maturity
date
of
the
collateral,
the
Fund
has
a
right
to
terminate
the
repurchase
agreement
and
demand
repayment
from
the
counterparty
at
any
time
with
two
days'
notice
or
less.
During
periods
of
high
demand
for
the
collateral
security,
the
fund
may
also
pay
the
counterparty
a
fee.
Portfolio
Summary (unaudited)
Sector
Percent
Government
61.69%
Financial
42.35%
Money
Market
Funds
12.87%
Consumer,
Non-cyclical
11.33%
Mortgage
Securities
9.71%
Communications
7.61%
Consumer,
Cyclical
7.29%
Asset
Backed
Securities
6.87%
Industrial
6.56%
Technology
6.23%
Energy
3.38%
Basic
Materials
2.80%
Utilities
2.01%
Purchased
Options
0.12%
Investment
Companies
0.12%
Revenue
Bonds
0.07%
Purchased
Interest
Rate
Swaptions
0.05%
Diversified
0.01%
Investments
Sold
Short
(51.86)%
Other
Assets
and
Liabilities
(29.21)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
151,384
$
916,200
$
973,279
$
94,305
$
151,384
$
916,200
$
973,279
$
94,305
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1,047
$
—
$
—
$
—
$
1,047
$
—
$
—
$
—
Amounts
in
thousands.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Airbnb
Inc
-
Series
E
0.00%
06/24/2015
$
157
$
119
0.02%
DraftKings
Pipe
12/04/2014-03/01/2017
89
769
0.10%
Element
Comm
Aviation
06/15/2015
2,800
342
0.04%
Forward
Venture
Services
LLC
0.00%
11/20/2014
102
243
0.03%
Jand
Inc
04/23/2015
19
27
0.00%
Jand
Inc
0.00%
04/23/2015
43
63
0.01%
Klarna
Holding
AB
08/07/2015
89
212
0.03%
Marklogic
Corp
0.00%
04/27/2015
172
124
0.02%
Veracode
Inc
0.00%
04/18/2017
24
3
0.00%
WE
Company
Common
Class
A
12/08/2014
6
2
0.00%
WE
Company
Preferred
D-1
0.00%
12/08/2014
81
38
0.01%
WE
Company
Preferred
D-2
0.00%
12/08/2014
64
30
0.00%
Total
$
1,972
0.26%
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
88
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
SPDR
Gold
Shares
ETP
N/A
29
$
3
$
200.00
01/24/2022
$
37
$
26
$
(11)
Call
-
SPDR
S&P
Oil
&
Gas
Exploration
&
Production
ETF
N/A
69
7
$
60.00
01/18/2021
34
32
(2)
Put
-
iShares
Russell
2000
ETF
N/A
38
4
$
130.00
10/01/2020
41
29
(12)
Put
-
iShares
Russell
2000
ETF
N/A
38
4
$
130.00
01/04/2021
38
40
2
Put
-
S&P
500
Index
N/A
70
7
$
2,225.00
06/22/2020
731
7
(724)
Put
-
S&P
500
Index
N/A
30
3
$
2,575.00
09/21/2020
375
174
(201)
Put
-
S&P
500
Index
N/A
55
6
$
2,375.00
09/21/2020
928
191
(737)
Put
-
S&P
500
Index
N/A
18
2
$
2,500.00
07/20/2020
54
27
(27)
Call
-
EUR
versus
USD
Citigroup
Inc
1
EUR
2,815
EUR
1.16
06/12/2020
15
—
(15)
Call
-
USD
versus
CAD
Goldman
Sachs
&
Co
1
$
2,775
$
1.43
06/08/2020
35
—
(35)
Call
-
USD
versus
CAD
Goldman
Sachs
&
Co
1
1,388
$
1.43
07/21/2020
18
3
(15)
Put
-
AUD
versus
USD
Barclays
Bank
PLC
1
AUD
2,775
AUD
0.63
08/12/2020
30
12
(18)
Put
-
EUR
versus
NOK
Bank
of
America
NA
1
EUR
2,815
EUR
10.00
06/15/2020
28
—
(28)
Put
-
EUR
versus
USD
Barclays
Bank
PLC
1
1,388
EUR
1.07
08/04/2020
8
2
(6)
Put
-
USD
versus
BRL
Morgan
Stanley
&
Co
1
$
1,604
$
4.28
06/15/2020
24
—
(24)
Put
-
USD
versus
BRL
Goldman
Sachs
&
Co
1
5,185
$
4.30
06/15/2020
85
—
(85)
Put
-
USD
versus
BRL
Morgan
Stanley
&
Co
1
3,581
$
4.28
06/15/2020
57
—
(57)
Put
-
USD
versus
CLP
Deutsche
Bank
AG
1
7,784
$
795.00
10/02/2020
201
192
(9)
Put
-
USD
versus
COP
Goldman
Sachs
&
Co
1
2,926
$
3,450.00
07/16/2020
49
2
(47)
Put
-
USD
versus
COP
Morgan
Stanley
&
Co
1
1,170
$
3,525.00
07/16/2020
24
2
(22)
Put
-
USD
versus
IDR
Standard
Chartered
Hong
Kong
1
2,925
$
14,400.00
09/09/2020
45
30
(15)
Put
-
USD
versus
IDR
Standard
Chartered
Hong
Kong
1
1,665
$
15,750.00
10/13/2020
53
110
57
Put
-
USD
versus
IDR
Standard
Chartered
Hong
Kong
1
2,220
$
14,400.00
09/09/2020
20
23
3
Call
-
90
Day
Eurodollar
Future;
June
2020
N/A
56
140
$
99.75
06/16/2020
2
1
(1)
Call
-
90
Day
Eurodollar
Future;
June
2020
N/A
56
140
$
99.50
06/16/2020
14
28
14
Call
-
90
Day
Eurodollar
Future;
June
2021
N/A
40
100
$
99.88
06/15/2020
1
—
(1)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
274
685
$
99.63
06/16/2020
116
2
(114)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
226
565
$
98.25
06/16/2020
17
1
(16)
Put
-
90
Day
Eurodollar
Future;
June
2022
N/A
519
1,298
$
99.50
06/15/2020
54
3
(51)
Put
-
90
Day
Eurodollar
Future;
September
2022
N/A
112
280
$
99.50
08/17/2020
11
6
(5)
Put
-
90
Day
Eurodollar
Future;
September
2022
N/A
167
418
$
99.50
07/13/2020
15
4
(11)
Put
-
US
10
Year
Note
Future;
September
2020
N/A
58
58
$
138.00
06/29/2020
19
12
(7)
Put
-
US
5
Year
Note
Future;
September
2020
N/A
48
48
$
121.50
08/24/2020
2
2
—
Put
-
US
5
Year
Note
Future;
September
2020
N/A
8
8
$
121.00
08/24/2020
—
—
—
Total
$
3,181
$
961
$
(2,220)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
AbbVie
Inc
N/A
1
$
—
$
95.00
06/22/2020
$
—
$
—
$
—
Call
-
Activision
Blizzard
Inc
N/A
1
—
$
75.00
06/22/2020
—
—
—
Call
-
Altria
Group
Inc
N/A
3
—
$
45.00
06/22/2020
—
—
—
Call
-
Applied
Materials
Inc
N/A
2
—
$
62.50
06/22/2020
—
—
—
Call
-
Best
Buy
Co
Inc
N/A
1
—
$
80.00
06/22/2020
—
—
—
Call
-
Blackstone
Group
Inc/The
N/A
1
—
$
57.50
06/22/2020
—
—
—
Call
-
Bristol-Myers
Squibb
Co
N/A
1
—
$
65.00
06/22/2020
—
—
—
Call
-
Comcast
Corp
N/A
2
—
$
42.50
06/22/2020
—
—
—
Call
-
DR
Horton
Inc
N/A
1
—
$
50.00
06/22/2020
(1)
(1)
—
Call
-
Duke
Energy
Corp
N/A
1
—
$
97.50
06/22/2020
—
—
—
Call
-
Enterprise
Products
Partners
LP
N/A
8
1
$
18.00
06/22/2020
—
(1)
(1)
Call
-
Fidelity
National
Financial
Inc
N/A
1
—
$
31.00
06/22/2020
—
—
—
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
89
Options
(continued)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
HP
Inc
N/A
8
$
1
$
18.00
06/22/2020
$
—
$
—
$
—
Call
-
Intel
Corp
N/A
2
—
$
67.50
06/22/2020
—
—
—
Call
-
Merck
&
Co
Inc
N/A
1
—
$
90.00
06/22/2020
—
—
—
Call
-
Mondelez
International
Inc
N/A
1
—
$
57.50
06/22/2020
—
—
—
Call
-
Newmont
Corp
N/A
3
—
$
70.00
06/22/2020
(1)
—
1
Call
-
Oracle
Corp
N/A
2
—
$
57.50
06/22/2020
—
—
—
Call
-
Paychex
Inc
N/A
1
—
$
72.50
06/22/2020
—
—
—
Call
-
Philip
Morris
International
Inc
N/A
2
—
$
85.00
06/22/2020
—
—
—
Call
-
QUALCOMM
Inc
N/A
2
—
$
90.00
06/22/2020
—
—
—
Call
-
Target
Corp
N/A
1
—
$
120.00
06/22/2020
(1)
(1)
—
Call
-
Texas
Instruments
Inc
N/A
1
—
$
120.00
06/22/2020
—
—
—
Call
-
Verizon
Communications
Inc
N/A
2
—
$
60.00
06/22/2020
—
—
—
Call
-
Walmart
Inc
N/A
1
—
$
140.00
06/22/2020
—
—
—
Put
-
S&P
500
Index
N/A
44
4
$
2,050.00
06/22/2020
(353)
(2)
351
Put
-
S&P
500
Index
N/A
30
3
$
2,300.00
09/21/2020
(211)
(86)
125
Put
-
S&P
500
Index
N/A
55
6
$
2,175.00
09/21/2020
(642)
(113)
529
Call
-
AUD
versus
USD
Barclays
Bank
PLC
1
AUD
2,775
AUD
0.67
08/12/2020
(22)
(37)
(15)
Call
-
USD
versus
BRL
JPMorgan
Chase
1
$
1,408
$
4.46
06/15/2020
(24)
(237)
(213)
Call
-
USD
versus
CAD
Goldman
Sachs
&
Co
1
2,775
$
1.48
07/07/2020
(19)
(1)
18
Call
-
USD
versus
CLP
Morgan
Stanley
&
Co
1
834
$
840.00
10/06/2020
(13)
(13)
—
Call
-
USD
versus
CLP
JPMorgan
Chase
1
1,112
$
850.00
08/03/2020
(12)
(6)
6
Call
-
USD
versus
CNH
Goldman
Sachs
&
Co
1
3,342
$
7.20
08/06/2020
(30)
(32)
(2)
Call
-
USD
versus
CNH
JPMorgan
Chase
1
951
$
7.20
08/06/2020
(9)
(9)
—
Put
-
EUR
versus
USD
Citigroup
Inc
1
EUR
1,480
EUR
1.07
07/01/2020
(15)
(1)
14
Put
-
USD
versus
BRL
Goldman
Sachs
&
Co
1
$
10,370
$
4.19
06/15/2020
(82)
—
82
Put
-
USD
versus
CLP
Deutsche
Bank
AG
1
7,784
$
755.00
10/02/2020
(55)
(47)
8
Put
-
USD
versus
IDR
UBS
AG
1
555
$
14,750.00
10/13/2020
(8)
(12)
(4)
Put
-
USD
versus
IDR
Morgan
Stanley
&
Co
1
1,110
$
14,750.00
10/13/2020
(10)
(23)
(13)
Call
-
90
Day
Eurodollar
Future;
June
2020
N/A
112
280
$
99.63
06/16/2020
(11)
(21)
(10)
Call
-
90
Day
Eurodollar
Future;
June
2021
N/A
20
50
$
99.75
06/15/2020
(2)
(3)
(1)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
274
685
$
99.50
06/16/2020
(75)
(2)
73
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
226
565
$
98.13
06/16/2020
(5)
(1)
4
Put
-
90
Day
Eurodollar
Future;
June
2022
N/A
447
1,118
$
99.25
06/15/2020
(13)
(3)
10
Put
-
90
Day
Eurodollar
Future;
June
2023
N/A
24
60
$
99.50
06/15/2020
(6)
(1)
5
Put
-
90
Day
Eurodollar
Future;
September
2022
N/A
112
280
$
99.25
08/17/2020
(3)
(2)
1
Put
-
90
Day
Eurodollar
Future;
September
2022
N/A
167
418
$
99.25
07/13/2020
(4)
(1)
3
Put
-
US
5
Year
Note
Future;
September
2020
N/A
24
24
$
109.00
08/24/2020
—
—
—
Put
-
US
5
Year
Note
Future;
September
2020
N/A
144
144
$
110.00
08/24/2020
(2)
(2)
—
Total
$
(1,629)
$
(658)
$
971
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
ZAR
27,750
7.59%
11/12/2020
$
46
$
70
$
24
Call
-
2
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Pay
KRW
72,500,000
0.95%
08/06/2020
192
262
70
Call
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
ZAR
48,724
5.50%
11/10/2020
24
38
14
Call
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Pay
PLN
9,435
0.82%
11/05/2020
20
43
23
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
90
Interest
Rate
Swaptions
(continued)
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Pay
PLN
9,435
0.88%
11/11/2020
$
21
$
4
$
(17)
Total
$
303
$
417
$
114
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
ZAR
27,750
6.75%
11/12/2020
$
(12)
$
(22)
$
(10)
Put
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Receive
KRW
14,500,000
1.40%
08/06/2020
(69)
(2)
67
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Receive
PLN
9,435
1.43%
11/11/2020
(7)
(1)
6
Put
-
5
Year
Interest
Rate
Swap
Bank
of
America
NA
6
Month
Warsaw
Interbank
Offered
Rate
Receive
9,435
1.37%
11/05/2020
(6)
(1)
5
Total
$
(94)
$
(26)
$
68
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
90
Day
Eurodollar;
June
2021
Long
315
$
78,596
$
58
90
Day
Eurodollar;
September
2023
Short
63
15,684
(117)
90
Day
Short
Sterling;
June
2021
Long
238
36,699
116
Australia
10
Year
Bond;
June
2020
Long
47
4,667
(1)
Brent
Crude;
August
2020
(a)
Short
26
984
(215)
CAC40
Index;
June
2020
Short
33
1,717
(74)
Canada
10
Year
Bond;
September
2020
Long
112
12,498
(43)
Cocoa;
July
2020
(a)
Long
12
290
11
Coffee
'C';
September
2020
(a)
Short
12
442
15
Corn;
July
2020
(a)
Short
75
1,222
3
Cotton
No.2;
December
2020
(a)
Short
5
144
—
Cotton
No.2;
July
2020
(a)
Short
8
230
(21)
DAX
Index;
June
2020
Long
6
1,932
146
DJ
Euro
Stoxx
50;
June
2020
Long
28
947
71
DJ
Euro
Stoxx
50;
June
2020
Short
62
2,096
(219)
DJ
Euro
Stoxx
50;
June
2020
Short
267
9,028
(2,096)
Dollar
Index;
June
2020
Long
1
98
(2)
E-Mini
DJIA
Index;
June
2020
Long
8
1,015
41
eMini
MSCI
Emerging
Markets;
June
2020
Short
17
793
(53)
Euribor;
June
2021
Long
142
39,576
(12)
Euro
Bond
10
Year
Bond;
June
2020
Short
34
6,509
23
Euro
Buxl
30
Year
Bond;
June
2020
Short
39
9,180
(70)
Euro
Schatz;
June
2020
Long
70
8,707
(13)
Euro-Bobl
5
Year;
June
2020
Long
246
36,906
213
Euro-Bobl
5
Year;
June
2020
Short
25
3,751
3
FTSE
China
A50
Index;
June
2020
Short
8
106
(2)
FTSE100
Index;
June
2020
Short
19
1,422
(61)
FTSE100
Index;
June
2020
Short
45
3,368
(576)
Gasoline
RBOB;
July
2020
(a)
Short
23
1,042
(199)
Gold
100
oz;
August
2020
(a)
Long
16
2,803
30
Hang
Seng
Index;
June
2020
Short
7
1,028
(7)
Hang
Seng
Index;
June
2020
Short
16
2,350
24
HSCEI
China
Index;
June
2020
Short
24
1,470
(30)
Japan
10
Year
Bond
TSE;
June
2020
Short
1
1,411
1
Japan
Topix
Index;
June
2020
Short
20
2,891
(314)
Japan
Topix
Index;
June
2020
Short
5
723
(57)
KC
HRW
Wheat;
July
2020
(a)
Short
28
659
(26)
LME
Copper;
June
2020
(a)
Short
—
—
353
LME
Copper;
September
2020
(a)
Short
15
2,018
(36)
LME
PRI
Alum;
June
2020
(a)
Short
—
—
98
LME
PRI
Alum;
September
2020
(a)
Short
17
660
(17)
LME
Zinc;
June
2020
(a)
Short
—
—
221
LME
Zinc;
September
2020
(a)
Short
10
497
(9)
Low
Sulphur
Gasoline;
July
2020
(a)
Short
20
589
(51)
Mini
Japan
10
Year
Bond;
June
2020
Short
13
1,835
2
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
91
Futures
Contracts
(continued)
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Nasdaq
100
E-Mini;
June
2020
Long
17
$
3,251
$
409
Natural
Gas;
July
2020
(a)
Short
45
832
124
Nikkei
225
OSE;
June
2020
Long
1
202
—
Nikkei
225
OSE;
June
2020
Short
15
3,034
(364)
NY
Harb
ULSD;
July
2020
(a)
Short
18
784
(105)
Russell
2000
Emini;
June
2020
Long
3
209
(5)
Russell
2000
Emini;
June
2020
Short
205
14,276
(3,105)
S&P
500
Emini;
June
2020
Long
22
3,346
346
S&P
500
Emini;
June
2020
Short
62
9,430
(535)
S&P
Mid
400
Emini;
June
2020
Short
37
6,520
(1,649)
S&P/TSX
60
Index;
June
2020
Short
10
1,330
(253)
Silver;
July
2020
(a)
Long
10
925
55
Soybean
Meal;
July
2020
(a)
Short
17
481
20
Soybean
Oil;
July
2020
(a)
Short
9
148
(4)
Soybean;
July
2020
(a)
Short
42
1,766
32
SPI
200
Index;
June
2020
Short
2
192
(16)
Sugar
#11;
July
2020
(a)
Short
31
379
(25)
Sugar
#11;
October
2020
(a)
Short
8
98
—
UK
10
Year
Gilt;
September
2020
Long
78
13,240
24
US
10
Year
Note;
June
2020
Short
14
1,951
(4)
US
10
Year
Note;
September
2020
Long
21
2,920
5
US
10
Year
Note;
September
2020
Short
410
57,016
(96)
US
2
Year
Note;
September
2020
Long
180
39,752
5
US
5
Year
Note;
June
2020
Short
116
14,595
(44)
US
5
Year
Note;
September
2020
Long
284
35,678
73
US
5
Year
Note;
September
2020
Long
107
13,442
18
US
5
Year
Note;
September
2020
Short
39
4,899
(9)
US
Long
Bond;
September
2020
Short
108
19,264
58
US
Long
Bond;
September
2020
Long
8
1,427
5
US
Long
Bond;
September
2020
Short
97
17,302
(100)
US
Ultra
Bond;
June
2020
Short
4
879
(42)
US
Ultra
Bond;
September
2020
Short
19
4,143
(2)
Wheat;
July
2020
(a)
Short
33
859
(17)
WTI
Crude;
July
2020
(a)
Short
14
497
(147)
Total
$
(8,240)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Foreign
Currency
Contracts
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
06/17/2020
$
1,083
CAD
1,520
$
—
$
(21)
Bank
of
America
NA
06/19/2020
$
12,110
AUD
19,233
—
(708)
Bank
of
America
NA
06/19/2020
AUD
10,937
$
7,007
282
—
Bank
of
America
NA
06/19/2020
GBP
1,237
$
1,507
21
—
Bank
of
America
NA
06/19/2020
$
8,677
GBP
6,984
52
—
Bank
of
America
NA
06/19/2020
GBP
5,509
$
6,894
—
(91)
Bank
of
America
NA
06/19/2020
$
3,855
GBP
3,141
—
(24)
Bank
of
America
NA
06/19/2020
CAD
11,552
$
8,304
87
—
Bank
of
America
NA
06/19/2020
CAD
323
$
235
—
—
Bank
of
America
NA
06/19/2020
$
15,324
CAD
21,494
—
(289)
Bank
of
America
NA
06/19/2020
$
16,684
EUR
14,969
63
—
Bank
of
America
NA
06/19/2020
EUR
5,958
$
6,680
—
(65)
Bank
of
America
NA
06/19/2020
EUR
13,264
$
14,510
218
—
Bank
of
America
NA
06/19/2020
$
7,437
EUR
6,803
—
(117)
Bank
of
America
NA
06/19/2020
$
24,446
JPY
2,602,101
309
—
Bank
of
America
NA
06/19/2020
JPY
2,401,305
$
22,487
—
(213)
Bank
of
America
NA
06/19/2020
$
1,146
JPY
123,991
—
(4)
Bank
of
America
NA
06/19/2020
JPY
272,983
$
2,506
26
—
Bank
of
America
NA
06/19/2020
MXN
5,219
$
235
—
—
Bank
of
America
NA
06/19/2020
MXN
87,446
$
3,820
115
—
Bank
of
America
NA
06/19/2020
$
4,839
MXN
117,654
—
(455)
Bank
of
America
NA
06/19/2020
$
375
MXN
8,168
7
—
Bank
of
America
NA
06/19/2020
NZD
688
$
428
—
(1)
Bank
of
America
NA
06/19/2020
NZD
1,668
$
1,012
23
—
Bank
of
America
NA
06/19/2020
$
3
NZD
5
—
—
Bank
of
America
NA
06/19/2020
$
4,875
NZD
8,054
—
(123)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
92
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
06/19/2020
$
884
CHF
857
$
—
$
(8)
Bank
of
America
NA
06/19/2020
CHF
8,730
$
9,177
—
(94)
Bank
of
America
NA
06/19/2020
$
2,070
CHF
1,945
46
—
Bank
of
America
NA
06/19/2020
CHF
1,264
$
1,307
8
—
Bank
of
New
York
Mellon
06/01/2020
$
210
EUR
190
—
(1)
Bank
of
New
York
Mellon
06/12/2020
$
1,300
EUR
1,119
58
—
Bank
of
New
York
Mellon
06/12/2020
$
2,751
EUR
2,532
—
(61)
Bank
of
New
York
Mellon
06/16/2020
$
4,847
EUR
4,350
17
—
Bank
of
New
York
Mellon
06/16/2020
EUR
1,500
$
1,628
37
—
Bank
of
New
York
Mellon
06/17/2020
$
2,312
GBP
1,860
15
—
Bank
of
New
York
Mellon
06/17/2020
$
1,688
GBP
1,435
—
(84)
Bank
of
New
York
Mellon
06/17/2020
GBP
4,647
$
5,888
—
(149)
Bank
of
New
York
Mellon
06/17/2020
GBP
970
$
1,181
17
—
Bank
of
New
York
Mellon
06/17/2020
CAD
875
$
606
30
—
Bank
of
New
York
Mellon
06/17/2020
$
831
CAD
1,150
—
(4)
Bank
of
New
York
Mellon
06/17/2020
$
82
DKK
550
—
—
Bank
of
New
York
Mellon
06/17/2020
$
524
DKK
3,600
—
(12)
Bank
of
New
York
Mellon
06/17/2020
DKK
3,050
$
441
13
—
Bank
of
New
York
Mellon
06/17/2020
EUR
270
$
307
—
(7)
Bank
of
New
York
Mellon
06/17/2020
$
6,126
EUR
5,625
—
(119)
Bank
of
New
York
Mellon
06/17/2020
EUR
440
$
476
13
—
Bank
of
New
York
Mellon
06/17/2020
$
4,788
EUR
4,245
75
—
Bank
of
New
York
Mellon
06/17/2020
$
367
HKD
2,850
—
(1)
Bank
of
New
York
Mellon
06/17/2020
JPY
270,000
$
2,488
16
—
Bank
of
New
York
Mellon
06/17/2020
$
12,326
JPY
1,280,200
452
—
Bank
of
New
York
Mellon
06/17/2020
JPY
360,700
$
3,367
—
(21)
Bank
of
New
York
Mellon
06/17/2020
$
509
NOK
5,150
—
(21)
Bank
of
New
York
Mellon
06/17/2020
NOK
2,765
$
268
17
—
Bank
of
New
York
Mellon
06/17/2020
$
139
SEK
1,400
—
(10)
Bank
of
New
York
Mellon
06/17/2020
$
1,070
CHF
1,000
30
—
Bank
of
New
York
Mellon
06/17/2020
CHF
700
$
723
5
—
Bank
of
New
York
Mellon
07/16/2020
$
1,508
ZAR
27,683
—
(63)
Bank
of
New
York
Mellon
07/17/2020
$
3,251
GBP
2,600
40
—
Barclays
Bank
PLC
06/03/2020
EUR
1,770
$
1,911
53
—
Barclays
Bank
PLC
06/03/2020
$
1,916
EUR
1,770
—
(48)
Barclays
Bank
PLC
06/05/2020
$
2,921
AUD
4,440
—
(38)
Barclays
Bank
PLC
06/05/2020
AUD
833
$
546
9
—
Barclays
Bank
PLC
06/05/2020
$
1,702
GBP
1,388
—
(12)
Barclays
Bank
PLC
06/05/2020
GBP
1,388
$
1,702
12
—
Barclays
Bank
PLC
06/05/2020
$
555
CAD
764
—
—
Barclays
Bank
PLC
06/05/2020
$
2,140
EUR
1,943
—
(16)
Barclays
Bank
PLC
06/05/2020
EUR
4,163
$
4,588
33
—
Barclays
Bank
PLC
06/05/2020
IDR
8,626,521
$
557
33
—
Barclays
Bank
PLC
06/05/2020
$
557
IDR
8,560,245
—
(29)
Barclays
Bank
PLC
06/05/2020
JPY
619,016
$
5,796
—
(56)
Barclays
Bank
PLC
06/05/2020
NOK
11,789
$
1,173
40
—
Barclays
Bank
PLC
06/05/2020
$
614
SEK
5,844
—
(6)
Barclays
Bank
PLC
06/05/2020
SEK
2,939
$
306
6
—
Barclays
Bank
PLC
06/08/2020
$
235
CLP
188,298
—
—
Barclays
Bank
PLC
06/08/2020
$
6,938
CLP
5,604,113
—
(64)
Barclays
Bank
PLC
06/08/2020
CLP
5,792,410
$
6,937
300
—
Barclays
Bank
PLC
06/08/2020
MXN
35,573
$
1,480
123
—
Barclays
Bank
PLC
06/08/2020
$
296
MXN
7,076
—
(23)
Barclays
Bank
PLC
06/08/2020
MXN
37,579
$
1,776
—
(83)
Barclays
Bank
PLC
06/08/2020
$
3,256
MXN
66,076
278
—
Barclays
Bank
PLC
06/08/2020
$
1,665
KRW
2,018,421
34
—
Barclays
Bank
PLC
06/08/2020
KRW
2,031,392
$
1,665
—
(23)
Barclays
Bank
PLC
06/09/2020
CLP
1,599,017
$
1,943
55
—
Barclays
Bank
PLC
06/09/2020
$
1,986
CLP
1,599,017
—
(12)
Barclays
Bank
PLC
06/11/2020
$
943
CLP
772,727
—
(22)
Barclays
Bank
PLC
06/11/2020
CLP
780,266
$
944
31
—
Barclays
Bank
PLC
06/11/2020
THB
325,097
$
10,540
—
(320)
Barclays
Bank
PLC
06/11/2020
$
10,540
THB
325,729
300
—
Barclays
Bank
PLC
06/12/2020
$
9
CLP
7,215
—
—
Barclays
Bank
PLC
06/12/2020
CLP
1,148,156
$
1,388
47
—
Barclays
Bank
PLC
06/12/2020
$
1,388
CLP
1,140,941
—
(38)
Barclays
Bank
PLC
06/15/2020
$
790
EUR
722
—
(12)
Barclays
Bank
PLC
06/15/2020
EUR
1,832
$
2,005
29
—
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
93
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Barclays
Bank
PLC
06/15/2020
JPY
191,285
$
1,784
$
—
$
(10)
Barclays
Bank
PLC
06/15/2020
$
590
JPY
63,547
1
—
Barclays
Bank
PLC
06/16/2020
$
3,971
BRL
18,636
481
—
Barclays
Bank
PLC
06/16/2020
BRL
18,548
$
3,973
—
(499)
Barclays
Bank
PLC
06/16/2020
$
1,168
BRL
6,277
—
(8)
Barclays
Bank
PLC
06/16/2020
MXN
7,782
$
411
—
(61)
Barclays
Bank
PLC
06/16/2020
$
412
MXN
7,777
62
—
Barclays
Bank
PLC
06/17/2020
$
597
EUR
555
—
(19)
Barclays
Bank
PLC
06/17/2020
EUR
555
$
603
13
—
Barclays
Bank
PLC
06/17/2020
EUR
1,693
$
1,869
11
—
Barclays
Bank
PLC
06/17/2020
$
11,260
MXN
219,467
1,382
—
Barclays
Bank
PLC
06/17/2020
MXN
219,467
$
11,503
—
(1,625)
Barclays
Bank
PLC
06/17/2020
$
604
ZAR
11,437
—
(47)
Barclays
Bank
PLC
06/17/2020
ZAR
11,463
$
597
55
—
Barclays
Bank
PLC
06/18/2020
$
942
EUR
866
—
(20)
Barclays
Bank
PLC
06/18/2020
EUR
866
$
945
17
—
Barclays
Bank
PLC
06/18/2020
INR
42,511
$
563
—
(1)
Barclays
Bank
PLC
06/18/2020
$
855
INR
66,480
—
(24)
Barclays
Bank
PLC
06/18/2020
INR
108,179
$
1,403
27
—
Barclays
Bank
PLC
06/18/2020
$
873
JPY
93,990
1
—
Barclays
Bank
PLC
06/18/2020
JPY
72,277
$
651
19
—
Barclays
Bank
PLC
06/18/2020
JPY
23,705
$
222
—
(2)
Barclays
Bank
PLC
06/18/2020
MYR
6,003
$
1,387
—
(5)
Barclays
Bank
PLC
06/18/2020
$
1,665
MYR
7,244
—
(3)
Barclays
Bank
PLC
06/18/2020
MYR
1,210
$
278
1
—
Barclays
Bank
PLC
06/22/2020
$
556
CLP
446,107
—
(1)
Barclays
Bank
PLC
06/22/2020
CLP
455,086
$
556
13
—
Barclays
Bank
PLC
06/24/2020
IDR
33,603,505
$
2,020
271
—
Barclays
Bank
PLC
06/24/2020
$
2,020
IDR
33,396,948
—
(257)
Barclays
Bank
PLC
06/26/2020
$
1,110
KRW
1,368,963
—
—
Barclays
Bank
PLC
06/29/2020
$
832
KRW
1,028,346
—
(2)
Barclays
Bank
PLC
07/02/2020
$
606
ZAR
9,711
54
—
Barclays
Bank
PLC
07/02/2020
ZAR
9,711
$
600
—
(48)
Barclays
Bank
PLC
07/03/2020
$
1,110
BRL
6,221
—
(54)
Barclays
Bank
PLC
07/03/2020
BRL
4,377
$
832
—
(13)
Barclays
Bank
PLC
07/03/2020
BRL
1,578
$
271
24
—
Barclays
Bank
PLC
07/16/2020
$
555
ZAR
10,312
—
(30)
Barclays
Bank
PLC
07/16/2020
ZAR
10,236
$
555
26
—
Barclays
Bank
PLC
07/17/2020
CNH
18,923
$
2,668
—
(24)
Barclays
Bank
PLC
07/17/2020
CNH
6,396
$
888
5
—
Barclays
Bank
PLC
07/17/2020
$
7,114
CNH
51,007
—
(12)
Barclays
Bank
PLC
07/17/2020
$
7,769
CNH
55,154
64
—
Barclays
Bank
PLC
07/17/2020
$
1,463
COP
5,252,931
58
—
Barclays
Bank
PLC
07/17/2020
COP
5,295,182
$
1,463
—
(47)
Barclays
Bank
PLC
07/23/2020
$
266
EUR
245
—
(6)
Barclays
Bank
PLC
07/24/2020
IDR
4,440,000
$
277
23
—
Barclays
Bank
PLC
07/24/2020
$
277
IDR
4,262,400
—
(11)
Barclays
Bank
PLC
08/04/2020
CLP
500,356
$
611
14
—
Barclays
Bank
PLC
08/04/2020
$
611
CLP
505,168
—
(20)
Barclays
Bank
PLC
08/12/2020
INR
76,350
$
999
5
—
Barclays
Bank
PLC
08/25/2020
MXN
57,170
$
2,815
—
(267)
Barclays
Bank
PLC
08/25/2020
$
2,934
MXN
57,170
386
—
Barclays
Bank
PLC
08/26/2020
$
1,450
THB
45,820
10
—
Barclays
Bank
PLC
08/26/2020
THB
45,617
$
1,450
—
(16)
Barclays
Bank
PLC
08/27/2020
THB
119,823
$
3,685
82
—
Barclays
Bank
PLC
08/27/2020
$
2,555
THB
80,437
27
—
Barclays
Bank
PLC
08/27/2020
THB
26,826
$
850
—
(7)
Barclays
Bank
PLC
08/27/2020
$
3,245
THB
105,636
—
(76)
Barclays
Bank
PLC
09/16/2020
EUR
278
$
309
—
—
Barclays
Bank
PLC
09/16/2020
JPY
29,813
$
278
—
(1)
Barclays
Bank
PLC
09/16/2020
$
1,388
THB
44,213
—
(2)
Barclays
Bank
PLC
09/17/2020
MYR
1,210
$
278
1
—
Barclays
Bank
PLC
09/30/2020
$
6,141
EUR
5,630
—
(123)
Barclays
Bank
PLC
09/30/2020
EUR
2,815
$
3,150
—
(18)
Barclays
Bank
PLC
09/30/2020
EUR
2,815
$
3,130
2
—
Barclays
Bank
PLC
09/30/2020
HUF
2,054,007
$
6,141
430
—
Barclays
Bank
PLC
09/30/2020
$
6,400
HUF
2,054,007
—
(171)
Barclays
Bank
PLC
09/30/2020
ZAR
63,839
$
3,493
104
—
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
94
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Barclays
Bank
PLC
09/30/2020
$
355
ZAR
6,290
$
1
$
—
Barclays
Bank
PLC
09/30/2020
$
3,138
ZAR
58,017
—
(131)
Barclays
Bank
PLC
10/05/2020
CLP
1,754,364
$
2,137
57
—
Barclays
Bank
PLC
10/05/2020
$
2,138
CLP
1,756,461
—
(59)
Barclays
Bank
PLC
10/07/2020
$
306
CLP
249,248
—
(6)
Barclays
Bank
PLC
10/07/2020
CLP
245,175
$
306
1
—
Barclays
Bank
PLC
10/08/2020
CLP
1,156,343
$
1,387
59
—
Barclays
Bank
PLC
10/08/2020
CLP
20,257
$
25
—
—
Barclays
Bank
PLC
10/08/2020
$
1,388
CLP
1,176,600
—
(84)
Barclays
Bank
PLC
10/09/2020
CLP
247,599
$
311
—
(1)
Barclays
Bank
PLC
10/09/2020
$
6,937
CLP
5,838,253
—
(366)
Barclays
Bank
PLC
10/09/2020
CLP
5,590,654
$
6,937
56
—
Barclays
Bank
PLC
10/14/2020
CLP
763
$
1
—
—
Barclays
Bank
PLC
10/14/2020
CLP
1,158,354
$
1,387
62
—
Barclays
Bank
PLC
10/14/2020
$
1,387
CLP
1,159,118
—
(63)
Barclays
Bank
PLC
10/14/2020
$
1,498
IDR
24,494,481
—
(127)
Barclays
Bank
PLC
10/14/2020
IDR
24,563,412
$
1,499
131
—
Barclays
Bank
PLC
10/16/2020
CLP
1,641,626
$
2,043
11
—
Barclays
Bank
PLC
10/16/2020
$
1,943
CLP
1,641,626
—
(111)
Barclays
Bank
PLC
10/19/2020
CLP
1,158,563
$
1,388
62
—
Barclays
Bank
PLC
10/19/2020
CLP
24,212
$
30
—
—
Barclays
Bank
PLC
10/19/2020
$
1,388
CLP
1,182,774
—
(92)
Barclays
Bank
PLC
11/12/2020
CLP
1,137,750
$
1,387
37
—
Barclays
Bank
PLC
11/12/2020
$
1,387
CLP
1,143,508
—
(44)
Barclays
Bank
PLC
11/12/2020
CLP
5,758
$
7
—
—
Barclays
Bank
PLC
03/31/2021
EUR
1,408
$
1,583
—
(10)
Barclays
Bank
PLC
03/31/2021
$
1,561
EUR
1,408
—
(12)
Barclays
Bank
PLC
03/31/2021
HUF
515,849
$
1,560
91
—
Barclays
Bank
PLC
03/31/2021
$
1,619
HUF
515,849
—
(32)
BMO
Capital
Markets
06/17/2020
$
4,780
GBP
3,811
74
—
Citigroup
Inc
06/15/2020
EUR
524
$
577
4
—
Citigroup
Inc
06/15/2020
$
2,641
EUR
2,421
—
(47)
Deutsche
Bank
AG
06/17/2020
$
10,920
EUR
9,751
93
—
Deutsche
Bank
AG
07/31/2020
$
362
GBP
291
3
—
HSBC
Securities
Inc
06/15/2020
EUR
1,072
$
1,179
11
—
HSBC
Securities
Inc
06/15/2020
$
530
EUR
482
—
(5)
HSBC
Securities
Inc
06/19/2020
BRL
20,150
$
3,515
258
—
HSBC
Securities
Inc
06/19/2020
$
3,483
BRL
20,150
—
(290)
HSBC
Securities
Inc
06/19/2020
CLP
2,150,000
$
2,674
12
—
HSBC
Securities
Inc
06/19/2020
$
2,614
CLP
2,150,000
—
(72)
HSBC
Securities
Inc
06/19/2020
IDR
34,150,000
$
2,302
28
—
HSBC
Securities
Inc
06/19/2020
$
2,267
IDR
34,150,000
—
(63)
HSBC
Securities
Inc
06/19/2020
MXN
73,100
$
3,189
100
—
HSBC
Securities
Inc
06/19/2020
PEN
7,600
$
2,221
—
(1)
HSBC
Securities
Inc
06/19/2020
$
7,043
PEN
24,200
—
(26)
HSBC
Securities
Inc
06/19/2020
PLN
16,150
$
3,947
81
—
HSBC
Securities
Inc
06/19/2020
$
2,625
ZAR
45,818
18
—
HSBC
Securities
Inc
06/19/2020
ZAR
113,800
$
6,355
121
—
HSBC
Securities
Inc
08/13/2020
$
76
EUR
70
—
(2)
JPMorgan
Chase
06/15/2020
$
8,772
EUR
8,122
—
(246)
JPMorgan
Chase
06/15/2020
$
72
EUR
65
—
—
JPMorgan
Chase
06/17/2020
EUR
1,782
$
1,964
15
—
JPMorgan
Chase
06/19/2020
MXN
120,000
$
5,190
210
—
JPMorgan
Chase
06/19/2020
$
2,518
MXN
61,000
—
(227)
JPMorgan
Chase
06/19/2020
PLN
5,450
$
1,355
4
—
JPMorgan
Chase
06/19/2020
ZAR
22,900
$
1,312
—
(9)
JPMorgan
Chase
06/19/2020
$
3,710
ZAR
68,000
—
(159)
JPMorgan
Chase
06/19/2020
$
4,519
TRY
33,200
—
(326)
JPMorgan
Chase
06/19/2020
TRY
13,600
$
1,993
—
(8)
Merrill
Lynch
07/23/2020
$
373
CAD
530
—
(12)
Merrill
Lynch
07/23/2020
$
206
EUR
190
—
(5)
Morgan
Stanley
&
Co
06/16/2020
$
118
EUR
105
1
—
Morgan
Stanley
&
Co
06/16/2020
$
548
EUR
500
—
(7)
Morgan
Stanley
&
Co
06/17/2020
$
2,125
CNH
14,917
37
—
Morgan
Stanley
&
Co
06/17/2020
CNH
6,064
$
860
—
(11)
Morgan
Stanley
&
Co
06/17/2020
$
290
CNH
2,076
—
(1)
Morgan
Stanley
&
Co
07/08/2020
$
821
COP
3,330,000
—
(70)
Standard
Chartered
Bank,
Hong
Kong
07/02/2020
$
671
EUR
615
—
(12)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
95
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
State
Street
Financial
Global
Markets
06/17/2020
GBP
630
$
796
$
—
$
(18)
UBS
AG
07/22/2020
THB
58,310
$
1,819
14
—
UBS
AG
07/22/2020
$
1,792
THB
58,310
—
(41)
Total
$
8,796
$
(9,894)
Amounts
in
thousands.
Credit
Default
Swaps
Buy
Protection
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
May
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Asset
----
Liability
Bank
of
America
NA
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.77%
(1.00)%
Quarterly
06/20/2025
$
230
$
21
$
(12)
$
9
$
—
Bank
of
America
NA
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.77%
(1.00)%
Quarterly
06/20/2025
1,150
101
(58)
43
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
500
49
(6)
43
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
200
20
(3)
17
—
Barclays
Bank
PLC
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
5,700
634
(137)
497
—
Citigroup
Inc
CDX.33.EM.100
N/A
(1.00)%
Quarterly
06/20/2025
3,000
311
(50)
261
—
Citigroup
Inc
Republic
of
Indonesia,
3.70%,
01/08/2022
1.63%
(1.00)%
Quarterly
06/20/2025
1,375
73
(31)
42
—
Goldman
Sachs
&
Co
Pitney
Bowes
Inc,
4.70%,
04/01/2023
14.58%
(1.00)%
Quarterly
06/20/2023
250
80
(5)
75
—
Goldman
Sachs
&
Co
Republic
of
Indonesia,
3.70%,
01/08/2022
1.63%
(1.00)%
Quarterly
06/20/2025
3,575
243
(134)
109
—
Merrill
Lynch
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.77%
(1.00)%
Quarterly
06/20/2025
1,170
112
(69)
43
—
Morgan
Stanley
&
Co
China
Government
International
Bond,
7.50%,
10/28/2027
0.56%
(1.00)%
Quarterly
06/20/2025
1,275
(25)
(3)
—
(28)
Morgan
Stanley
&
Co
China
Government
International
Bond,
7.50%,
10/28/2027
0.56%
(1.00)%
Quarterly
06/20/2025
1,250
(29)
2
—
(27)
Morgan
Stanley
&
Co
Enel
Spa,
5.25%,
05/20/2024
0.53%
(1.00)%
Quarterly
12/20/2023
EUR
750
4
(18)
—
(14)
Total
$
1,594
$
(524)
$
1,139
$
(69)
Sell
Protection
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
May
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
(b)
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
(c)
Asset
----
Liability
Barclays
Bank
PLC
Brazilian
Government
International
Bond,
4.25%,
01/07/2025
2.83%
1.00%
Quarterly
06/20/2025
$
700
$
(69)
$
9
$
—
$
(60)
Barclays
Bank
PLC
Brazilian
Government
International
Bond,
4.25%,
01/07/2025
2.83%
1.00%
Quarterly
06/20/2025
700
(72)
12
—
(60)
Barclays
Bank
PLC
Brazilian
Government
International
Bond,
4.25%,
01/07/2025
2.83%
1.00%
Quarterly
06/20/2025
700
(78)
18
—
(60)
Barclays
Bank
PLC
Brazilian
Government
International
Bond,
4.25%,
01/07/2025
2.83%
1.00%
Quarterly
06/20/2025
559
(57)
9
—
(48)
Barclays
Bank
PLC
Mexico
Government
International
Bond,
4.15%,
03/28/2027
1.77%
1.00%
Quarterly
06/20/2025
143
(12)
7
—
(5)
Citigroup
Inc
Petroleos
Mexicanos,
6.63%,
06/15/2035
6.55%
1.00%
Quarterly
06/20/2024
375
(24)
(48)
—
(72)
Goldman
Sachs
&
Co
Petroleos
Mexicanos,
6.63%,
06/15/2035
6.55%
1.00%
Quarterly
06/20/2024
325
(22)
(41)
—
(63)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
96
Credit
Default
Swaps
(continued)
Sell
Protection
(continued)
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
May
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
(b)
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
(c)
Asset
----
Liability
JPMorgan
Chase
Petroleos
Mexicanos,
6.63%,
06/15/2035
6.55%
1.00%
Quarterly
06/20/2024
$
900
$
(61)
$
(112)
$
—
$
(173)
Total
$
(395)
$
(146)
$
—
$
(541)
Amounts
in
thousands.
Exchange
Cleared
Credit
Default
Swaps
Buy
Protection
Reference
Entity
Implied
Credit
Spread
as
of
May
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Turkey
Government
International
Bond,
11.88%,
01/15/2030
5.52%
(1.00)%
Quarterly
06/20/2025
$
11,398
$
1,738
$
476
$
2,214
Total
$
1,738
$
476
$
2,214
Sell
Protection
Reference
Entity
Implied
Credit
Spread
as
of
May
31,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
(b)
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
(c)
CDX.34.HY
N/A
5.00%
Quarterly
06/20/2025
$
8,683
$
(437)
$
261
$
(176)
Total
$
(437)
$
261
$
(176)
Amounts
in
thousands.
(a)
Implied
credit
spreads,
represented
in
absolute
terms,
used
in
determining
the
market
value
of
credit
default
swap
agreements
on
corporate
issues
or
sovereign
issues
as
of
period
end
serve
as
an
indicator
of
the
current
status
of
the
payment/performance
risk
and
represent
the
likelihood
or
risk
of
default
for
the
credit
derivative.
The
implied
credit
spread
of
a
particular
referenced
entity
reflects
the
cost
of
buying/selling
protection
and
may
include
upfront
payments
required
to
be
made
to
enter
into
the
agreement.
Wider
credit
spreads
represent
a
deterioration
of
the
referenced
entity's
credit
soundness
and
a
greater
likelihood
or
risk
of
default
or
other
credit
event
occurring
as
defined
under
the
terms
of
the
agreement.
(b)
The
maximum
potential
payment
amount
that
the
seller
of
credit
protection
could
be
required
to
make
if
a
credit
event
occurs
as
defined
under
the
terms
of
that
particular
swap
agreement
is
$13,085.
(c)
The
market
price
and
resulting
market
value
for
credit
default
swap
agreements
on
an
issuer
serve
as
an
indicator
of
the
current
status
of
the
payment/performance
risk
and
represent
the
likelihood
of
an
expected
liability
(or
profit)
for
the
credit
default
swap
as
of
the
period
end.
Increasing
market
values,
in
absolute
terms,
when
compared
to
the
notional
amount
of
the
swap,
represent
a
deterioration
of
the
referenced
entity's
credit
soundness
and
a
greater
likelihood
or
risk
of
default
or
other
credit
event
occurring
as
defined
under
the
terms
of
the
agreement.
Interest
Rate
Swaps
Counterparty
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
Asset
Liability
Barclays
Bank
PLC
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.20%
Annual
Semiannual
N/A
12/12/2023
PLN
10,712
$
(173)
$
—
$
—
$
(173)
Morgan
Stanley
&
Co
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.09%
Quarterly
Quarterly
N/A
11/08/2024
CNY
18,894
153
—
153
—
Total
$
(20)
$
—
$
153
$
(173)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
6.59%
Quarterly
Quarterly
N/A
11/11/2022
ZAR
105,000
$
(323)
$
5
$
(318)
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
5.58%
Quarterly
Quarterly
N/A
11/05/2025
14,025
3
1
4
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
7.06%
Quarterly
Quarterly
N/A
04/07/2025
13,320
55
3
58
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
97
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
7.20%
Quarterly
Quarterly
N/A
11/11/2022
ZAR
105,000
$
424
$
(20)
$
404
3
Month
KRW
Certificate
of
Deposit
Receive
1.41%
Quarterly
Quarterly
N/A
01/28/2022
$
8,790,000
(78)
—
(78)
3
Month
KRW
Certificate
of
Deposit
Receive
1.31%
Quarterly
Quarterly
N/A
11/22/2029
1,391,000
(46)
—
(46)
3
Month
KRW
Certificate
of
Deposit
Receive
1.39%
Quarterly
Quarterly
N/A
12/18/2029
1,690,489
(67)
—
(67)
3
Month
KRW
Certificate
of
Deposit
Receive
1.75%
Annual
Annual
N/A
03/17/2030
12,855,000
(829)
—
(829)
3
Month
KRW
Certificate
of
Deposit
Pay
2.00%
Annual
Annual
N/A
03/17/2022
85,700,000
1,289
1
1,290
3
Month
USD
LIBOR
Receive
2.93%
Semiannual
Quarterly
N/A
06/11/2025
3,963
(513)
1
(512)
3
Month
USD
LIBOR
Receive
2.88%
Semiannual
Quarterly
N/A
08/21/2025
6,337
(830)
—
(830)
3
Month
USD
LIBOR
Receive
2.75%
Semiannual
Quarterly
N/A
03/29/2025
1,575
(182)
1
(181)
3
Month
USD
LIBOR
Pay
2.98%
Quarterly
Semiannual
N/A
08/07/2023
4,428
383
—
383
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
05/22/2025
3,180
(425)
1
(424)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
08/07/2028
2,362
(477)
—
(477)
3
Month
USD
LIBOR
Receive
3.09%
Semiannual
Quarterly
N/A
10/01/2024
4,584
(546)
—
(546)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
04/25/2025
2,700
(344)
1
(343)
3
Month
USD
LIBOR
Receive
2.77%
Semiannual
Quarterly
N/A
03/07/2025
3,938
(455)
1
(454)
3
Month
USD
LIBOR
Receive
0.41%
Semiannual
Quarterly
N/A
05/07/2025
686
(2)
—
(2)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
05/04/2025
2,381
(306)
—
(306)
3
Month
USD
LIBOR
Receive
0.41%
Semiannual
Quarterly
N/A
05/07/2025
1,197
(3)
—
(3)
6
Month
Budapest
Interbank
Offered
Rate
Receive
2.09%
Annual
Semiannual
N/A
07/11/2023
HUF
482,425
(73)
11
(62)
6
Month
Euro
Interbank
Offered
Rate
Receive
0.05%
Annual
Semiannual
N/A
08/27/2034
EUR
870
(7)
—
(7)
6
Month
Euro
Interbank
Offered
Rate
Receive
0.06%
Annual
Semiannual
N/A
04/18/2024
1,487
(25)
1
(24)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.19)%
Semiannual
Annual
N/A
08/27/2029
1,305
(5)
1
(4)
6
Month
Prague
Interbank
Offered
Rate
Pay
1.59%
Semiannual
Annual
N/A
08/16/2021
CZK
85,188
38
1
39
6
Month
Thai
Baht
Interest
Rate
Fixing
Pay
0.81%
Semiannual
Semiannual
N/A
09/16/2025
$
55,500
(3)
—
(3)
6
Month
Thai
Baht
Interest
Rate
Fixing
Pay
0.73%
Semiannual
Semiannual
N/A
09/16/2023
90,465
3
—
3
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.44%
Semiannual
Annual
N/A
09/02/2024
PLN
22,192
217
7
224
6
Month
Warsaw
Interbank
Offered
Rate
Pay
0.74%
Semiannual
Annual
N/A
04/03/2022
11,655
19
1
20
6
Month
Warsaw
Interbank
Offered
Rate
Pay
0.76%
Semiannual
Annual
N/A
03/31/2022
11,823
21
—
21
6
Month
Warsaw
Interbank
Offered
Rate
Receive
0.87%
Annual
Semiannual
N/A
03/31/2025
4,785
(21)
—
(21)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.85%
Semiannual
Annual
N/A
01/28/2022
146,200
897
1
898
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.52%
Annual
Semiannual
N/A
03/09/2022
3,605
(34)
1
(33)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
01/28/2030
31,050
(933)
(3)
(936)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
0.86%
Annual
Annual
N/A
04/02/2025
4,786
(21)
—
(21)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
0.74%
Semiannual
Annual
N/A
04/02/2022
11,823
20
—
20
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.54%
Annual
Semiannual
N/A
05/17/2023
5,873
(98)
1
(97)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
0.87%
Annual
Semiannual
N/A
04/03/2025
4,717
(20)
(1)
(21)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.51%
Semiannual
Annual
N/A
02/19/2022
27,840
131
2
133
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.37%
Annual
Semiannual
N/A
04/26/2022
6,600
(68)
2
(66)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.48%
Annual
Semiannual
N/A
03/23/2023
4,152
(63)
2
(61)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.55%
Annual
Semiannual
N/A
03/10/2022
6,420
(62)
2
(60)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
0.65%
Semiannual
Annual
N/A
04/07/2022
11,655
15
—
15
6
Month
Warsaw
Interbank
Offered
Rate
Receive
0.77%
Annual
Semiannual
N/A
04/07/2025
4,717
(15)
—
(15)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
05/27/2024
11,140
(180)
—
(180)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.00%
Annual
Annual
N/A
04/13/2023
$
19,980
(4)
—
(4)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.00%
Quarterly
Quarterly
N/A
05/13/2023
13,455
(4)
—
(4)
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.47%
Semiannual
Semiannual
N/A
01/13/2025
CLP
960,000
(78)
(2)
(80)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.40%
Annual
Annual
N/A
03/31/2021
$
13,602
(187)
—
(187)
Total
$
(3,812)
$
22
$
(3,790)
Amounts
in
thousands.
(a)
Forward
swap.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
98
Total
Return
Equity
Basket
Swaps
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
Goldman
Sachs
&
Co
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
02/01/2029-
02/07/2029
$
196
$
—
$
—
$
(198)
Goldman
Sachs
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
12/22/2028-
12/26/2028
—
—
—
—
Goldman
Sachs
&
Co
Floating
rate
based
on
the
Federal
Funds
Rate
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
05/15/2030-
06/05/2030
5,637
—
—
(297)
JPMorgan
Chase
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
11/30/2020
401
—
—
(24)
JPMorgan
Chase
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
ZAR
Monthly
11/04/2020
146
—
—
(19)
JPMorgan
Chase
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
12/04/2020-
05/24/2021
1,343
—
—
(21)
JPMorgan
Chase
Floating
rate
based
on
Norway
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
NOK
Monthly
11/02/2020-
11/04/2020
746
—
16
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
03/25/2021
101
—
—
(2)
JPMorgan
Chase
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
11/02/2020-
12/07/2020
1,456
—
—
(344)
JPMorgan
Chase
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
11/03/2020-
12/04/2020
3,849
—
904
—
JPMorgan
Chase
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CNY
Monthly
12/04/2020
1,159
—
55
—
Morgan
Stanley
&
Co
(a)
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
08/24/2020-
10/05/2021
23,432
—
1,880
—
Morgan
Stanley
&
Co
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
01/28/2021
1,238
—
118
—
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
05/20/2021
2,049
—
—
(944)
Morgan
Stanley
&
Co
(b)
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
10/09/2020-
02/10/2021
14,908
—
207
—
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CNY
Monthly
12/01/2021
304
—
—
(10)
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
Bankers
Acceptance
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CAD
Monthly
10/07/2020
71
—
2
—
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
01/21/2021-
11/30/2021
2,179
—
—
(113)
UBS
AG
Floating
rate
based
on
the
Stockholm
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
SEK
Monthly
05/30/2023
165
—
—
(2)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
99
Total
Return
Equity
Basket
Swaps
(continued)
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
UBS
AG
Floating
rate
based
on
1
Day
Reserve
Bank
of
Australia
Cash
Rate
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
AUD
Monthly
11/28/2022
$
639
$
—
$
70
$
—
UBS
AG
Floating
rate
based
on
1
Month
CHF
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CHF
Monthly
02/01/2022
806
—
—
(72)
UBS
AG
Floating
rate
based
on
3
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CNY
Monthly
04/01/2022
64
—
—
(6)
UBS
AG
(c)
Floating
rate
based
on
1
Month
EUR
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
02/01/2022
7,911
—
723
—
UBS
AG
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
02/01/2022
2,392
—
—
(143)
UBS
AG
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
03/01/2022
198
—
24
—
UBS
AG
Floating
rate
based
on
1
Day
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
02/01/2022
—
—
22
—
UBS
AG
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
03/01/2022
2,189
—
29
—
Total
$
73,579
$
—
$
4,050
$
(2,195)
The
expiration
dates
are
measured
from
the
commencement
of
investment
in
each
underlying
swap
position.
The
fund
pays
a
floating
rate
based
on
the
reference
rate
plus/less
a
spread.
The
spread
is
negotiated
at
the
security
level
and
is
usually
similar
within
a
region
but
may
vary
depending
on
how
difficult
it
is
to
borrow
the
security.
Notional
Amount
represents
the
total
absolute
value
of
the
underlying
securities.
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
100
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
MSYCSPX4
Index
(38,828)
$
(4,373
)
(18.66)%
Escrow
Altegrity
Inc
NPV
122,299
2,640
11.27%
Tiffany
&
Co
19,664
2,520
10.75%
Caesars
Entertainment
Corp
139,160
1,585
6.76%
Fidelity
National
Information
Services
Inc
10,159
1,410
6.02%
Amazon.com
Inc
429
1,048
4.47%
Adobe
Inc
2,321
897
3.83%
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
(10,527)
(868
)
(3.70)%
Microsoft
Corp
4,274
783
3.34%
Taubman
Centers
Inc
15,364
635
2.71%
International
Paper
Co
(16,678)
(568
)
(2.42)%
JM
Smucker
Co/The
(4,827)
(550
)
(2.35)%
Exxon
Mobil
Corp
(11,713)
(533
)
(2.27)%
Corteva
Inc
(16,581)
(453
)
(1.93)%
Dow
Inc
(11,684)
(451
)
(1.93)%
Apple
Inc
(1,406)
(447
)
(1.91)%
Eldorado
Resorts
Inc
(12,510)
(444
)
(1.89)%
PPG
Industries
Inc
(3,893)
(396
)
(1.69)%
Campbell
Soup
Co
(7,648)
(390
)
(1.66)%
Global
Payments
Inc
1,977
355
1.51%
Hershey
Co/The
(2,594)
(352
)
(1.50)%
STERIS
PLC
(1,944)
(322
)
(1.38)%
NIKE
Inc
3,146
310
1.32%
Science
Applications
International
Corp
3,445
303
1.30%
Yandex
NV
(6,768)
(272
)
(1.16)%
CH
Robinson
Worldwide
Inc
(2,311)
(187
)
(0.80)%
Bristol-Myers
Squibb
Co
55,365
182
0.78%
Morgan
Stanley
Leisure
Travel
Basket
(2,853)
(130
)
(0.56)%
T-Mobile
US
Inc
(290)
(29
)
(0.12)%
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Stoxx
Europe
600
Index
(26,526)
$
(10,316
)
(69.20)%
Getlink
SE
98,342
1,417
9.51%
Vivendi
SA
45,296
1,027
6.89%
Enel
SpA
100,563
770
5.17%
Eiffage
SA
5,489
500
3.35%
Grifols
SA
-
B
24,875
475
3.19%
Grifols
SA
(12,879)
(402
)
(2.70)%
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Worldline
SA/France
30,513
$
2,273
28.74%
Pernod
Ricard
SA
10,309
1,603
20.26%
Vinci
SA
13,041
1,202
15.19%
Sanofi
8,582
834
10.54%
Danone
SA
12,037
823
10.40%
CRH
PLC
22,276
725
9.16%
BNP
Paribas
SA
12,619
452
5.71%
(a)
Top
Underlying
Securities
YORKEBS
(b)
Top
Underlying
Securities
YRKEBSEUR
(c)
Top
Underlying
Securities
YRKUBSEUR
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
101
Reverse
Repurchase
Agreements
Counterparty
Coupon
Rate
Maturity
Date
Principal
Amount
Payable
for
Reverse
Repurchase
Agreements
Barclays
Bank
PLC
(0.10)%
Open
ended
$
425
$
(425)
Merrill
Lynch
(0.11)%
06/01/2020
8,126
(8,126)
Merrill
Lynch
(1.75)%
Open
ended
825
(829)
Merrill
Lynch
(0.65)%
Open
ended
460
(461)
Merrill
Lynch
(2.36)%
06/05/2020
1,067
(1,069)
Merrill
Lynch
(2.41)%
06/05/2020
2,295
(2,299)
Merrill
Lynch
(1.75)%
Open
ended
590
(590)
Merrill
Lynch
(0.16)%
06/01/2020
6,742
(6,742)
Merrill
Lynch
(0.16)%
06/01/2020
10,108
(10,108)
Merrill
Lynch
(0.16)%
06/01/2020
4,736
(4,736)
Merrill
Lynch
(0.16)%
06/01/2020
53,102
(53,103)
Merrill
Lynch
(0.16)%
06/01/2020
9,046
(9,046)
Merrill
Lynch
(0.16)%
06/01/2020
19,077
(19,077)
Merrill
Lynch
(0.06)%
06/01/2020
24,628
(24,628)
Merrill
Lynch
(0.16)%
06/01/2020
24,167
(24,167)
Merrill
Lynch
(0.16)%
06/01/2020
39,463
(39,464)
Merrill
Lynch
(0.16)%
06/01/2020
4,866
(4,866)
Merrill
Lynch
(0.16)%
06/01/2020
7,848
(7,848)
Merrill
Lynch
(0.16)%
06/01/2020
42,208
(42,209)
Merrill
Lynch
(0.16)%
06/01/2020
20,447
(20,447)
Merrill
Lynch
(0.16)%
06/01/2020
1,429
(1,429)
Merrill
Lynch
(0.16)%
06/01/2020
37,907
(37,908)
Merrill
Lynch
(0.16)%
06/01/2020
18,849
(18,849)
Merrill
Lynch
(0.16)%
06/01/2020
27,928
(27,928)
Merrill
Lynch
(0.16)%
06/01/2020
14,313
(14,313)
Total
$
(380,667)
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
102
Short
Sales
Outstanding
COMMON
STOCKS
-
(16.16)%
Shares
Value
(000's)
Advertising
-
(0.06)%
Dentsu
Group
Inc
5,000
$
134
Hakuhodo
DY
Holdings
Inc
9,000
112
JCDecaux
SA
13,034
267
$
513
Aerospace
&
Defense
-
(0.29)%
Boeing
Co/The
5,550
809
Dassault
Aviation
SA
119
101
General
Dynamics
Corp
1,671
245
Kawasaki
Heavy
Industries
Ltd
14,100
224
L3Harris
Technologies
Inc
3,885
775
Thales
SA
2,287
175
$
2,329
Agriculture
-
(0.11)%
Altria
Group
Inc
6,324
247
Archer-Daniels-Midland
Co
15,100
594
$
841
Airlines
-
(0.16)%
ANA
Holdings
Inc
3,000
72
Delta
Air
Lines
Inc
13,954
352
United
Airlines
Holdings
Inc
26,639
747
$
1,171
Apparel
-
(0.11)%
Gildan
Activewear
Inc
6,100
85
Puma
SE
334
24
Ralph
Lauren
Corp
1,093
83
Under
Armour
Inc
-
Class
C
68,952
542
VF
Corp
2,905
163
$
897
Automobile
Manufacturers
-
(0.22)%
Daimler
AG
1,948
73
Ford
Motor
Co
30,077
172
General
Motors
Co
12,058
312
PACCAR
Inc
7,098
524
Suzuki
Motor
Corp
3,000
105
Toyota
Motor
Corp
8,700
548
$
1,734
Automobile
Parts
&
Equipment
-
(0.22)%
Aisin
Seiki
Co
Ltd
12,300
389
Aptiv
PLC
1,020
77
BorgWarner
Inc
4,780
154
Cie
Generale
des
Etablissements
Michelin
SCA
4,443
450
NGK
Insulators
Ltd
11,300
166
Sumitomo
Electric
Industries
Ltd
25,000
292
Toyoda
Gosei
Co
Ltd
7,300
157
$
1,685
Banks
-
(0.55)%
Bank
of
New
York
Mellon
Corp/The
5,257
195
Canadian
Imperial
Bank
of
Commerce
3,700
237
Citigroup
Inc
56
3
Citizens
Financial
Group
Inc
3,584
86
Comerica
Inc
5,830
212
Commonwealth
Bank
of
Australia
6,491
276
Danske
Bank
A/S
30,221
375
First
Republic
Bank/CA
658
71
Huntington
Bancshares
Inc/OH
33,939
302
Japan
Post
Bank
Co
Ltd
30,800
255
KeyCorp
6,077
72
Nordea
Bank
Abp
66,870
455
Northern
Trust
Corp
5,967
471
Regions
Financial
Corp
20,569
233
State
Street
Corp
8,354
509
SVB
Financial
Group
1,570
337
Toronto-Dominion
Bank/The
3,200
137
Wells
Fargo
&
Co
3,546
94
$
4,320
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Beverages
-
(0.38)%
Brown-Forman
Corp
-
B
Shares
8,659
$
571
Coca-Cola
Amatil
Ltd
30,722
180
Coca-Cola
Bottlers
Japan
Holdings
Inc
44,900
892
Coca-Cola
European
Partners
PLC
5,506
208
Heineken
NV
268
25
Monster
Beverage
Corp
6,614
476
Remy
Cointreau
SA
5,029
598
$
2,950
Biotechnology
-
(0.19)%
Alnylam
Pharmaceuticals
Inc
1,220
165
Amgen
Inc
839
193
BeiGene
Ltd
ADR
631
104
Bio-Rad
Laboratories
Inc
303
149
Exact
Sciences
Corp
1,165
100
Gilead
Sciences
Inc
1,122
87
Vertex
Pharmaceuticals
Inc
2,737
788
$
1,586
Building
Materials
-
(0.18)%
Cie
de
Saint-Gobain
8,005
262
CRH
PLC
9,587
309
James
Hardie
Industries
PLC
22,293
385
Johnson
Controls
International
plc
3,276
103
Owens
Corning
3,455
181
Vulcan
Materials
Co
1,841
199
$
1,439
Chemicals
-
(0.58)%
Air
Products
and
Chemicals
Inc
1,745
422
Albemarle
Corp
13,964
1,068
BASF
SE
2,718
148
Daicel
Corp
8,100
69
Dow
Inc
2,634
102
Ecolab
Inc
155
33
International
Flavors
&
Fragrances
Inc
5,399
719
LANXESS
AG
5,062
263
Linde
PLC
458
93
Mosaic
Co/The
73,964
894
Nippon
Paint
Holdings
Co
Ltd
4,500
315
Sherwin-Williams
Co/The
709
421
Umicore
SA
6,158
274
$
4,821
Commercial
Services
-
(0.44)%
AMERCO
332
107
Atlantia
SpA
10,097
166
Automatic
Data
Processing
Inc
629
92
Equifax
Inc
3,118
479
Global
Payments
Inc
3,170
569
GMO
Payment
Gateway
Inc
5,800
654
IHS
Markit
Ltd
2,107
146
MarketAxess
Holdings
Inc
660
336
Moody's
Corp
315
84
Rollins
Inc
14,385
601
Verisk
Analytics
Inc
1,308
226
Worldline
SA/France
1,488
112
$
3,572
Computers
-
(0.52)%
Atos
SE
5,887
448
Dell
Technologies
Inc
7,218
358
DXC
Technology
Co
8,787
125
Fortinet
Inc
5,712
795
Fujitsu
Ltd
1,050
108
Hewlett
Packard
Enterprise
Co
12,791
124
International
Business
Machines
Corp
1,286
161
Leidos
Holdings
Inc
4,037
425
NEC
Corp
3,250
146
Seagate
Technology
PLC
6,116
324
Western
Digital
Corp
22,148
983
$
3,997
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
103
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Consumer
Products
-
(0.06)%
Church
&
Dwight
Co
Inc
4,193
$
315
Clorox
Co/The
683
141
$
456
Cosmetics
&
Personal
Care
-
(0.07)%
Coty
Inc
45,428
165
Kose
Corp
1,900
239
Shiseido
Co
Ltd
3,200
196
$
600
Distribution
&
Wholesale
-
(0.15)%
Copart
Inc
4,814
430
Fastenal
Co
14,253
588
Jardine
Cycle
&
Carriage
Ltd
17,100
266
$
1,284
Diversified
Financial
Services
-
(0.35)%
Ameriprise
Financial
Inc
3,886
544
Capital
One
Financial
Corp
3,119
212
Charles
Schwab
Corp/The
8,108
291
CME
Group
Inc
705
129
Japan
Exchange
Group
Inc
10,100
218
London
Stock
Exchange
Group
PLC
1,142
114
Raymond
James
Financial
Inc
8,500
589
SBI
Holdings
Inc/Japan
7,500
161
St
James's
Place
PLC
37,266
425
Tokyo
Century
Corp
1,800
79
$
2,762
Electric
-
(0.91)%
Alliant
Energy
Corp
5,290
261
Ameren
Corp
5,890
440
American
Electric
Power
Co
Inc
3,056
261
CenterPoint
Energy
Inc
10,306
183
Chugoku
Electric
Power
Co
Inc/The
44,900
618
CMS
Energy
Corp
5,872
344
Consolidated
Edison
Inc
6,625
498
DTE
Energy
Co
2,545
274
Duke
Energy
Corp
476
41
E.ON
SE
34,461
366
Edison
International
6,951
404
Entergy
Corp
7,730
787
Eversource
Energy
2,962
248
Exelon
Corp
7,386
283
FirstEnergy
Corp
3,071
130
Kyushu
Electric
Power
Co
Inc
18,600
155
Pinnacle
West
Capital
Corp
4,396
343
PPL
Corp
925
26
RWE
AG
5,737
191
Sempra
Energy
907
115
Southern
Co/The
1,084
62
SSE
PLC
27,259
419
WEC
Energy
Group
Inc
4,855
445
Xcel
Energy
Inc
5,857
381
$
7,275
Electrical
Components
&
Equipment
-
(0.03)%
Prysmian
SpA
11,471
246
Electronics
-
(0.25)%
Agilent
Technologies
Inc
1,716
151
Allegion
plc
2,014
201
FLIR
Systems
Inc
3,812
176
Keysight
Technologies
Inc
4,862
526
Mettler-Toledo
International
Inc
391
311
Murata
Manufacturing
Co
Ltd
5,000
281
Nidec
Corp
2,000
123
Waters
Corp
273
55
$
1,824
Energy
-
Alternate
Sources
-
(0.01)%
Siemens
Gamesa
Renewable
Energy
SA
4,150
71
Engineering
&
Construction
-
(0.40)%
Ferrovial
SA
27,668
754
Ferrovial
SA
-
Rights
28,229
11
Jacobs
Engineering
Group
Inc
19,272
1,619
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Engineering
&
Construction
(continued)
Japan
Airport
Terminal
Co
Ltd
13,200
$
581
Kajima
Corp
18,600
211
$
3,176
Entertainment
-
(0.15)%
Flutter
Entertainment
PLC
3,568
455
Live
Nation
Entertainment
Inc
10,202
502
Oriental
Land
Co
Ltd/Japan
1,750
254
$
1,211
Food
-
(0.55)%
Barry
Callebaut
AG
89
180
Conagra
Brands
Inc
14,835
516
Hormel
Foods
Corp
8,784
429
Jardine
Strategic
Holdings
Ltd
3,500
70
Kellogg
Co
2,801
183
Kikkoman
Corp
2,700
136
Kraft
Heinz
Co/The
9,180
279
Kroger
Co/The
21,099
688
McCormick
&
Co
Inc/MD
2,575
451
Mowi
ASA
5,370
101
NH
Foods
Ltd
3,100
115
Ocado
Group
PLC
34,416
936
Yamazaki
Baking
Co
Ltd
7,200
129
$
4,213
Food
Service
-
(0.02)%
Sodexo
SA
2,048
138
Forest
Products
&
Paper
-
(0.02)%
Mondi
PLC
3,477
65
Stora
Enso
Oyj
8,893
109
$
174
Gas
-
(0.16)%
Atmos
Energy
Corp
9,111
936
NiSource
Inc
6,954
165
UGI
Corp
4,725
150
$
1,251
Hand
&
Machine
Tools
-
(0.03)%
Stanley
Black
&
Decker
Inc
2,004
251
Healthcare
-
Products
-
(0.47)%
ABIOMED
Inc
2,323
520
Align
Technology
Inc
1,780
437
Boston
Scientific
Corp
4,093
155
Cooper
Cos
Inc/The
1,087
345
Edwards
Lifesciences
Corp
1,298
292
IDEXX
Laboratories
Inc
1,348
416
Insulet
Corp
1,427
269
Intuitive
Surgical
Inc
464
269
QIAGEN
NV
4,189
183
ResMed
Inc
908
146
Teleflex
Inc
923
335
Thermo
Fisher
Scientific
Inc
299
104
Varian
Medical
Systems
Inc
2,468
300
$
3,771
Healthcare
-
Services
-
(0.23)%
Centene
Corp
7,332
486
Fresenius
Medical
Care
AG
&
Co
KGaA
4,614
390
Fresenius
SE
&
Co
KGaA
2,086
101
HCA
Healthcare
Inc
2,042
218
Humana
Inc
277
114
IQVIA
Holdings
Inc
505
76
Laboratory
Corp
of
America
Holdings
1,657
291
Ryman
Healthcare
Ltd
22,648
171
$
1,847
Holding
Companies
-
Diversified
-
(0.01)%
Jardine
Matheson
Holdings
Ltd
2,000
80
Home
Builders
-
(0.09)%
DR
Horton
Inc
2,402
133
Iida
Group
Holdings
Co
Ltd
8,400
125
NVR
Inc
121
390
$
648
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
104
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Home
Furnishings
-
(0.08)%
Electrolux
AB
7,539
$
124
Panasonic
Corp
8,400
75
Sony
Corp
4,400
285
Whirlpool
Corp
493
60
$
544
Insurance
-
(0.59)%
Aflac
Inc
7,100
259
Allstate
Corp/The
1,095
107
Arthur
J
Gallagher
&
Co
1,873
177
Chubb
Ltd
3,615
441
Great-West
Lifeco
Inc
6,600
107
Japan
Post
Holdings
Co
Ltd
74,600
544
Japan
Post
Insurance
Co
Ltd
1,400
18
Lincoln
National
Corp
5,323
202
Progressive
Corp/The
6,436
500
Prudential
Financial
Inc
4,117
251
Reinsurance
Group
of
America
Inc
3,205
291
Suncorp
Group
Ltd
65,063
401
Swiss
Re
AG
5,665
387
Travelers
Cos
Inc/The
2,520
270
Unum
Group
18,172
275
Voya
Financial
Inc
11,584
522
$
4,752
Internet
-
(0.39)%
Booking
Holdings
Inc
181
297
CyberAgent
Inc
7,900
399
E*TRADE
Financial
Corp
5,843
266
eBay
Inc
3,518
160
Expedia
Group
Inc
746
59
Iliad
SA
2,558
448
Netflix
Inc
478
201
Okta
Inc
1,300
254
Shopify
Inc
900
683
Twitter
Inc
8,005
248
VeriSign
Inc
142
31
$
3,046
Investment
Companies
-
(0.13)%
Industrivarden
AB
2,854
64
Kinnevik
AB
5,438
138
L
E
Lundbergforetagen
AB
1,965
98
Pargesa
Holding
SA
9,027
686
$
986
Iron
&
Steel
-
(0.17)%
Hitachi
Metals
Ltd
81,100
934
Nucor
Corp
1,670
71
voestalpine
AG
15,378
300
$
1,305
Leisure
Products
&
Services
-
(0.11)%
Carnival
Corp
5,688
90
Harley-Davidson
Inc
5,118
109
Norwegian
Cruise
Line
Holdings
Ltd
20,503
321
Royal
Caribbean
Cruises
Ltd
7,022
364
$
884
Lodging
-
(0.17)%
City
Developments
Ltd
62,000
339
Crown
Resorts
Ltd
11,817
76
Hilton
Worldwide
Holdings
Inc
585
46
Las
Vegas
Sands
Corp
3,944
189
MGM
Resorts
International
7,422
128
Whitbread
PLC
8,216
258
Whitbread
PLC
-
Rights
4,108
51
Wynn
Resorts
Ltd
2,837
236
$
1,323
Machinery
-
Construction
&
Mining
-
(0.04)%
Hitachi
Construction
Machinery
Co
Ltd
9,200
243
Hitachi
Ltd
2,100
68
$
311
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Machinery
-
Diversified
-
(0.46)%
ANDRITZ
AG
5,303
$
199
CNH
Industrial
NV
39,211
239
Daifuku
Co
Ltd
2,000
156
Deere
&
Co
4,466
679
IDEX
Corp
1,756
280
Ingersoll
Rand
Inc
26,431
745
Rockwell
Automation
Inc
3,168
685
Westinghouse
Air
Brake
Technologies
Corp
2,753
168
Xylem
Inc/NY
5,877
390
$
3,541
Media
-
(0.41)%
DISH
Network
Corp
9,140
289
Liberty
Broadband
Corp
-
C
Shares
5,401
738
Liberty
Global
PLC
-
A
Shares
12,098
257
News
Corp
-
A
Shares
29,182
357
Pearson
PLC
45,756
262
ViacomCBS
Inc
26,252
544
Walt
Disney
Co/The
6,892
808
$
3,255
Metal
Fabrication
&
Hardware
-
(0.06)%
MISUMI
Group
Inc
17,700
471
Mining
-
(0.20)%
Anglo
American
PLC
6,749
143
Boliden
AB
25,546
558
Cameco
Corp
8,000
87
Freeport-McMoRan
Inc
30,648
278
Lundin
Mining
Corp
30,000
138
Mitsubishi
Materials
Corp
16,700
381
$
1,585
Miscellaneous
Manufacturers
-
(0.39)%
AO
Smith
Corp
10,976
521
General
Electric
Co
81,268
534
JSR
Corp
23,100
455
Nikon
Corp
14,800
136
Parker-Hannifin
Corp
3,653
657
Smiths
Group
PLC
16,461
268
Textron
Inc
15,702
486
$
3,057
Office
&
Business
Equipment
-
(0.18)%
FUJIFILM
Holdings
Corp
8,300
381
Ricoh
Co
Ltd
71,700
531
Seiko
Epson
Corp
24,900
282
Zebra
Technologies
Corp
556
145
$
1,339
Oil
&
Gas
-
(0.65)%
Cabot
Oil
&
Gas
Corp
43,752
868
Canadian
Natural
Resources
Ltd
6,800
124
Diamondback
Energy
Inc
13,058
556
Equinor
ASA
19,098
279
Hess
Corp
17,904
850
Marathon
Oil
Corp
66,777
357
Noble
Energy
Inc
59,383
518
Occidental
Petroleum
Corp
55,695
721
Parkland
Corp/Canada
4,100
115
Pioneer
Natural
Resources
Co
6,229
571
Repsol
SA
9,787
92
Woodside
Petroleum
Ltd
704
11
$
5,062
Oil
&
Gas
Services
-
(0.03)%
National
Oilwell
Varco
Inc
16,203
202
Packaging
&
Containers
-
(0.13)%
Ball
Corp
1,961
140
Crown
Holdings
Inc
2,009
131
Packaging
Corp
of
America
2,054
208
Westrock
Co
17,324
486
$
965
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
105
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Pharmaceuticals
-
(0.43)%
Alfresa
Holdings
Corp
3,100
$
63
AmerisourceBergen
Corp
553
53
Becton
Dickinson
and
Co
583
144
Cigna
Corp
833
164
DexCom
Inc
795
301
Eisai
Co
Ltd
1,000
78
Eli
Lilly
and
Co
1,663
254
McKesson
Corp
1,040
165
Medipal
Holdings
Corp
3,300
65
Mylan
NV
11,756
200
Perrigo
Co
PLC
22,855
1,252
Taisho
Pharmaceutical
Holdings
Co
Ltd
1,900
121
Zoetis
Inc
3,441
480
$
3,340
Pipelines
-
(0.21)%
Cheniere
Energy
Inc
5,146
228
Keyera
Corp
12,100
192
Kinder
Morgan
Inc
12,268
194
Koninklijke
Vopak
NV
4,501
246
ONEOK
Inc
21,768
799
Williams
Cos
Inc/The
5,228
107
$
1,766
Private
Equity
-
(0.07)%
Brookfield
Asset
Management
Inc
8,100
254
Onex
Corp
6,000
282
$
536
Real
Estate
-
(0.10)%
Aeon
Mall
Co
Ltd
16,100
226
Deutsche
Wohnen
SE
4,080
183
Hulic
Co
Ltd
7,100
72
Tokyu
Fudosan
Holdings
Corp
58,700
297
$
778
REITs
-
(0.33)%
Digital
Realty
Trust
Inc
3,236
465
Duke
Realty
Corp
3,498
121
Equinix
Inc
1,083
756
Equity
Residential
3,096
187
Healthpeak
Properties
Inc
8,602
212
Host
Hotels
&
Resorts
Inc
8,770
105
Iron
Mountain
Inc
6,520
168
Regency
Centers
Corp
6,815
292
Vornado
Realty
Trust
4,434
161
Welltower
Inc
1,748
89
$
2,556
Retail
-
(0.66)%
Aeon
Co
Ltd
5,300
117
CarMax
Inc
9,381
826
Chipotle
Mexican
Grill
Inc
521
523
Costco
Wholesale
Corp
606
187
Dollar
Tree
Inc
2,686
263
Domino's
Pizza
Inc
1,658
640
Genuine
Parts
Co
5,874
490
Nordstrom
Inc
15,027
242
O'Reilly
Automotive
Inc
591
247
Ross
Stores
Inc
4,641
450
Ryohin
Keikaku
Co
Ltd
6,000
91
Starbucks
Corp
2,834
221
TJX
Cos
Inc/The
11,605
612
Tractor
Supply
Co
3,421
417
$
5,326
Savings
&
Loans
-
(0.04)%
People's
United
Financial
Inc
24,432
280
Semiconductors
-
(0.39)%
Advanced
Micro
Devices
Inc
6,953
374
Analog
Devices
Inc
2,877
325
Broadcom
Inc
415
121
IPG
Photonics
Corp
5,093
792
Marvell
Technology
Group
Ltd
11,877
387
Microchip
Technology
Inc
2,709
260
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Semiconductors
(continued)
ON
Semiconductor
Corp
15,211
$
251
QUALCOMM
Inc
2,829
229
SUMCO
Corp
5,900
91
Xilinx
Inc
2,053
189
$
3,019
Shipbuilding
-
(0.07)%
Huntington
Ingalls
Industries
Inc
1,928
386
Wartsila
OYJ
Abp
22,284
175
$
561
Software
-
(0.73)%
Akamai
Technologies
Inc
2,288
242
ANSYS
Inc
153
43
Broadridge
Financial
Solutions
Inc
1,151
139
Fidelity
National
Information
Services
Inc
3,651
507
Fiserv
Inc
4,939
527
Guidewire
Software
Inc
2,510
257
Intuit
Inc
968
281
Jack
Henry
&
Associates
Inc
2,262
409
Konami
Holdings
Corp
7,900
278
MongoDB
Inc
2,300
534
MSCI
Inc
1,753
576
Nexon
Co
Ltd
4,600
96
Paycom
Software
Inc
1,491
443
Splunk
Inc
2,928
544
Take-Two
Interactive
Software
Inc
1,672
228
Twilio
Inc
1,583
313
WiseTech
Global
Ltd
14,852
202
$
5,619
Telecommunications
-
(0.41)%
Arista
Networks
Inc
2,576
602
CenturyLink
Inc
39,223
385
Corning
Inc
34,854
795
Juniper
Networks
Inc
27,292
662
Motorola
Solutions
Inc
942
127
Nippon
Telegraph
&
Telephone
Corp
15,150
345
Orange
SA
12,918
155
SES
SA
12,137
90
Telefonaktiebolaget
LM
Ericsson
6,744
62
$
3,223
Transportation
-
(0.52)%
CH
Robinson
Worldwide
Inc
1,555
126
FedEx
Corp
6,168
805
Getlink
SE
36,359
526
JB
Hunt
Transport
Services
Inc
1,776
212
Kansas
City
Southern
1,416
213
Kintetsu
Group
Holdings
Co
Ltd
9,800
482
Knight-Swift
Transportation
Holdings
Inc
13,701
570
Nagoya
Railroad
Co
Ltd
4,600
139
Nippon
Express
Co
Ltd
3,400
175
Old
Dominion
Freight
Line
Inc
362
62
SG
Holdings
Co
Ltd
3,400
111
Union
Pacific
Corp
873
148
United
Parcel
Service
Inc
2,167
216
Yamato
Holdings
Co
Ltd
11,300
251
$
4,036
Water
-
(0.04)%
American
Water
Works
Co
Inc
2,477
315
TOTAL
COMMON
STOCKS
(proceeds
$121,102)
$
127,116
PREFERRED
STOCKS
-
(0.03)%
Shares
Value
(000's)
Consumer
Products
-
(0.03)%
Henkel
AG
&
Co
KGaA
1.85%
2,234
$
200
TOTAL
PREFERRED
STOCKS
(proceeds
$228)
$
200
BONDS
-
(0.62)%
Principal
Amount
(000's)
Value
(000's)
Media
-
(0.02)%
Clear
Channel
Worldwide
Holdings
Inc
9.25%,
02/15/2024
$
148
$
136
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
106
Short
Sales
Outstanding
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
-
(0.13)%
Rackspace
Hosting
Inc
8.63%,
11/15/2024
$
1,000
$
1,042
Sovereign
-
(0.45)%
Republic
of
South
Africa
Government
International
Bond
4.85%,
09/27/2027
3,071
2,925
Turkey
Government
International
Bond
11.88%,
01/15/2030
497
655
$
3,580
Telecommunications
-
(0.02)%
GTT
Communications
Inc
7.88%,
12/31/2024
225
125
TOTAL
BONDS
(proceeds
$4,829)
$
4,883
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
(35.05)%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
(34.29)%
0.13%,
04/30/2022
$
28,868
$
28,848
0.13%,
05/15/2023
22,355
22,313
0.25%,
04/15/2023
31,793
31,854
0.50%,
03/31/2025
33,933
34,250
1.13%,
02/28/2022
33,668
34,230
1.38%,
02/15/2023
36,123
37,288
1.50%,
02/15/2030
41
44
1.75%,
12/31/2024
48,332
51,547
2.00%,
02/15/2050
2,779
3,185
2.38%,
05/15/2027
23,080
26,069
2.38%,
11/15/2049
92
113
$
269,741
U.S.
Treasury
Inflation-Indexed
Obligations
-
(0.76)%
0.13%,
04/15/2025
2,774
2,863
0.25%,
07/15/2029
2,921
3,130
$
5,993
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(proceeds
$269,098)
$
275,734
TOTAL
SHORT
SALES
(proceeds
$395,257)
$
407,933
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
107
INVESTMENT
COMPANIES
-
2.49%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
1.47%
iShares
MSCI
EAFE
ETF
261,200
$
15,578
Money
Market
Funds
-
1.02%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
2,112,171
2,112
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
8,611,202
8,611
$
10,723
TOTAL
INVESTMENT
COMPANIES
$
26,301
COMMON
STOCKS
-
97.32%
Shares
Held
Value
(000's)
Advertising
-
0.20%
Dentsu
Group
Inc
17,600
470
Hakuhodo
DY
Holdings
Inc
19,000
236
JCDecaux
SA
(d)
6,915
142
Publicis
Groupe
SA
17,576
501
WPP
PLC
100,505
765
$
2,114
Aerospace
&
Defense
-
0.93%
Airbus
SE
(d)
47,705
3,049
BAE
Systems
PLC
260,393
1,607
Dassault
Aviation
SA
(d)
204
172
Elbit
Systems
Ltd
1,984
277
Kawasaki
Heavy
Industries
Ltd
11,600
184
Leonardo
SpA
32,872
206
MTU
Aero
Engines
AG
(d)
4,311
697
Rolls-Royce
Holdings
PLC
(d)
156,837
535
Safran
SA
(d)
26,027
2,508
Thales
SA
8,655
663
$
9,898
Agriculture
-
1.10%
British
American
Tobacco
PLC
186,313
7,389
Imperial
Brands
PLC
76,870
1,402
Japan
Tobacco
Inc
97,500
1,935
Swedish
Match
AB
13,805
964
$
11,690
Airlines
-
0.10%
ANA
Holdings
Inc
(e)
9,400
227
Deutsche
Lufthansa
AG
(d),(e)
19,421
197
Japan
Airlines
Co
Ltd
9,300
183
Qantas
Airways
Ltd
59,332
158
Singapore
Airlines
Ltd
(e)
109,700
297
$
1,062
Apparel
-
1.89%
Adidas
AG
(d)
15,463
4,101
Burberry
Group
PLC
32,869
614
Hermes
International
2,574
2,151
Kering
SA
6,156
3,227
LVMH
Moet
Hennessy
Louis
Vuitton
SE
22,562
9,465
Puma
SE
(d)
6,738
485
$
20,043
Automobile
Manufacturers
-
2.65%
Bayerische
Motoren
Werke
AG
26,893
1,576
Daimler
AG
69,515
2,590
Ferrari
NV
10,237
1,740
Fiat
Chrysler
Automobiles
NV
(d)
89,121
795
Hino
Motors
Ltd
23,400
159
Honda
Motor
Co
Ltd
132,500
3,450
Isuzu
Motors
Ltd
44,900
422
Mazda
Motor
Corp
46,300
299
Mitsubishi
Motors
Corp
54,500
154
Nissan
Motor
Co
Ltd
188,700
715
Peugeot
SA
(d)
47,770
686
Renault
SA
15,613
354
Subaru
Corp
50,000
1,108
Suzuki
Motor
Corp
30,000
1,046
Toyota
Motor
Corp
172,400
10,865
Volkswagen
AG
(d)
2,638
420
Volvo
AB
-
B
Shares
120,761
1,723
$
28,102
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Automobile
Parts
&
Equipment
-
0.88%
Aisin
Seiki
Co
Ltd
13,200
$
418
Bridgestone
Corp
43,500
1,444
Cie
Generale
des
Etablissements
Michelin
SCA
13,784
1,395
Continental
AG
8,935
884
Denso
Corp
35,300
1,360
Faurecia
SE
(d)
6,167
239
JTEKT
Corp
16,800
136
Koito
Manufacturing
Co
Ltd
8,500
361
NGK
Insulators
Ltd
21,300
313
NGK
Spark
Plug
Co
Ltd
12,800
207
Pirelli
&
C
SpA
(f)
32,489
146
Stanley
Electric
Co
Ltd
10,700
261
Sumitomo
Electric
Industries
Ltd
61,300
717
Sumitomo
Rubber
Industries
Ltd
13,900
142
Toyoda
Gosei
Co
Ltd
5,300
114
Toyota
Industries
Corp
11,900
611
Valeo
SA
18,599
460
Yokohama
Rubber
Co
Ltd/The
9,700
147
$
9,355
Banks
-
8.05%
ABN
AMRO
Bank
NV
(f)
34,357
273
Aozora
Bank
Ltd
9,700
180
Australia
&
New
Zealand
Banking
Group
Ltd
230,358
2,742
Banco
Bilbao
Vizcaya
Argentaria
SA
541,573
1,668
Banco
Espirito
Santo
SA
(d),(g),(h)
131,709
—
Banco
Santander
SA
1,349,740
3,086
Bank
Hapoalim
BM
92,691
571
Bank
Leumi
Le-Israel
BM
119,853
637
Bank
of
East
Asia
Ltd/The
106,400
193
Bank
of
Kyoto
Ltd/The
4,500
162
Bankinter
SA
54,756
233
Banque
Cantonale
Vaudoise
2,446
237
Barclays
PLC
1,407,180
2,012
BNP
Paribas
SA
(d)
91,360
3,288
BOC
Hong
Kong
Holdings
Ltd
301,000
848
CaixaBank
SA
291,491
542
Chiba
Bank
Ltd/The
43,100
206
Commerzbank
AG
(d)
81,375
315
Commonwealth
Bank
of
Australia
143,781
6,106
Concordia
Financial
Group
Ltd
86,100
282
Credit
Agricole
SA
(d)
93,720
823
Credit
Suisse
Group
AG
197,222
1,813
Danske
Bank
A/S
(d)
56,021
695
DBS
Group
Holdings
Ltd
145,900
2,018
Deutsche
Bank
AG
(d)
159,473
1,335
DNB
ASA
(d)
77,014
1,051
Erste
Group
Bank
AG
(d)
22,692
502
FinecoBank
Banca
Fineco
SpA
(d)
49,492
580
Fukuoka
Financial
Group
Inc
14,000
228
Hang
Seng
Bank
Ltd
62,200
955
HSBC
Holdings
PLC
1,649,896
7,598
ING
Groep
NV
316,502
2,058
Intesa
Sanpaolo
SpA
(d)
1,208,834
2,103
Israel
Discount
Bank
Ltd
95,071
302
Japan
Post
Bank
Co
Ltd
33,000
273
KBC
Group
NV
20,293
1,065
Lloyds
Banking
Group
PLC
5,708,644
2,105
Macquarie
Group
Ltd
27,345
2,011
Mediobanca
Banca
di
Credito
Finanziario
SpA
50,444
332
Mitsubishi
UFJ
Financial
Group
Inc
992,900
4,122
Mizrahi
Tefahot
Bank
Ltd
11,490
225
Mizuho
Financial
Group
Inc
1,959,400
2,446
National
Australia
Bank
Ltd
259,597
3,061
Natixis
SA
(d)
76,830
172
Nordea
Bank
Abp
(d)
263,153
1,792
Oversea-Chinese
Banking
Corp
Ltd
268,700
1,631
Raiffeisen
Bank
International
AG
12,023
220
Resona
Holdings
Inc
170,000
615
Royal
Bank
of
Scotland
Group
PLC
392,912
537
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
108
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Banks
(continued)
Seven
Bank
Ltd
48,000
$
137
Shinsei
Bank
Ltd
12,700
162
Shizuoka
Bank
Ltd/The
34,500
220
Skandinaviska
Enskilda
Banken
AB
(d)
132,189
1,150
Societe
Generale
SA
(d)
65,847
974
Standard
Chartered
PLC
220,660
1,007
Sumitomo
Mitsui
Financial
Group
Inc
106,000
3,076
Sumitomo
Mitsui
Trust
Holdings
Inc
27,244
806
Svenska
Handelsbanken
AB
(d)
126,366
1,194
Swedbank
AB
(d)
73,555
924
UBS
Group
AG
(d)
297,765
3,188
UniCredit
SpA
(d)
172,326
1,475
United
Overseas
Bank
Ltd
95,600
1,324
Westpac
Banking
Corp
293,344
3,346
$
85,232
Beverages
-
2.09%
Anheuser-Busch
InBev
SA/NV
61,888
2,888
Asahi
Group
Holdings
Ltd
31,300
1,178
Budweiser
Brewing
Co
APAC
Ltd
(f)
139,700
394
Carlsberg
A/S
8,689
1,126
Coca-Cola
Amatil
Ltd
41,164
241
Coca-Cola
Bottlers
Japan
Holdings
Inc
10,100
201
Coca-Cola
European
Partners
PLC
16,672
629
Coca-Cola
HBC
AG
16,234
411
Davide
Campari-Milano
SpA
47,174
385
Diageo
PLC
189,810
6,622
Heineken
Holding
NV
9,358
769
Heineken
NV
21,053
1,928
Ito
En
Ltd
4,200
241
Kirin
Holdings
Co
Ltd
66,900
1,373
Pernod
Ricard
SA
17,247
2,688
Remy
Cointreau
SA
1,834
218
Suntory
Beverage
&
Food
Ltd
11,300
462
Treasury
Wine
Estates
Ltd
58,476
376
$
22,130
Biotechnology
-
0.87%
BeiGene
Ltd
ADR
(d)
3,134
519
CSL
Ltd
36,866
6,827
Genmab
A/S
(d)
5,287
1,637
H
Lundbeck
A/S
5,663
219
$
9,202
Building
Materials
-
1.52%
AGC
Inc/Japan
15,600
442
Cie
de
Saint-Gobain
42,027
1,375
CRH
PLC
63,780
2,054
Daikin
Industries
Ltd
20,300
2,989
Geberit
AG
3,009
1,472
HeidelbergCement
AG
12,087
605
Investment
AB
Latour
12,023
215
James
Hardie
Industries
PLC
35,982
622
Kingspan
Group
PLC
12,497
772
LafargeHolcim
Ltd
(d)
42,522
1,773
LIXIL
Group
Corp
21,700
303
Nibe
Industrier
AB
(d)
25,327
562
Rinnai
Corp
2,900
245
Sika
AG
11,514
1,978
Taiheiyo
Cement
Corp
9,900
235
TOTO
Ltd
11,600
462
$
16,104
Chemicals
-
3.23%
Air
Liquide
SA
38,427
5,225
Air
Water
Inc
14,900
217
Akzo
Nobel
NV
16,213
1,331
Arkema
SA
5,603
491
Asahi
Kasei
Corp
102,000
811
BASF
SE
74,600
4,060
Brenntag
AG
12,550
668
Chr
Hansen
Holding
A/S
8,569
832
Clariant
AG
(d)
16,177
299
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
(continued)
Covestro
AG
(f)
14,122
$
525
Croda
International
PLC
10,470
674
Daicel
Corp
20,300
172
EMS-Chemie
Holding
AG
666
495
Evonik
Industries
AG
17,033
421
Givaudan
SA
751
2,704
ICL
Group
Ltd
57,514
201
Johnson
Matthey
PLC
15,720
414
Kansai
Paint
Co
Ltd
14,400
299
Koninklijke
DSM
NV
14,000
1,791
Kuraray
Co
Ltd
26,000
274
LANXESS
AG
(d)
6,748
350
Mitsubishi
Chemical
Holdings
Corp
104,100
613
Mitsubishi
Gas
Chemical
Co
Inc
12,900
193
Mitsui
Chemicals
Inc
15,000
313
Nippon
Paint
Holdings
Co
Ltd
11,900
833
Nissan
Chemical
Corp
10,100
448
Nitto
Denko
Corp
12,900
700
Novozymes
A/S
17,344
947
Shin-Etsu
Chemical
Co
Ltd
28,800
3,373
Showa
Denko
KK
11,000
264
Solvay
SA
(e)
6,020
460
Sumitomo
Chemical
Co
Ltd
121,100
376
Symrise
AG
10,451
1,151
Taiyo
Nippon
Sanso
Corp
12,200
205
Toray
Industries
Inc
112,700
549
Tosoh
Corp
21,200
296
Umicore
SA
16,011
711
Yara
International
ASA
14,382
495
$
34,181
Commercial
Services
-
2.87%
Adecco
Group
AG
12,605
606
Adyen
NV
(d),(f)
1,467
1,924
Amadeus
IT
Group
SA
35,029
1,832
Ashtead
Group
PLC
36,617
1,093
Atlantia
SpA
(d)
40,243
662
Benesse
Holdings
Inc
5,900
160
Brambles
Ltd
125,346
976
Bureau
Veritas
SA
23,860
488
Dai
Nippon
Printing
Co
Ltd
19,800
451
Edenred
19,786
828
Experian
PLC
73,771
2,587
GMO
Payment
Gateway
Inc
3,400
383
Intertek
Group
PLC
13,110
897
Nexi
SpA
(d),(f)
30,592
502
Nihon
M&A
Center
Inc
12,000
482
Park24
Co
Ltd
8,900
172
Persol
Holdings
Co
Ltd
14,500
192
Randstad
NV
9,678
407
Recruit
Holdings
Co
Ltd
103,400
3,562
RELX
PLC
157,038
3,655
Rentokil
Initial
PLC
150,206
929
Secom
Co
Ltd
17,100
1,484
Securitas
AB
(d)
25,434
340
SGS
SA
492
1,161
Sohgo
Security
Services
Co
Ltd
5,800
285
Toppan
Printing
Co
Ltd
21,400
367
Transurban
Group
222,143
2,122
Wirecard
AG
(e)
9,535
1,011
Worldline
SA/France
(d),(f)
11,136
836
$
30,394
Computers
-
1.13%
Atos
SE
(d)
7,983
608
Capgemini
SE
13,066
1,350
Check
Point
Software
Technologies
Ltd
(d)
9,455
1,037
Computershare
Ltd
39,539
346
CyberArk
Software
Ltd
(d)
3,077
319
Fujitsu
Ltd
16,000
1,649
Ingenico
Group
SA
4,917
684
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
109
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
Itochu
Techno-Solutions
Corp
7,800
$
264
Logitech
International
SA
13,356
793
NEC
Corp
20,200
908
Nomura
Research
Institute
Ltd
26,043
691
NTT
Data
Corp
51,300
595
Obic
Co
Ltd
5,600
973
Otsuka
Corp
8,500
412
SCSK
Corp
4,100
201
Teleperformance
4,770
1,136
$
11,966
Consumer
Products
-
0.55%
Henkel
AG
&
Co
KGaA
8,442
679
Reckitt
Benckiser
Group
PLC
57,647
5,163
$
5,842
Cosmetics
&
Personal
Care
-
2.58%
Beiersdorf
AG
8,188
860
Essity
AB
(d)
49,260
1,631
Kao
Corp
39,200
3,156
Kose
Corp
2,800
353
Lion
Corp
18,300
421
L'Oreal
SA
20,400
5,983
Pigeon
Corp
9,400
368
Pola
Orbis
Holdings
Inc
7,500
147
Shiseido
Co
Ltd
32,500
1,994
Unicharm
Corp
32,800
1,225
Unilever
NV
118,642
6,131
Unilever
PLC
94,908
5,096
$
27,365
Distribution
&
Wholesale
-
1.08%
Bunzl
PLC
27,356
640
Ferguson
PLC
18,307
1,444
ITOCHU
Corp
109,500
2,355
Jardine
Cycle
&
Carriage
Ltd
8,100
126
Marubeni
Corp
134,000
652
Mitsubishi
Corp
109,900
2,568
Mitsui
&
Co
Ltd
134,600
2,047
Sumitomo
Corp
96,600
1,164
Toyota
Tsusho
Corp
17,300
440
$
11,436
Diversified
Financial
Services
-
1.82%
Acom
Co
Ltd
32,500
133
AerCap
Holdings
NV
(d)
10,691
345
Afterpay
Ltd
(d)
17,346
548
Amundi
SA
(d),(f)
4,927
368
ASX
Ltd
15,725
927
Daiwa
Securities
Group
Inc
117,400
489
Deutsche
Boerse
AG
15,433
2,541
Hargreaves
Lansdown
PLC
26,968
615
Hong
Kong
Exchanges
&
Clearing
Ltd
97,400
3,428
Japan
Exchange
Group
Inc
41,400
893
Julius
Baer
Group
Ltd
(d)
18,179
783
London
Stock
Exchange
Group
PLC
25,567
2,550
Magellan
Financial
Group
Ltd
10,365
405
Mebuki
Financial
Group
Inc
76,500
174
Mitsubishi
UFJ
Lease
&
Finance
Co
Ltd
32,900
161
Nomura
Holdings
Inc
255,500
1,101
ORIX
Corp
107,700
1,425
SBI
Holdings
Inc/Japan
19,290
415
Schroders
PLC
10,098
372
Singapore
Exchange
Ltd
65,400
384
St
James's
Place
PLC
43,454
496
Standard
Life
Aberdeen
PLC
189,127
607
Tokyo
Century
Corp
3,500
153
$
19,313
Electric
-
2.88%
AGL
Energy
Ltd
51,901
582
AusNet
Services
151,348
177
Chubu
Electric
Power
Co
Inc
52,400
706
Chugoku
Electric
Power
Co
Inc/The
23,400
322
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electric
(continued)
CLP
Holdings
Ltd
133,500
$
1,310
E.ON
SE
182,352
1,934
EDP
-
Energias
de
Portugal
SA
207,892
971
Electric
Power
Development
Co
Ltd
11,200
212
Electricite
de
France
SA
50,415
450
Elia
Group
SA/NV
2,509
294
Endesa
SA
25,798
616
Enel
SpA
660,599
5,108
Engie
SA
(d)
148,349
1,763
Fortum
Oyj
36,075
695
HK
Electric
Investments
&
HK
Electric
Investments
Ltd
215,500
214
Iberdrola
SA
471,751
5,108
Kansai
Electric
Power
Co
Inc/The
57,300
572
Kyushu
Electric
Power
Co
Inc
30,900
258
Mercury
NZ
Ltd
55,325
160
Meridian
Energy
Ltd
104,086
308
Origin
Energy
Ltd
143,048
562
Orsted
A/S
(f)
15,366
1,807
Power
Assets
Holdings
Ltd
113,000
633
Red
Electrica
Corp
SA
35,158
619
RWE
AG
47,435
1,581
SSE
PLC
83,653
1,286
Terna
Rete
Elettrica
Nazionale
SpA
114,279
776
Tohoku
Electric
Power
Co
Inc
34,800
361
Tokyo
Electric
Power
Co
Holdings
Inc
(d)
117,600
398
Uniper
SE
16,349
511
Verbund
AG
5,532
247
$
30,541
Electrical
Components
&
Equipment
-
0.66%
Brother
Industries
Ltd
18,200
345
Casio
Computer
Co
Ltd
15,800
279
Legrand
SA
21,683
1,486
Prysmian
SpA
19,602
420
Schneider
Electric
SE
44,907
4,446
$
6,976
Electronics
-
1.70%
ABB
Ltd
149,685
2,970
Assa
Abloy
AB
81,409
1,662
Halma
PLC
30,836
895
Hirose
Electric
Co
Ltd
2,699
323
Hoya
Corp
30,800
2,898
Kyocera
Corp
26,000
1,408
MINEBEA
MITSUMI
Inc
29,500
520
Murata
Manufacturing
Co
Ltd
46,700
2,627
Nidec
Corp
36,200
2,228
Omron
Corp
15,100
1,003
TDK
Corp
10,600
995
Venture
Corp
Ltd
22,400
243
Yokogawa
Electric
Corp
18,600
269
$
18,041
Energy
-
Alternate
Sources
-
0.19%
Siemens
Gamesa
Renewable
Energy
SA
(d)
19,364
329
Vestas
Wind
Systems
A/S
16,154
1,650
$
1,979
Engineering
&
Construction
-
1.39%
ACS
Actividades
de
Construccion
y
Servicios
SA
20,752
531
Aena
SME
SA
(d),(f)
5,484
783
Aeroports
de
Paris
2,413
251
Auckland
International
Airport
Ltd
98,700
400
Bouygues
SA
(d)
18,509
568
Cellnex
Telecom
SA
(f)
20,343
1,141
CIMIC
Group
Ltd
7,889
131
CK
Infrastructure
Holdings
Ltd
54,000
271
Eiffage
SA
(d)
6,765
618
Ferrovial
SA
39,371
1,073
Fraport
AG
Frankfurt
Airport
Services
Worldwide
(d),(e)
3,380
169
HOCHTIEF
AG
2,010
178
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
110
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Engineering
&
Construction
(continued)
Infrastrutture
Wireless
Italiane
SpA
(f)
19,492
$
198
Japan
Airport
Terminal
Co
Ltd
4,200
185
JGC
Holdings
Corp
17,900
193
Kajima
Corp
36,600
416
Keppel
Corp
Ltd
118,200
496
Lendlease
Group
53,722
464
NWS
Holdings
Ltd
127,500
101
Obayashi
Corp
52,800
490
Shimizu
Corp
44,900
380
Singapore
Technologies
Engineering
Ltd
126,900
287
Skanska
AB
(d)
27,630
555
Sydney
Airport
89,938
352
Taisei
Corp
15,600
542
Vinci
SA
41,853
3,905
$
14,678
Entertainment
-
0.67%
Aristocrat
Leisure
Ltd
46,678
805
Evolution
Gaming
Group
AB
(f)
10,325
607
Flutter
Entertainment
PLC
11,152
1,423
Genting
Singapore
Ltd
491,300
274
GVC
Holdings
PLC
47,332
465
La
Francaise
des
Jeux
SAEM
(d),(f)
6,980
238
Oriental
Land
Co
Ltd/Japan
16,300
2,368
Sega
Sammy
Holdings
Inc
14,100
184
Tabcorp
Holdings
Ltd
164,497
354
Toho
Co
Ltd/Tokyo
9,100
334
$
7,052
Environmental
Control
-
0.02%
Kurita
Water
Industries
Ltd
8,100
224
Food
-
5.38%
a2
Milk
Co
Ltd
(d)
59,770
708
Ajinomoto
Co
Inc
37,800
645
Associated
British
Foods
PLC
28,936
654
Barry
Callebaut
AG
246
496
Calbee
Inc
6,900
200
Carrefour
SA
49,176
748
Casino
Guichard
Perrachon
SA
(d),(e)
3,523
133
Chocoladefabriken
Lindt
&
Spruengli
AG
-
PC
87
729
Chocoladefabriken
Lindt
&
Spruengli
AG
-
REG
8
698
Coles
Group
Ltd
108,344
1,109
Colruyt
SA
4,499
271
Dairy
Farm
International
Holdings
Ltd
27,558
116
Danone
SA
50,156
3,451
ICA
Gruppen
AB
(e)
8,168
385
J
Sainsbury
PLC
143,787
345
Jardine
Strategic
Holdings
Ltd
17,977
359
Jeronimo
Martins
SGPS
SA
(d)
20,445
349
Just
Eat
Takeaway.com
NV
(d),(f)
9,856
1,073
Kerry
Group
PLC
12,904
1,599
Kikkoman
Corp
11,900
600
Kobe
Bussan
Co
Ltd
4,900
253
Koninklijke
Ahold
Delhaize
NV
89,403
2,267
MEIJI
Holdings
Co
Ltd
9,200
695
METRO
AG
14,625
137
Mowi
ASA
35,701
673
Nestle
SA
241,715
26,245
NH
Foods
Ltd
6,700
248
Nisshin
Seifun
Group
Inc
16,095
251
Nissin
Foods
Holdings
Co
Ltd
5,100
427
Ocado
Group
PLC
(d)
37,539
1,021
Orkla
ASA
61,004
548
Seven
&
i
Holdings
Co
Ltd
61,300
2,103
Tesco
PLC
795,438
2,259
Toyo
Suisan
Kaisha
Ltd
7,200
377
WH
Group
Ltd
(f)
778,000
677
Wilmar
International
Ltd
156,100
441
Wm
Morrison
Supermarkets
PLC
(e)
195,334
453
Woolworths
Group
Ltd
102,439
2,413
Yakult
Honsha
Co
Ltd
9,600
590
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
(continued)
Yamazaki
Baking
Co
Ltd
9,900
$
177
$
56,923
Food
Service
-
0.25%
Compass
Group
PLC
144,876
2,124
Sodexo
SA
7,187
485
$
2,609
Forest
Products
&
Paper
-
0.39%
Mondi
PLC
39,438
742
Oji
Holdings
Corp
70,100
353
Smurfit
Kappa
Group
PLC
18,357
599
Stora
Enso
Oyj
47,251
580
Svenska
Cellulosa
AB
SCA
(d)
49,208
616
UPM-Kymmene
Oyj
43,351
1,251
$
4,141
Gas
-
0.76%
Enagas
SA
20,216
456
Hong
Kong
&
China
Gas
Co
Ltd
826,020
1,393
National
Grid
PLC
284,944
3,278
Naturgy
Energy
Group
SA
23,980
447
Osaka
Gas
Co
Ltd
30,500
612
Snam
SpA
165,441
775
Toho
Gas
Co
Ltd
6,100
303
Tokyo
Gas
Co
Ltd
30,600
733
$
7,997
Hand
&
Machine
Tools
-
0.36%
Amada
Co
Ltd
27,000
241
Disco
Corp
2,300
515
Fuji
Electric
Co
Ltd
10,400
278
Makita
Corp
18,300
622
Schindler
Holding
AG
-
PC
3,308
773
Schindler
Holding
AG
-
REG
1,636
382
Techtronic
Industries
Co
Ltd
112,000
977
$
3,788
Healthcare
-
Products
-
2.37%
Alcon
Inc
(d)
39,936
2,585
Ambu
A/S
13,259
448
Asahi
Intecc
Co
Ltd
15,900
488
Carl
Zeiss
Meditec
AG
(d)
3,270
335
Cochlear
Ltd
5,209
672
Coloplast
A/S
9,650
1,632
Demant
A/S
(d)
8,966
254
DiaSorin
SpA
2,044
430
EssilorLuxottica
SA
23,100
3,006
Fisher
&
Paykel
Healthcare
Corp
Ltd
46,667
870
GN
Store
Nord
A/S
10,399
566
Koninklijke
Philips
NV
(d)
72,835
3,311
Olympus
Corp
94,700
1,647
QIAGEN
NV
(d)
18,747
819
Sartorius
Stedim
Biotech
(d)
2,247
612
Shimadzu
Corp
18,100
492
Siemens
Healthineers
AG
(f)
12,184
633
Smith
&
Nephew
PLC
71,037
1,449
Sonova
Holding
AG
4,447
980
Straumann
Holding
AG
839
684
Sysmex
Corp
13,600
1,091
Terumo
Corp
52,500
2,065
$
25,069
Healthcare
-
Services
-
0.92%
BioMerieux
3,365
484
Eurofins
Scientific
SE
1,071
728
Fresenius
Medical
Care
AG
&
Co
KGaA
(d)
17,309
1,464
Fresenius
SE
&
Co
KGaA
(d)
33,955
1,642
Lonza
Group
AG
6,050
2,988
NMC
Health
PLC
(g),(h)
7,238
—
Orpea
4,197
492
PeptiDream
Inc
(d)
7,700
346
Ramsay
Health
Care
Ltd
14,524
679
Ryman
Healthcare
Ltd
32,489
245
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
111
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Healthcare
-
Services
(continued)
Sonic
Healthcare
Ltd
36,657
$
689
$
9,757
Holding
Companies
-
Diversified
-
0.23%
CK
Hutchison
Holdings
Ltd
219,632
1,352
Jardine
Matheson
Holdings
Ltd
17,853
718
Swire
Pacific
Ltd
40,500
213
Washington
H
Soul
Pattinson
&
Co
Ltd
8,750
111
$
2,394
Home
Builders
-
0.47%
Barratt
Developments
PLC
82,708
511
Berkeley
Group
Holdings
PLC
10,224
521
Daiwa
House
Industry
Co
Ltd
46,100
1,144
Iida
Group
Holdings
Co
Ltd
12,020
178
Persimmon
PLC
25,903
739
Sekisui
Chemical
Co
Ltd
29,600
415
Sekisui
House
Ltd
50,600
966
Taylor
Wimpey
PLC
266,691
478
$
4,952
Home
Furnishings
-
0.89%
Electrolux
AB
18,320
302
Hoshizaki
Corp
4,200
339
Panasonic
Corp
179,400
1,607
SEB
SA
1,840
254
Sharp
Corp/Japan
17,400
190
Sony
Corp
103,500
6,703
$
9,395
Insurance
-
4.69%
Admiral
Group
PLC
15,506
448
Aegon
NV
145,336
390
Ageas
SA/NV
14,502
495
AIA
Group
Ltd
982,200
8,060
Allianz
SE
33,885
6,141
AMP
Ltd
(d)
279,125
304
Assicurazioni
Generali
SpA
89,250
1,244
Aviva
PLC
318,528
983
AXA
SA
157,095
2,883
Baloise
Holding
AG
3,766
539
CNP
Assurances
(d)
13,943
148
Dai-ichi
Life
Holdings
Inc
87,700
1,151
Direct
Line
Insurance
Group
PLC
111,679
366
Gjensidige
Forsikring
ASA
(d)
16,245
296
Hannover
Rueck
SE
4,899
791
Insurance
Australia
Group
Ltd
187,707
767
Japan
Post
Holdings
Co
Ltd
128,000
934
Japan
Post
Insurance
Co
Ltd
18,300
233
Legal
&
General
Group
PLC
484,519
1,196
M&G
PLC
211,168
368
Mapfre
SA
87,545
154
Medibank
Pvt
Ltd
223,684
425
MS&AD
Insurance
Group
Holdings
Inc
36,200
1,066
Muenchener
Rueckversicherungs-Gesellschaft
AG
in
Muenchen
11,722
2,673
NN
Group
NV
23,719
728
Prudential
PLC
211,283
2,740
QBE
Insurance
Group
Ltd
117,841
694
RSA
Insurance
Group
PLC
83,793
410
Sampo
Oyj
38,256
1,375
SCOR
SE
(d)
12,879
323
Sompo
Holdings
Inc
27,350
976
Sony
Financial
Holdings
Inc
12,400
299
Suncorp
Group
Ltd
102,417
632
Swiss
Life
Holding
AG
2,594
919
Swiss
Re
AG
23,934
1,634
T&D
Holdings
Inc
43,800
398
Tokio
Marine
Holdings
Inc
52,000
2,256
Tryg
A/S
9,817
276
Zurich
Insurance
Group
AG
12,152
3,932
$
49,647
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Internet
-
1.19%
Auto
Trader
Group
PLC
(f)
78,465
$
546
CyberAgent
Inc
8,200
415
Delivery
Hero
SE
(d),(f)
10,396
1,000
Iliad
SA
1,203
211
Kakaku.com
Inc
11,000
267
LINE
Corp
(d)
4,900
245
M3
Inc
35,900
1,450
Mercari
Inc
(d)
6,700
201
MonotaRO
Co
Ltd
10,200
371
Prosus
NV
(d)
39,588
3,303
Rakuten
Inc
70,000
637
Scout24
AG
(f)
8,738
669
SEEK
Ltd
27,166
365
Trend
Micro
Inc/Japan
10,700
589
United
Internet
AG
8,327
343
Wix.com
Ltd
(d)
4,154
924
Z
Holdings
Corp
215,600
887
ZOZO
Inc
8,900
164
$
12,587
Investment
Companies
-
0.53%
Eurazeo
SE
(d)
3,193
156
EXOR
NV
8,809
475
Groupe
Bruxelles
Lambert
SA
6,554
532
Industrivarden
AB
(d)
12,889
289
Investor
AB
36,996
1,985
Kinnevik
AB
19,650
498
L
E
Lundbergforetagen
AB
(d)
6,173
308
Melrose
Industries
PLC
394,593
569
Pargesa
Holding
SA
3,136
238
Sofina
SA
1,252
342
Wendel
SE
2,179
201
$
5,593
Iron
&
Steel
-
0.36%
ArcelorMittal
SA
(d)
58,220
558
BlueScope
Steel
Ltd
41,061
302
Evraz
PLC
41,275
145
Fortescue
Metals
Group
Ltd
137,541
1,273
Hitachi
Metals
Ltd
17,500
202
JFE
Holdings
Inc
40,000
295
Nippon
Steel
Corp
65,677
606
thyssenkrupp
AG
(d),(e)
32,867
223
voestalpine
AG
9,427
184
$
3,788
Leisure
Products
&
Services
-
0.19%
Shimano
Inc
6,000
1,104
Yamaha
Corp
10,900
532
Yamaha
Motor
Co
Ltd
22,800
330
$
1,966
Lodging
-
0.43%
Accor
SA
(d)
15,388
435
City
Developments
Ltd
37,000
202
Crown
Resorts
Ltd
30,251
194
Galaxy
Entertainment
Group
Ltd
177,000
1,210
InterContinental
Hotels
Group
PLC
14,047
674
Melco
Resorts
&
Entertainment
Ltd
ADR
17,746
285
Sands
China
Ltd
197,200
775
SJM
Holdings
Ltd
162,000
181
Whitbread
PLC
10,917
342
Whitbread
PLC
-
Rights
(d)
5,458
68
Wynn
Macau
Ltd
126,800
217
$
4,583
Machinery
-
Construction
&
Mining
-
0.88%
Epiroc
AB
-
A
Shares
53,527
599
Epiroc
AB
-
B
Shares
31,675
355
Hitachi
Construction
Machinery
Co
Ltd
8,800
232
Hitachi
Ltd
78,600
2,539
Komatsu
Ltd
71,200
1,440
Mitsubishi
Electric
Corp
148,300
1,958
Mitsubishi
Heavy
Industries
Ltd
26,100
677
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
112
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Construction
&
Mining
(continued)
Sandvik
AB
(d)
91,695
$
1,533
$
9,333
Machinery
-
Diversified
-
2.26%
ANDRITZ
AG
(d)
5,913
222
Atlas
Copco
AB
-
A
Shares
54,542
2,157
Atlas
Copco
AB
-
B
Shares
31,695
1,127
CNH
Industrial
NV
(d)
83,112
507
Daifuku
Co
Ltd
8,200
642
FANUC
Corp
15,800
2,823
GEA
Group
AG
12,462
374
Hexagon
AB
(d)
22,858
1,268
Husqvarna
AB
33,943
252
Keyence
Corp
14,860
6,121
KION
Group
AG
5,277
295
Kone
Oyj
27,607
1,856
Kubota
Corp
84,300
1,135
Metso
OYJ
8,549
279
Miura
Co
Ltd
7,000
301
Nabtesco
Corp
9,200
287
SMC
Corp/Japan
4,700
2,380
Spirax-Sarco
Engineering
PLC
5,984
734
Sumitomo
Heavy
Industries
Ltd
9,000
206
THK
Co
Ltd
9,800
256
Yaskawa
Electric
Corp
19,600
707
$
23,929
Media
-
0.49%
Bollore
SA
71,674
206
Informa
PLC
122,005
699
ITV
PLC
294,254
293
Pearson
PLC
62,356
357
Schibsted
ASA
-
B
Shares
(d)
7,962
191
Telenet
Group
Holding
NV
3,723
152
Vivendi
SA
67,350
1,540
Wolters
Kluwer
NV
22,176
1,770
$
5,208
Metal
Fabrication
&
Hardware
-
0.17%
Maruichi
Steel
Tube
Ltd
4,600
118
MISUMI
Group
Inc
23,100
615
NSK
Ltd
29,200
215
SKF
AB
30,919
572
Tenaris
SA
38,355
241
$
1,761
Mining
-
2.29%
Anglo
American
PLC
99,759
2,112
Antofagasta
PLC
32,030
350
BHP
Group
Ltd
239,266
5,631
BHP
Group
PLC
171,545
3,373
Boliden
AB
22,216
485
Evolution
Mining
Ltd
131,510
535
Glencore
PLC
(d)
811,660
1,533
Mitsubishi
Materials
Corp
9,100
207
Newcrest
Mining
Ltd
65,620
1,330
Norsk
Hydro
ASA
(d)
109,231
278
Northern
Star
Resources
Ltd
60,106
582
Rio
Tinto
Ltd
30,152
1,883
Rio
Tinto
PLC
91,105
4,941
South32
Ltd
397,962
503
Sumitomo
Metal
Mining
Co
Ltd
19,000
530
$
24,273
Miscellaneous
Manufacturers
-
1.02%
Alfa
Laval
AB
(d)
25,553
519
Alstom
SA
15,600
657
JSR
Corp
16,400
323
Knorr-Bremse
AG
3,929
416
Nikon
Corp
24,500
225
Orica
Ltd
32,859
377
Siemens
AG
62,135
6,851
Smiths
Group
PLC
32,181
525
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Miscellaneous
Manufacturers
(continued)
Toshiba
Corp
31,500
$
864
$
10,757
Office
&
Business
Equipment
-
0.35%
Canon
Inc
81,300
1,670
FUJIFILM
Holdings
Corp
29,300
1,344
Ricoh
Co
Ltd
54,500
404
Seiko
Epson
Corp
22,800
258
$
3,676
Oil
&
Gas
-
3.36%
Ampol
Ltd
20,282
367
BP
PLC
1,644,992
6,290
DCC
PLC
7,993
671
Eni
SpA
206,621
1,879
Equinor
ASA
81,352
1,186
Galp
Energia
SGPS
SA
40,714
484
Idemitsu
Kosan
Co
Ltd
15,981
356
Inpex
Corp
83,200
583
JXTG
Holdings
Inc
249,430
964
Lundin
Energy
AB
15,096
368
Neste
Oyj
34,362
1,400
Oil
Search
Ltd
160,268
373
OMV
AG
11,962
395
Repsol
SA
114,477
1,078
Royal
Dutch
Shell
PLC
-
A
Shares
334,301
5,291
Royal
Dutch
Shell
PLC
-
B
Shares
302,474
4,618
Santos
Ltd
143,813
515
TOTAL
SA
200,760
7,613
Woodside
Petroleum
Ltd
76,535
1,155
$
35,586
Pharmaceuticals
-
10.27%
Alfresa
Holdings
Corp
15,300
309
Astellas
Pharma
Inc
151,300
2,703
AstraZeneca
PLC
106,578
11,478
Bayer
AG
79,795
5,455
Chugai
Pharmaceutical
Co
Ltd
18,200
2,690
Daiichi
Sankyo
Co
Ltd
46,100
4,332
Eisai
Co
Ltd
20,500
1,609
Galapagos
NV
(d)
3,415
693
GlaxoSmithKline
PLC
407,439
8,439
Grifols
SA
24,228
756
Hikma
Pharmaceuticals
PLC
11,808
376
Hisamitsu
Pharmaceutical
Co
Inc
4,200
213
Ipsen
SA
3,064
240
Kobayashi
Pharmaceutical
Co
Ltd
4,000
358
Kyowa
Kirin
Co
Ltd
21,800
592
Medipal
Holdings
Corp
15,000
297
Merck
KGaA
10,498
1,210
Nippon
Shinyaku
Co
Ltd
3,700
320
Novartis
AG
174,485
15,190
Novo
Nordisk
A/S
143,716
9,414
Ono
Pharmaceutical
Co
Ltd
30,100
863
Orion
Oyj
8,542
457
Otsuka
Holdings
Co
Ltd
31,800
1,434
Recordati
SpA
8,494
387
Roche
Holding
AG
57,064
19,808
Sanofi
91,655
8,965
Santen
Pharmaceutical
Co
Ltd
29,300
543
Shionogi
&
Co
Ltd
21,800
1,293
Sumitomo
Dainippon
Pharma
Co
Ltd
14,400
204
Suzuken
Co
Ltd/Aichi
Japan
5,500
200
Taisho
Pharmaceutical
Holdings
Co
Ltd
2,800
178
Takeda
Pharmaceutical
Co
Ltd
127,900
5,003
Teva
Pharmaceutical
Industries
Ltd
ADR
(d)
88,769
1,112
UCB
SA
10,270
1,028
Vifor
Pharma
AG
3,696
566
$
108,715
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
113
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Pipelines
-
0.10%
APA
Group
95,833
$
742
Koninklijke
Vopak
NV
5,712
313
$
1,055
Private
Equity
-
0.22%
3i
Group
PLC
79,034
809
EQT
AB
(d)
19,350
306
Partners
Group
Holding
AG
1,519
1,265
$
2,380
Real
Estate
-
1.60%
Aeon
Mall
Co
Ltd
8,350
117
Aroundtown
SA
93,584
515
Azrieli
Group
Ltd
3,466
183
CapitaLand
Ltd
(d)
208,700
429
CK
Asset
Holdings
Ltd
210,132
1,154
Daito
Trust
Construction
Co
Ltd
5,300
561
Deutsche
Wohnen
SE
27,757
1,243
Hang
Lung
Properties
Ltd
165,000
349
Henderson
Land
Development
Co
Ltd
118,982
428
Hongkong
Land
Holdings
Ltd
94,783
358
Hulic
Co
Ltd
24,700
250
Kerry
Properties
Ltd
53,500
127
LEG
Immobilien
AG
(d)
5,605
701
Mitsubishi
Estate
Co
Ltd
96,100
1,527
Mitsui
Fudosan
Co
Ltd
75,400
1,450
New
World
Development
Co
Ltd
499,000
507
Nomura
Real
Estate
Holdings
Inc
9,400
173
REA
Group
Ltd
4,280
288
Sino
Land
Co
Ltd
253,073
297
Sumitomo
Realty
&
Development
Co
Ltd
25,200
698
Sun
Hung
Kai
Properties
Ltd
106,000
1,242
Swire
Properties
Ltd
95,200
214
Swiss
Prime
Site
AG
6,171
577
Tokyu
Fudosan
Holdings
Corp
49,800
252
UOL
Group
Ltd
37,700
183
Vonovia
SE
41,843
2,407
Wharf
Real
Estate
Investment
Co
Ltd
87,000
337
Wheelock
&
Co
Ltd
59,000
401
$
16,968
REITs
-
1.40%
Ascendas
Real
Estate
Investment
Trust
249,750
556
British
Land
Co
PLC/The
71,502
362
CapitaLand
Commercial
Trust
219,500
273
CapitaLand
Mall
Trust
209,800
303
Covivio
3,899
228
Daiwa
House
REIT
Investment
Corp
160
395
Dexus
89,051
536
Gecina
SA
3,724
478
GLP
J-Reit
(d)
295
393
Goodman
Group
133,656
1,373
GPT
Group/The
158,214
421
ICADE
2,423
174
Japan
Prime
Realty
Investment
Corp
63
192
Japan
Real
Estate
Investment
Corp
107
582
Japan
Retail
Fund
Investment
Corp
213
281
Klepierre
SA
15,980
304
Land
Securities
Group
PLC
57,212
430
Link
REIT
167,900
1,268
Mapletree
Commercial
Trust
174,700
249
Mapletree
Logistics
Trust
216,000
315
Mirvac
Group
319,520
501
Nippon
Building
Fund
Inc
104
650
Nippon
Prologis
REIT
Inc
(d)
170
479
Nomura
Real
Estate
Master
Fund
Inc
344
422
Orix
JREIT
Inc
213
308
Scentre
Group
425,498
634
Segro
PLC
89,071
926
Stockland
193,661
462
Suntec
Real
Estate
Investment
Trust
159,900
167
Unibail-Rodamco-Westfield
11,241
596
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
United
Urban
Investment
Corp
241
$
255
Vicinity
Centres
259,394
279
$
14,792
Retail
-
2.05%
ABC-Mart
Inc
2,700
164
Aeon
Co
Ltd
53,200
1,179
Cie
Financiere
Richemont
SA
42,399
2,492
Cosmos
Pharmaceutical
Corp
1,600
230
FamilyMart
Co
Ltd
20,600
386
Fast
Retailing
Co
Ltd
4,800
2,698
Hennes
&
Mauritz
AB
(e)
65,252
992
Industria
de
Diseno
Textil
SA
88,599
2,468
Isetan
Mitsukoshi
Holdings
Ltd
27,400
184
JD
Sports
Fashion
PLC
35,572
292
Kingfisher
PLC
171,388
416
Lawson
Inc
4,000
222
Marui
Group
Co
Ltd
15,500
280
McDonald's
Holdings
Co
Japan
Ltd
5,400
287
Moncler
SpA
(d)
15,734
590
Next
PLC
10,800
653
Nitori
Holdings
Co
Ltd
6,400
1,159
Pan
Pacific
International
Holdings
Corp
33,500
676
Pandora
A/S
8,123
407
Ryohin
Keikaku
Co
Ltd
19,400
294
Shimamura
Co
Ltd
1,800
127
Sundrug
Co
Ltd
5,900
199
Swatch
Group
AG/The
-
BR
(e)
2,352
474
Swatch
Group
AG/The
-
REG
4,274
167
Tsuruha
Holdings
Inc
3,000
444
USS
Co
Ltd
17,900
312
Welcia
Holdings
Co
Ltd
3,800
320
Wesfarmers
Ltd
92,092
2,480
Yamada
Denki
Co
Ltd
58,700
286
Zalando
SE
(d),(f)
12,321
838
$
21,716
Semiconductors
-
1.93%
Advantest
Corp
16,300
809
ASM
Pacific
Technology
Ltd
25,000
229
ASML
Holding
NV
34,573
11,325
Hamamatsu
Photonics
KK
11,400
518
Infineon
Technologies
AG
101,602
2,141
Lasertec
Corp
6,000
495
Renesas
Electronics
Corp
(d)
62,600
326
Rohm
Co
Ltd
7,200
488
STMicroelectronics
NV
51,806
1,287
SUMCO
Corp
21,300
329
Tokyo
Electron
Ltd
12,200
2,455
$
20,402
Shipbuilding
-
0.04%
Wartsila
OYJ
Abp
36,046
283
Yangzijiang
Shipbuilding
Holdings
Ltd
209,700
140
$
423
Software
-
1.73%
AVEVA
Group
PLC
5,248
267
Dassault
Systemes
SE
10,679
1,823
Konami
Holdings
Corp
7,600
267
Nemetschek
SE
4,690
373
Nexon
Co
Ltd
39,400
821
Oracle
Corp
Japan
3,200
374
Sage
Group
PLC/The
88,659
760
SAP
SE
84,812
10,824
Square
Enix
Holdings
Co
Ltd
7,500
365
TeamViewer
AG
(d)
10,558
536
Temenos
AG
5,320
818
TIS
Inc
18,000
383
Ubisoft
Entertainment
SA
(d)
7,351
570
WiseTech
Global
Ltd
11,637
159
$
18,340
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
114
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Telecommunications
-
4.13%
Altice
Europe
NV
(d)
50,487
$
199
BT
Group
PLC
722,377
1,040
Deutsche
Telekom
AG
270,712
4,249
Elisa
Oyj
11,553
720
Hikari
Tsushin
Inc
1,700
373
HKT
Trust
&
HKT
Ltd
307,980
438
KDDI
Corp
134,000
3,911
Koninklijke
KPN
NV
290,156
709
Nice
Ltd
(d)
5,075
942
Nippon
Telegraph
&
Telephone
Corp
104,600
2,381
Nokia
OYJ
459,215
1,826
NTT
DOCOMO
Inc
94,900
2,608
Orange
SA
162,040
1,949
PCCW
Ltd
345,000
190
Proximus
SADP
12,355
256
SES
SA
31,144
231
Singapore
Telecommunications
Ltd
663,200
1,168
Softbank
Corp
155,400
1,973
SoftBank
Group
Corp
127,400
5,819
Spark
New
Zealand
Ltd
149,207
410
Swisscom
AG
2,105
1,095
Tele2
AB
40,561
537
Telecom
Italia
SpA/Milano
(d)
679,148
252
Telecom
Italia
SpA/Milano
-
RSP
489,584
190
Telefonaktiebolaget
LM
Ericsson
237,067
2,171
Telefonica
Deutschland
Holding
AG
84,570
258
Telefonica
SA
379,540
1,777
Telenor
ASA
58,580
888
Telia
Co
AB
205,143
702
Telstra
Corp
Ltd
338,096
724
TPG
Telecom
Ltd
30,144
170
Vodafone
Group
PLC
2,174,383
3,576
$
43,732
Textiles
-
0.02%
Teijin
Ltd
14,500
238
Toys,
Games
&
Hobbies
-
0.43%
Bandai
Namco
Holdings
Inc
16,200
901
Nintendo
Co
Ltd
9,100
3,700
$
4,601
Transportation
-
1.88%
AP
Moller
-
Maersk
A/S
-
A
263
242
AP
Moller
-
Maersk
A/S
-
B
532
524
Aurizon
Holdings
Ltd
158,623
503
Central
Japan
Railway
Co
11,700
2,005
Deutsche
Post
AG
(d)
80,345
2,516
DSV
PANALPINA
A/S
17,179
1,821
East
Japan
Railway
Co
24,600
1,932
Getlink
SE
(d)
35,738
517
Hankyu
Hanshin
Holdings
Inc
18,600
688
Kamigumi
Co
Ltd
8,000
157
Keihan
Holdings
Co
Ltd
7,800
372
Keikyu
Corp
18,000
302
Keio
Corp
8,300
495
Keisei
Electric
Railway
Co
Ltd
10,600
348
Kintetsu
Group
Holdings
Co
Ltd
13,900
683
Kuehne
+
Nagel
International
AG
(d)
4,387
634
Kyushu
Railway
Co
12,200
347
MTR
Corp
Ltd
125,500
606
Nagoya
Railroad
Co
Ltd
15,200
459
Nippon
Express
Co
Ltd
6,000
309
Nippon
Yusen
KK
12,500
181
Odakyu
Electric
Railway
Co
Ltd
24,000
601
Poste
Italiane
SpA
(f)
42,435
375
Seibu
Holdings
Inc
17,400
227
SG
Holdings
Co
Ltd
12,900
422
Tobu
Railway
Co
Ltd
15,600
554
Tokyu
Corp
40,700
647
West
Japan
Railway
Co
13,300
861
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Transportation
(continued)
Yamato
Holdings
Co
Ltd
25,100
$
558
$
19,886
Water
-
0.24%
Severn
Trent
PLC
19,328
585
Suez
SA
(e)
28,069
320
United
Utilities
Group
PLC
55,385
631
Veolia
Environnement
SA
(e)
43,771
964
$
2,500
TOTAL
COMMON
STOCKS
$
1,030,380
PREFERRED
STOCKS
-
0.54%
Shares
Held
Value
(000's)
Automobile
Manufacturers
-
0.30%
Bayerische
Motoren
Werke
AG
2.52%
4,620
$
213
Porsche
Automobil
Holding
SE
3.11%
12,438
684
Volkswagen
AG
0.00%
(d)
15,074
2,232
$
3,129
Chemicals
-
0.02%
FUCHS
PETROLUB
SE
0.97%
5,646
226
Consumer
Products
-
0.12%
Henkel
AG
&
Co
KGaA
1.85%
14,471
1,294
Electronics
-
0.10%
Sartorius
AG
0.36%
2,889
1,077
TOTAL
PREFERRED
STOCKS
$
5,726
Total
Investments
$
1,062,407
Other
Assets
and
Liabilities
- (0.35)%
(3,683)
TOTAL
NET
ASSETS
-
100.00%
$
1,058,724
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$8,712
or
0.82%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$15,553
or
1.47%
of
net
assets.
(g)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(h)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$0
or
0.00%
of
net
assets.
Schedule
of
Investments
International
Equity
Index
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
115
Portfolio
Summary (unaudited)
Location
Percent
Japan
25.76%
United
Kingdom
13.11%
Switzerland
10.41%
France
10.12%
Germany
8.72%
Australia
6.45%
Netherlands
4.45%
Hong
Kong
3.01%
Sweden
2.82%
United
States
2.49%
Denmark
2.31%
Spain
2.31%
Italy
1.97%
Finland
1.18%
Singapore
1.08%
Ireland
1.01%
Belgium
0.87%
Israel
0.63%
Norway
0.53%
New
Zealand
0.30%
Luxembourg
0.21%
Austria
0.17%
Portugal
0.17%
Macao
0.09%
China
0.06%
Jordan
0.04%
Isle
of
Man
0.04%
Chile
0.03%
Russian
Federation
0.01%
United
Arab
Emirates
0.00%
Other
Assets
and
Liabilities
(0.35)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
6,107
$
274,625
$
272,121
$
8,611
$
6,107
$
274,625
$
272,121
$
8,611
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
40
$
—
$
—
$
—
$
40
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
eMini
MSCI
EAFE;
June
2020
Long
26
$
2,243
$
343
Total
$
343
Amounts
in
thousands
except
contracts.
Schedule
of
Investments
International
Small
Company
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
116
INVESTMENT
COMPANIES
-
5.58%
Shares
Held
Value
(000's)
Money
Market
Funds
-
5.58%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
6,186,918
$
6,187
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(b),(c),(d)
42,584,427
42,585
$
48,772
TOTAL
INVESTMENT
COMPANIES
$
48,772
COMMON
STOCKS
-
95.73%
Shares
Held
Value
(000's)
Advertising
-
0.57%
Stroeer
SE
&
Co
KGaA
67,977
4,947
Aerospace
&
Defense
-
0.28%
Ultra
Electronics
Holdings
PLC
99,177
2,422
Agriculture
-
0.32%
Genus
PLC
64,013
2,769
Airlines
-
0.21%
Wizz
Air
Holdings
Plc
(d),(e)
45,129
1,835
Apparel
-
0.92%
boohoo
Group
PLC
(d)
1,154,328
5,555
Puma
SE
(d)
32,117
2,311
Yue
Yuen
Industrial
Holdings
Ltd
102,500
148
$
8,014
Automobile
Manufacturers
-
0.21%
Isuzu
Motors
Ltd
196,600
1,847
Automobile
Parts
&
Equipment
-
1.61%
Rheinmetall
AG
67,346
5,485
Toyoda
Gosei
Co
Ltd
242,600
5,208
TS
Tech
Co
Ltd
118,100
3,341
$
14,034
Banks
-
3.56%
Banco
Comercial
Portugues
SA
2,789,453
305
BAWAG
Group
AG
(d),(e)
87,876
2,903
Cembra
Money
Bank
AG
43,119
4,284
Chiba
Bank
Ltd/The
877,200
4,187
Israel
Discount
Bank
Ltd
1,253,943
3,982
Mediobanca
Banca
di
Credito
Finanziario
SpA
627,538
4,128
Mizrahi
Tefahot
Bank
Ltd
211,405
4,138
Paragon
Banking
Group
PLC
709,050
3,104
Shinsei
Bank
Ltd
318,000
4,067
$
31,098
Beverages
-
1.05%
Carlsberg
A/S
16,511
2,140
Royal
Unibrew
A/S
(d)
87,160
7,005
$
9,145
Building
Materials
-
1.74%
Buzzi
Unicem
SpA
313,187
6,263
Ibstock
PLC
(e)
1,055,874
2,402
ROCKWOOL
International
A/S
23,366
6,557
$
15,222
Chemicals
-
3.10%
Arkema
SA
(f)
62,373
5,469
Denka
Co
Ltd
224,200
5,518
Koninklijke
DSM
NV
20,028
2,562
Lintec
Corp
138,900
3,323
Solvay
SA
(f)
24,437
1,866
Sumitomo
Bakelite
Co
Ltd
142,300
4,017
Zeon
Corp
453,100
4,376
$
27,131
Commercial
Services
-
2.32%
Aggreko
PLC
363,843
2,132
Loomis
AB
(d)
187,129
4,732
Nishio
Rent
All
Co
Ltd
92,700
2,040
Park24
Co
Ltd
265,300
5,125
QinetiQ
Group
PLC
875,612
3,214
Rentokil
Initial
PLC
487,807
3,017
$
20,260
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
-
5.45%
Appen
Ltd
281,990
$
5,807
Computacenter
PLC
141,286
2,814
CyberArk
Software
Ltd
(d)
45,264
4,698
Indra
Sistemas
SA
(d)
398,671
3,112
Keywords
Studios
PLC
132,911
2,967
Logitech
International
SA
66,717
3,964
MCJ
Co
Ltd
292,300
2,286
NEC
Corp
68,000
3,058
NEC
Networks
&
System
Integration
Corp
186,000
3,510
Nomura
Research
Institute
Ltd
118,900
3,153
S&T
AG
(d),(f)
147,250
3,885
Softcat
PLC
182,797
2,603
Sopra
Steria
Group
25,251
2,997
Teleperformance
11,645
2,773
$
47,627
Distribution
&
Wholesale
-
2.11%
Inchcape
PLC
726,773
4,518
Rexel
SA
480,779
4,902
Seven
Group
Holdings
Ltd
(f)
440,723
4,785
Toromont
Industries
Ltd
87,604
4,226
$
18,431
Diversified
Financial
Services
-
2.43%
Euronext
NV
(e)
49,128
4,564
IG
Group
Holdings
PLC
384,902
3,640
Man
Group
PLC/Jersey
1,850,964
3,258
Mitsubishi
UFJ
Lease
&
Finance
Co
Ltd
401,400
1,968
TP
ICAP
PLC
492,023
2,078
Zenkoku
Hosho
Co
Ltd
147,200
5,686
$
21,194
Electric
-
2.48%
Capital
Power
Corp
246,500
4,786
Chubu
Electric
Power
Co
Inc
100,100
1,349
Hera
SpA
1,339,807
5,131
Iren
SpA
1,704,763
4,257
Northland
Power
Inc
267,800
6,193
$
21,716
Electrical
Components
&
Equipment
-
1.04%
Prysmian
SpA
246,571
5,285
Signify
NV
(d),(e)
177,350
3,819
$
9,104
Electronics
-
1.46%
Anritsu
Corp
(f)
330,800
6,560
Halma
PLC
102,254
2,968
Mycronic
AB
(d)
182,653
3,232
$
12,760
Energy
-
Alternate
Sources
-
0.37%
Vestas
Wind
Systems
A/S
31,569
3,224
Engineering
&
Construction
-
4.40%
ACS
Actividades
de
Construccion
y
Servicios
SA
57,090
1,461
Balfour
Beatty
PLC
722,247
2,244
Downer
EDI
Ltd
1,080,454
3,258
Hazama
Ando
Corp
746,700
4,841
Kajima
Corp
479,800
5,448
KAWADA
TECHNOLOGIES
Inc
25,300
1,198
Kyowa
Exeo
Corp
286,000
6,588
Penta-Ocean
Construction
Co
Ltd
918,400
4,801
SPIE
SA
179,060
2,802
Stantec
Inc
132,600
4,006
Yokogawa
Bridge
Holdings
Corp
86,900
1,767
$
38,414
Entertainment
-
1.61%
Flutter
Entertainment
PLC
51,593
6,564
GVC
Holdings
PLC
583,750
5,730
Sega
Sammy
Holdings
Inc
4,100
54
Tokyotokeiba
Co
Ltd
52,100
1,717
$
14,065
Schedule
of
Investments
International
Small
Company
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
117
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
-
4.45%
AAK
AB
(d)
184,652
$
3,378
Empire
Co
Ltd
217,300
4,918
HelloFresh
SE
(d)
147,084
6,014
J
Sainsbury
PLC
1,986,662
4,764
Morinaga
Milk
Industry
Co
Ltd
157,900
6,660
NH
Foods
Ltd
140,800
5,210
Nichirei
Corp
(f)
139,700
3,949
Sonae
SGPS
SA
3,096,906
2,319
WH
Group
Ltd
(e)
1,914,500
1,665
$
38,877
Food
Service
-
0.21%
Autogrill
SpA
330,225
1,871
Forest
Products
&
Paper
-
0.87%
Interfor
Corp
(d)
357,000
2,443
UPM-
Kymmene
Oyj
99,617
2,874
West
Fraser
Timber
Co
Ltd
84,300
2,281
$
7,598
Gas
-
0.64%
Rubis
SCA
117,132
5,613
Healthcare
-
Products
-
2.52%
Ambu
A/S
57,698
1,947
Carl
Zeiss
Meditec
AG
(d)
15,015
1,537
ConvaTec
Group
PLC
(e)
1,587,319
3,998
Elekta
AB
406,713
4,293
GN
Store
Nord
A/S
110,749
6,024
Sartorius
Stedim
Biotech
(d)
15,611
4,249
$
22,048
Healthcare
-
Services
-
2.07%
Evotec
SE
(d),(f)
125,822
3,425
ICON
PLC
(d)
34,401
5,795
Korian
SA
88,256
3,184
Orpea
48,193
5,653
$
18,057
Home
Builders
-
0.44%
Redrow
PLC
663,322
3,860
Insurance
-
2.25%
ASR
Nederland
NV
229,147
6,299
Direct
Line
Insurance
Group
PLC
1,422,226
4,659
Phoenix
Group
Holdings
PLC
797,616
6,132
Swiss
Life
Holding
AG
7,238
2,566
$
19,656
Internet
-
0.83%
Scout24
AG
(e)
94,714
7,255
Investment
Companies
-
0.46%
Kinnevik
AB
159,396
4,041
Lodging
-
0.16%
NagaCorp
Ltd
1,154,000
1,381
Machinery
-
Diversified
-
3.27%
ATS
Automation
Tooling
Systems
Inc
(d)
156,600
2,276
Bucher
Industries
AG
19,685
5,702
Husqvarna
AB
727,496
5,395
KION
Group
AG
80,485
4,506
Okuma
Holdings
Inc
109,800
4,588
SIG
Combibloc
Group
AG
(d)
362,382
6,098
$
28,565
Media
-
1.93%
Future
PLC
138,759
2,378
Nine
Entertainment
Co
Holdings
Ltd
4,004,232
3,954
ProSiebenSat.1
Media
SE
(f)
451,700
5,823
Tokyo
Broadcasting
System
Holdings
Inc
301,600
4,740
$
16,895
Mining
-
3.49%
Alacer
Gold
Corp
(d)
269,300
1,678
Equinox
Gold
Corp
(d)
325,800
2,991
IGO
Ltd
713,852
2,391
Lundin
Mining
Corp
1,063,600
4,898
NRW
Holdings
Ltd
1,518,373
1,971
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Mining
(continued)
OZ
Minerals
Ltd
472,174
$
2,979
Saracen
Mineral
Holdings
Ltd
(d)
1,772,696
5,944
SSR
Mining
Inc
(d)
254,627
4,897
Wesdome
Gold
Mines
Ltd
(d)
331,200
2,769
$
30,518
Miscellaneous
Manufacturers
-
0.95%
Aalberts
NV
83,403
2,290
Trelleborg
AB
(d)
263,281
3,603
Vesuvius
PLC
531,499
2,423
$
8,316
Office
&
Business
Equipment
-
0.58%
Canon
Marketing
Japan
Inc
150,800
3,075
Sato
Holdings
Corp
87,400
2,018
$
5,093
Oil
&
Gas
-
1.75%
Aker
BP
ASA
(f)
80,360
1,299
Beach
Energy
Ltd
3,860,843
4,171
DCC
PLC
67,569
5,668
Parex
Resources
Inc
(d)
371,967
4,182
$
15,320
Packaging
&
Containers
-
0.83%
DS
Smith
PLC
1,724,052
7,295
Pharmaceuticals
-
3.70%
Almirall
SA
124,963
1,639
Clinigen
Group
Plc
184,308
1,988
Dechra
Pharmaceuticals
PLC
98,197
3,387
Hikma
Pharmaceuticals
PLC
210,840
6,715
Nichi-iko
Pharmaceutical
Co
Ltd
109,600
1,336
Nippon
Shinyaku
Co
Ltd
66,100
5,712
Sawai
Pharmaceutical
Co
Ltd
121,800
6,716
Ship
Healthcare
Holdings
Inc
64,800
2,811
Towa
Pharmaceutical
Co
Ltd
96,900
2,050
$
32,354
Pipelines
-
0.63%
Keyera
Corp
141,800
2,247
Koninklijke
Vopak
NV
59,376
3,252
$
5,499
Private
Equity
-
0.88%
Intermediate
Capital
Group
PLC
378,492
5,952
Jafco
Co
Ltd
51,100
1,720
$
7,672
Real
Estate
-
4.13%
CA
Immobilien
Anlagen
AG
(d)
66,862
2,261
Castellum
AB
347,576
6,535
Entra
ASA
(e)
168,149
2,278
Hysan
Development
Co
Ltd
926,000
2,525
IMMOFINANZ
AG
(d)
106,671
1,999
Kojamo
Oyj
47,037
959
LEG
Immobilien
AG
(d)
60,334
7,550
PSP
Swiss
Property
AG
58,872
6,702
UOL
Group
Ltd
1,089,900
5,297
$
36,106
REITs
-
7.41%
Allied
Properties
Real
Estate
Investment
Trust
124,859
3,627
alstria
office
REIT-AG
(d)
218,546
3,186
Canadian
Apartment
Properties
REIT
74,700
2,547
Charter
Hall
Group
859,428
5,564
Cofinimmo
SA
17,887
2,441
Covivio
49,350
2,883
Frasers
Logistics
&
Commercial
Trust
2,844,700
2,243
GLP
J-
Reit
(d)
3,850
5,123
Granite
Real
Estate
Investment
Trust
62,100
3,064
ICADE
47,476
3,404
Inmobiliaria
Colonial
Socimi
SA
273,115
2,469
Japan
Hotel
REIT
Investment
Corp
6,673
2,776
Kenedix
Office
Investment
Corp
684
3,781
Kenedix
Residential
Next
Investment
Corp
1,932
3,244
Mapletree
Commercial
Trust
2,034,773
2,895
Schedule
of
Investments
International
Small
Company
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
118
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Mapletree
Industrial
Trust
2,818,000
$
5,448
MCUBS
MidCity
Investment
Corp
2,169
1,704
Merlin
Properties
Socimi
SA
150,908
1,271
Mitsui
Fudosan
Logistics
Park
Inc
1,174
5,107
Summit
Industrial
Income
REIT
258,200
1,971
$
64,748
Retail
-
6.22%
B&M
European
Value
Retail
SA
1,391,416
6,720
cocokara
fine
Inc
45,300
2,295
Cosmos
Pharmaceutical
Corp
53,600
7,710
Grafton
Group
PLC
365,175
2,824
JD
Sports
Fashion
PLC
469,023
3,845
Man
Wah
Holdings
Ltd
3,135,200
2,463
Moncler
SpA
(d)
56,147
2,104
Ryohin
Keikaku
Co
Ltd
339,600
5,150
Saizeriya
Co
Ltd
134,100
2,856
Seiko
Holdings
Corp
127,000
2,156
Super
Retail
Group
Ltd
662,490
3,703
Sushiro
Global
Holdings
Ltd
282,600
5,994
Tsuruha
Holdings
Inc
44,400
6,574
$
54,394
Semiconductors
-
0.88%
ASM
International
NV
66,061
7,705
Shipbuilding
-
0.20%
Mitsui
E&S
Holdings
Co
Ltd
(d)
325,800
1,710
Software
-
2.57%
CompuGroup
Medical
SE
28,556
2,340
Descartes
Systems
Group
Inc
/The
(d)
86,900
4,143
Kinaxis
Inc
(d)
31,000
4,003
NSD
Co
Ltd
134,500
2,101
Open
Text
Corp
74,300
3,087
TIS
Inc
321,200
6,827
$
22,501
Telecommunications
-
1.67%
Bezeq
The
Israeli
Telecommunication
Corp
Ltd
(d)
5,539,827
4,766
Proximus
SADP
219,068
4,545
Spark
New
Zealand
Ltd
1,928,114
5,301
$
14,612
Transportation
-
2.50%
ComfortDelGro
Corp
Ltd
2,920,800
2,984
Kamigumi
Co
Ltd
291,800
5,719
National
Express
Group
PLC
840,458
2,267
Sankyu
Inc
138,100
5,637
TFI
International
Inc
172,400
5,221
$
21,828
TOTAL
COMMON
STOCKS
$
836,647
Total
Investments
$
885,419
Other
Assets
and
Liabilities
- (1.31)%
(11,452)
TOTAL
NET
ASSETS
-
100.00%
$
873,967
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$25,548
or
2.92%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$30,719
or
3.51%
of
net
assets.
(f)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary (unaudited)
Location
Percent
Japan
25.63%
United
Kingdom
12.42%
Canada
9.25%
Germany
6.22%
United
States
5.77%
Australia
5.08%
France
5.04%
Sweden
4.03%
Switzerland
3.57%
Netherlands
3.48%
Italy
3.31%
Denmark
3.08%
Ireland
2.72%
Singapore
2.15%
Israel
2.01%
Austria
1.27%
Spain
1.15%
Belgium
1.01%
Hong
Kong
0.78%
Jordan
0.77%
Isle
of
Man
0.65%
New
Zealand
0.61%
Finland
0.44%
Norway
0.41%
Portugal
0.30%
Cambodia
0.16%
Other
Assets
and
Liabilities
(1.31)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
29,546
$
368,470
$
355,431
$
42,585
$
29,546
$
368,470
$
355,431
$
42,585
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
129
$
—
$
—
$
—
$
129
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Opportunistic
Municipal
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
119
INVESTMENT
COMPANIES
-
0.04%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.04%
SPDR
Nuveen
Bloomberg
Barclays
High
Yield
Municipal
Bond
ETF
435
$
24
VanEck
Vectors
Short
High-Yield
Municipal
Index
ETF
1,000
23
$
47
TOTAL
INVESTMENT
COMPANIES
$
47
MUNICIPAL
BONDS
-
103.98%
Principal
Amount
(000's)
Value
(000's)
Alabama
-
3.97%
Lower
Alabama
Gas
District/The
5.00%,
09/01/2034
$
1,500
$
1,902
Tuscaloosa
County
Industrial
Development
Authority
4.50%,
05/01/2032
(a)
1,000
1,003
5.25%,
05/01/2044
(a)
2,000
2,041
$
4,946
Arizona
-
4.61%
Arizona
Industrial
Development
Authority
5.00%,
01/01/2049
(a)
1,000
886
7.25%,
01/01/2054
(a)
1,000
936
Navajo
Nation
5.50%,
12/01/2030
(a)
2,500
2,657
Salt
Verde
Financial
Corp
5.00%,
12/01/2032
1,000
1,261
$
5,740
Arkansas
-
0.69%
Arkansas
Development
Finance
Authority
4.50%,
09/01/2049
(a)
1,000
860
California
-
4.01%
Abag
Finance
Authority
for
Nonprofit
Corps
5.00%,
08/01/2043
500
549
California
Statewide
Communities
Development
Authority
5.25%,
12/01/2048
(a)
1,000
1,018
California
Statewide
Communities
Development
Authority
(credit
support
from
Ginnie
Mae
Collateral
)
4.90%,
07/20/2039
(b)
500
510
California
Statewide
Financing
Authority
6.00%,
05/01/2043
1,000
1,008
La
Verne
Public
Financing
Authority
7.25%,
09/01/2026
490
491
Oakland
Unified
School
District/Alameda
County
5.00%,
08/01/2035
1,225
1,422
$
4,998
Colorado
-
5.82%
Centerra
Metropolitan
District
No
1
5.00%,
12/01/2037
(a)
1,000
955
Creekside
Village
Metropolitan
District
5.00%,
12/01/2039
1,255
1,182
Eagle
County
Airport
Terminal
Corp
5.00%,
05/01/2037
1,000
1,106
Elbert
County
Independence
Water
&
Sanitation
District
7.25%,
12/01/2038
1,000
1,078
Painted
Prairie
Public
Improvement
Authority
5.00%,
12/01/2049
500
446
Prairie
Farm
Metropolitan
District
5.25%,
12/01/2048
1,000
1,008
Velocity
Metropolitan
District
No
3
5.50%,
12/01/2048
1,500
1,466
$
7,241
Connecticut
-
1.77%
Mohegan
Tribal
Finance
Authority
7.00%,
02/01/2045
(a)
2,400
2,208
District
of
Columbia
-
0.82%
District
of
Columbia
4.00%,
07/01/2039
1,000
1,015
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Florida
-
4.88%
Florida
Development
Finance
Corp
6.25%,
01/01/2049
(a),(c)
$
1,000
$
873
Greater
Orlando
Aviation
Authority
5.00%,
10/01/2047
(d)
2,999
3,426
Ocean
Highway
&
Port
Authority
5.50%,
12/01/2049
(a)
1,500
1,452
Orange
County
Housing
Finance
Authority
7.00%,
10/01/2025
325
326
$
6,077
Illinois
-
15.22%
City
of
Chicago
IL
5.50%,
01/01/2042
300
305
5.50%,
01/01/2049
1,000
1,019
6.00%,
01/01/2038
1,900
2,034
7.46%,
02/15/2026
1,707
1,194
City
of
Chicago
IL
Wastewater
Transmission
Revenue
5.00%,
01/01/2031
760
867
5.00%,
01/01/2039
1,200
1,341
Illinois
Finance
Authority
0.00%,
12/01/2042
(e)
300
156
Illinois
Sports
Facilities
Authority/The
5.00%,
06/15/2028
1,000
1,056
5.00%,
06/15/2029
1,000
1,049
Illinois
State
Toll
Highway
Authority
5.00%,
01/01/2040
(d)
5,000
5,761
Metropolitan
Pier
&
Exposition
Authority
4.00%,
06/15/2050
500
426
5.00%,
06/15/2050
1,000
961
5.00%,
06/15/2057
500
475
Metropolitan
Pier
&
Exposition
Authority
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50%,
06/15/2029
(b)
1,000
1,131
State
of
Illinois
5.50%,
07/01/2027
1,150
1,179
$
18,954
Indiana
-
0.93%
Indiana
Finance
Authority
7.00%,
03/01/2039
(a)
1,000
841
Town
of
Shoals
IN
7.25%,
11/01/2043
300
312
$
1,153
Louisiana
-
6.84%
Louisiana
Local
Government
Environmental
Facilities
&
Community
Development
Authority
4.00%,
11/01/2044
(a)
900
690
4.40%,
11/01/2044
(a)
1,000
813
5.50%,
11/01/2039
(a)
800
741
5.65%,
11/01/2037
(a)
1,000
969
Louisiana
Public
Facilities
Authority
0.00%,
07/01/2039
(e)
278
—
Parish
of
St
James
LA
6.35%,
10/01/2040
(a)
4,000
4,384
Parish
of
St
John
the
Baptist
LA
2.10%,
06/01/2037
(c)
1,000
916
$
8,513
Maine
-
0.85%
Finance
Authority
of
Maine
5.25%,
01/01/2025
(a)
1,000
1,062
Maryland
-
0.80%
City
of
Westminster
MD
6.25%,
07/01/2044
600
610
Maryland
Economic
Development
Corp
5.38%,
06/01/2025
390
390
$
1,000
Schedule
of
Investments
Opportunistic
Municipal
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
120
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Michigan
-
3.30%
Kalamazoo
Economic
Development
Corp
5.00%,
05/15/2032
$
1,000
$
991
Michigan
Finance
Authority
5.00%,
07/01/2035
1,000
1,181
Michigan
Strategic
Fund
5.00%,
11/15/2043
1,000
959
5.00%,
11/15/2049
1,000
977
$
4,108
Missouri
-
1.98%
City
of
St
Louis
MO
Airport
Revenue
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50%,
07/01/2028
(b)
400
502
Health
&
Educational
Facilities
Authority
of
the
State
of
Missouri
5.00%,
02/01/2034
1,000
1,005
Kansas
City
Industrial
Development
Authority
5.00%,
04/01/2046
(a)
1,100
959
$
2,466
Montana
-
1.05%
City
of
Kalispell
MT
5.25%,
05/15/2037
1,400
1,312
Nevada
-
1.88%
Las
Vegas
Convention
&
Visitors
Authority
5.00%,
07/01/2043
(d)
1,396
1,538
State
of
Nevada
Department
of
Business
&
Industry
5.13%,
12/15/2037
(a)
1,000
803
$
2,341
New
Hampshire
-
1.84%
New
Hampshire
Business
Finance
Authority
2.95%,
04/01/2029
(a),(c)
1,000
915
New
Hampshire
Health
and
Education
Facilities
Authority
Act
5.00%,
08/01/2059
1,000
1,370
$
2,285
New
Jersey
-
7.47%
Casino
Reinvestment
Development
Authority
Inc
5.25%,
11/01/2039
250
252
Essex
County
Improvement
Authority
5.25%,
07/01/2045
(a)
1,300
1,303
New
Jersey
Economic
Development
Authority
5.00%,
07/15/2028
500
534
5.00%,
06/15/2047
500
512
5.25%,
06/15/2040
55
68
5.25%,
06/15/2040
945
978
5.63%,
11/15/2030
1,500
1,506
5.75%,
09/15/2027
500
478
New
Jersey
Transportation
Trust
Fund
Authority
5.25%,
06/15/2032
2,000
2,098
South
Jersey
Port
Corp
5.00%,
01/01/2048
1,000
974
South
Jersey
Transportation
Authority
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
5.00%,
11/01/2029
(b)
500
592
$
9,295
New
York
-
2.84%
Glen
Cove
Local
Economic
Assistance
Corp
5.00%,
01/01/2056
1,000
979
New
York
Counties
Tobacco
Trust
VI
5.00%,
06/01/2041
400
419
New
York
State
Thruway
Authority
5.25%,
01/01/2056
1,000
1,134
New
York
Transportation
Development
Corp
5.00%,
01/01/2036
1,000
1,004
$
3,536
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Ohio
-
5.55%
Buckeye
Tobacco
Settlement
Financing
Authority
5.00%,
06/01/2055
$
3,000
$
3,027
Cleveland
Department
of
Public
Utilities
Division
of
Public
Power
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
4.00%,
11/15/2037
(b)
500
576
Cleveland-Cuyahoga
County
Port
Authority
5.50%,
12/01/2043
1,000
1,004
Ohio
Air
Quality
Development
Authority
4.50%,
01/15/2048
(a)
1,000
1,005
5.00%,
07/01/2049
(a)
1,000
953
Ohio
State
Air
Quality
Development
Authority
Escrow
0.00%,
12/01/2023
(e),(f)
1,000
347
$
6,912
Oklahoma
-
1.67%
Oklahoma
Development
Finance
Authority
5.25%,
08/15/2043
1,000
1,085
Tulsa
County
Industrial
Authority
5.25%,
11/15/2045
1,000
990
$
2,075
Oregon
-
0.54%
Oregon
State
Business
Development
Commission
0.00%,
04/01/2031
(a),(e)
1,000
677
Pennsylvania
-
5.92%
Allegheny
County
Industrial
Development
Authority
4.88%,
11/01/2024
500
449
5.13%,
05/01/2030
1,000
835
Commonwealth
Financing
Authority
5.00%,
06/01/2028
1,000
1,244
5.00%,
06/01/2035
1,000
1,190
Lancaster
County
Hospital
Authority/PA
5.00%,
07/01/2045
1,000
919
Pennsylvania
Economic
Development
Financing
Authority
3.25%,
08/01/2039
(a)
1,000
830
5.50%,
11/01/2044
1,000
1,004
5.75%,
06/01/2036
(a)
1,000
902
$
7,373
South
Carolina
-
0.38%
South
Carolina
Jobs-Economic
Development
Authority
5.25%,
11/15/2052
500
470
South
Dakota
-
0.40%
Oglala
Sioux
Tribe
5.75%,
10/01/2025
(a)
500
500
Tennessee
-
2.78%
Chattanooga
Health
Educational
&
Housing
Facility
Board
5.00%,
10/01/2028
1,050
1,079
5.00%,
10/01/2035
500
501
Metropolitan
Government
Nashville
&
Davidson
County
Health
&
Educational
Facilities
Board
5.00%,
07/01/2040
1,000
1,127
Nashville
Metropolitan
Development
&
Housing
Agency
5.13%,
06/01/2036
(a)
750
752
$
3,459
Texas
-
6.80%
Grand
Parkway
Transportation
Corp
3.00%,
10/01/2050
1,250
1,238
North
Texas
Tollway
Authority
5.00%,
01/01/2045
615
689
5.00%,
01/01/2048
500
568
Port
Beaumont
Navigation
District
4.00%,
01/01/2050
(a)
3,500
2,934
Schedule
of
Investments
Opportunistic
Municipal
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
121
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Texas
(continued)
Texas
Municipal
Gas
Acquisition
and
Supply
Corp
I
6.25%,
12/15/2026
$
1,915
$
2,200
Texas
Private
Activity
Bond
Surface
Transportation
Corp
7.00%,
12/31/2038
300
340
7.00%,
06/30/2040
500
502
$
8,471
Utah
-
1.06%
Utah
Infrastructure
Agency
5.25%,
10/15/2033
1,250
1,319
Vermont
-
1.08%
Vermont
Economic
Development
Authority
4.63%,
04/01/2036
(a),(c)
1,300
1,350
Virginia
-
1.80%
Amelia
County
Industrial
Development
Authority
3.00%,
04/01/2027
(c)
1,500
1,516
Virginia
Small
Business
Financing
Authority
3.00%,
11/01/2040
700
722
$
2,238
Wisconsin
-
4.43%
Public
Finance
Authority
5.00%,
01/01/2024
500
521
5.00%,
12/01/2025
1,200
1,269
5.00%,
09/01/2039
(a)
1,000
936
5.25%,
04/01/2030
600
602
Wisconsin
Health
&
Educational
Facilities
Authority
5.00%,
03/15/2050
1,175
1,297
5.50%,
07/01/2023
80
76
6.00%,
07/01/2028
170
150
6.50%,
07/01/2033
300
251
7.00%,
07/01/2043
500
413
$
5,515
TOTAL
MUNICIPAL
BONDS
$
129,469
Total
Investments
$
129,516
Liability
for
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held
-
(4.18)%
Notes
with
interest
rates
of
0.17%
-
0.44%
at
May
31,
2020
and
contractual
maturity
of
collateral
from
2024-2026.
(g)
$
(5,197)
(5,197)
Total
Net
Investments
$
124,319
Other
Assets
and
Liabilities
- 0.16%
197
TOTAL
NET
ASSETS
-
100.00%
$
124,516
(a)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$39,208
or
31.49%
of
net
assets.
(b)
Credit
support
indicates
investments
that
benefit
from
credit
enhancement
or
liquidity
support
provided
by
a
third
party
bank,
institution,
or
government
agency.
(c)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions. These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(d)
Security
or
portion
of
underlying
security
related
to
Inverse
Floaters
entered
into
by
the
Fund. See
Notes
to
Financial
Statements
for
additional
information.
(e)
Non-income
producing
security
(f)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$347
or
0.28%
of
net
assets.
(g)
Floating
rate
securities.
The
interest
rate(s)
shown
reflect
the
rates
in
effect
at
May
31,
2020.
Portfolio
Summary (unaudited)
Sector
Percent
Revenue
Bonds
89.72%
General
Obligation
Unlimited
4.78%
General
Obligation
Limited
2.94%
Insured
2.66%
Tax
Allocation
1.37%
Prerefunded
1.15%
Certificate
Participation
0.96%
Special
Tax
0.40%
Investment
Companies
0.04%
Liability
For
Floating
Rate
Notes
Issued
(4.18)%
Other
Assets
and
Liabilities
0.16%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Origin
Emerging
Markets
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
122
INVESTMENT
COMPANIES
-
2.74%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.74%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
111
$
—
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
36,939,760
36,940
$
36,940
TOTAL
INVESTMENT
COMPANIES
$
36,940
COMMON
STOCKS
-
96.75%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
2.51%
Aselsan
Elektronik
Sanayi
Ve
Ticaret
AS
7,650,300
33,879
Apparel
-
0.41%
F&F
Co
Ltd
68,600
5,524
Automobile
Parts
&
Equipment
-
1.29%
Hyundai
Mobis
Co
Ltd
60,300
9,668
Weichai
Power
Co
Ltd
4,437,800
7,688
$
17,356
Banks
-
4.73%
Banco
do
Brasil
SA
1,094,900
6,239
China
Merchants
Bank
Co
Ltd
6,599,200
31,096
OTP
Bank
Nyrt
(d)
177,500
5,967
Sberbank
of
Russia
PJSC
ADR
1,793,600
20,454
$
63,756
Beverages
-
0.50%
Kweichow
Moutai
Co
Ltd
34,948
6,699
Building
Materials
-
4.56%
Anhui
Conch
Cement
Co
Ltd
4,846,200
36,543
China
National
Building
Material
Co
Ltd
5,612,500
6,367
China
Resources
Cement
Holdings
Ltd
8,801,300
11,120
Taiwan
Cement
Corp
5,282,541
7,499
$
61,529
Chemicals
-
0.47%
Soulbrain
Co
Ltd
97,400
6,379
Commercial
Services
-
2.87%
China
Yuhua
Education
Corp
Ltd
(e)
10,930,969
10,724
New
Oriental
Education
&
Technology
Group
Inc
ADR
(d)
169,700
20,357
YDUQS
Participacoes
SA
1,433,500
7,656
$
38,737
Computers
-
2.24%
Infosys
Ltd
ADR
1,126,318
10,249
Phison
Electronics
Corp
963,000
8,876
Wiwynn
Corp
416,100
11,150
$
30,275
Diversified
Financial
Services
-
2.90%
B3
SA
-
Brasil
Bolsa
Balcao
1,378,400
11,781
Chailease
Holding
Co
Ltd
1,862,895
7,261
E.Sun
Financial
Holding
Co
Ltd
8,869,851
7,899
Manappuram
Finance
Ltd
2,837,400
4,728
Muthoot
Finance
Ltd
654,000
7,486
$
39,155
Electric
-
0.45%
Mahanagar
Gas
Ltd
471,400
6,072
Electronics
-
4.20%
FLEXium
Interconnect
Inc
1,826,000
6,632
Luxshare
Precision
Industry
Co
Ltd
982,975
6,168
Micro-Star
International
Co
Ltd
4,914,100
16,580
Radiant
Opto-Electronics
Corp
1,994,800
6,867
Simplo
Technology
Co
Ltd
620,800
6,651
Tripod
Technology
Corp
1,632,300
6,138
Zhen
Ding
Technology
Holding
Ltd
1,916,300
7,659
$
56,695
Engineering
&
Construction
-
0.32%
Grupo
Aeroportuario
del
Centro
Norte
SAB
de
CV
(d)
974,500
4,291
Environmental
Control
-
0.71%
China
Conch
Venture
Holdings
Ltd
2,125,900
9,595
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
-
2.18%
Dino
Polska
SA
(d),(e)
229,600
$
10,476
WH
Group
Ltd
(e)
15,952,000
13,877
X5
Retail
Group
NV
169,300
5,005
$
29,358
Gas
-
5.42%
China
Gas
Holdings
Ltd
3,082,000
10,896
China
Resources
Gas
Group
Ltd
4,984,300
27,305
ENN
Energy
Holdings
Ltd
2,344,100
27,520
Indraprastha
Gas
Ltd
1,173,000
7,308
$
73,029
Healthcare
-
Products
-
1.17%
China
Medical
System
Holdings
Ltd
5,278,700
6,054
Shandong
Weigao
Group
Medical
Polymer
Co
Ltd
5,515,500
9,674
$
15,728
Insurance
-
3.64%
PICC
Property
&
Casualty
Co
Ltd
10,568,500
9,247
Ping
An
Insurance
Group
Co
of
China
Ltd
4,025,900
39,841
$
49,088
Internet
-
17.37%
Alibaba
Group
Holding
Ltd
ADR
(d)
456,800
94,736
JD.com
Inc
ADR
(d)
293,006
15,919
NCSoft
Corp
24,900
15,906
Tencent
Holdings
Ltd
1,647,505
89,222
Vipshop
Holdings
Ltd
ADR
(d)
1,063,900
18,448
$
234,231
Lodging
-
0.37%
NagaCorp
Ltd
4,139,900
4,955
Mining
-
4.33%
MMC
Norilsk
Nickel
PJSC
ADR
1,562,746
49,664
Polymetal
International
PLC
437,100
8,786
$
58,450
Miscellaneous
Manufacturers
-
1.45%
Elite
Material
Co
Ltd
1,636,800
8,065
Sunny
Optical
Technology
Group
Co
Ltd
854,300
11,481
$
19,546
Oil
&
Gas
-
1.98%
LUKOIL
PJSC
ADR
354,500
26,635
Pharmaceuticals
-
4.36%
Changchun
High
&
New
Technology
Industry
Group
Inc
74,983
7,006
CSPC
Pharmaceutical
Group
Ltd
8,071,300
15,911
Jiangsu
Hengrui
Medicine
Co
Ltd
585,579
6,463
Richter
Gedeon
Nyrt
316,400
6,915
Sino
Biopharmaceutical
Ltd
11,556,700
18,261
YiChang
HEC
ChangJiang
Pharmaceutical
Co
Ltd
(e)
1,186,300
4,217
$
58,773
Real
Estate
-
2.03%
China
Vanke
Co
Ltd
3,737,700
12,202
Country
Garden
Services
Holdings
Co
Ltd
(d)
1,863,900
8,831
Longfor
Group
Holdings
Ltd
(e)
1,376,000
6,293
$
27,326
Retail
-
3.28%
ANTA
Sports
Products
Ltd
2,807,700
25,163
Wal-Mart
de
Mexico
SAB
de
CV
4,054,300
10,147
Zhongsheng
Group
Holdings
Ltd
1,713,100
8,863
$
44,173
Semiconductors
-
14.13%
Novatek
Microelectronics
Corp
2,620,700
17,944
Parade
Technologies
Ltd
(d)
267,000
7,690
Realtek
Semiconductor
Corp
(d)
1,319,900
11,401
Samsung
Electronics
Co
Ltd
52,377
54,063
Samsung
Electronics
Co
Ltd
452,300
18,629
Taiwan
Semiconductor
Manufacturing
Co
Ltd
1,410,407
13,711
Taiwan
Semiconductor
Manufacturing
Co
Ltd
ADR
1,332,017
67,040
$
190,478
Schedule
of
Investments
Origin
Emerging
Markets
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
123
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
-
5.78%
G-bits
Network
Technology
Xiamen
Co
Ltd
122,300
$
6,923
HCL
Technologies
Ltd
3,911,000
28,544
NetEase
Inc
ADR
110,800
42,425
$
77,892
Telecommunications
-
1.10%
Accton
Technology
Corp
1,845,000
14,872
TOTAL
COMMON
STOCKS
$
1,304,476
PREFERRED
STOCKS
-
0.23%
Shares
Held
Value
(000's)
Banks
-
0.23%
Banco
Bradesco
SA
0.02%
870,870
$
3,075
TOTAL
PREFERRED
STOCKS
$
3,075
Total
Investments
$
1,344,491
Other
Assets
and
Liabilities
- 0.28%
3,752
TOTAL
NET
ASSETS
-
100.00%
$
1,348,243
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$0
or
0.00%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$45,587
or
3.38%
of
net
assets.
Portfolio
Summary (unaudited)
Location
Percent
China
44.63%
Taiwan
17.35%
Korea,
Republic
Of
8.17%
Russian
Federation
7.55%
Hong
Kong
6.05%
India
4.77%
United
States
2.74%
Turkey
2.51%
Brazil
2.13%
Mexico
1.07%
Hungary
0.95%
Poland
0.78%
Cyprus
0.65%
Cambodia
0.37%
Other
Assets
and
Liabilities
0.28%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
40,635
$
547,089
$
550,784
$
36,940
$
40,635
$
547,089
$
550,784
$
36,940
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
213
$
—
$
—
$
—
$
213
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
124
INVESTMENT
COMPANIES
-
2.05%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.05%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
9
$
—
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
32,899,625
32,899
$
32,899
TOTAL
INVESTMENT
COMPANIES
$
32,899
COMMON
STOCKS
-
97.98%
Shares
Held
Value
(000's)
Advertising
-
0.62%
Interpublic
Group
of
Cos
Inc
/The
581,793
9,954
Agriculture
-
1.40%
Phibro
Animal
Health
Corp
858,335
22,488
Automobile
Manufacturers
-
0.50%
NFI
Group
Inc
674,306
7,998
Automobile
Parts
&
Equipment
-
1.99%
Linamar
Corp
1,151,551
31,983
Banks
-
12.79%
Bank
OZK
1,836,166
41,295
Cathay
General
Bancorp
1,109,655
30,171
Cullen/Frost
Bankers
Inc
307,393
23,353
East
West
Bancorp
Inc
1,126,034
39,355
PacWest
Bancorp
1,541,279
26,680
Preferred
Bank/Los
Angeles
CA
241,574
9,076
ServisFirst
Bancshares
Inc
590,165
20,585
Washington
Trust
Bancorp
Inc
474,937
15,184
$
205,699
Chemicals
-
4.12%
HB
Fuller
Co
235,125
8,845
Huntsman
Corp
1,774,109
32,200
RPM
International
Inc
336,892
25,193
$
66,238
Computers
-
4.13%
Amdocs
Ltd
459,741
28,623
Leidos
Holdings
Inc
359,434
37,845
$
66,468
Consumer
Products
-
1.75%
Avery
Dennison
Corp
254,120
28,123
Diversified
Financial
Services
-
1.70%
Federal
Agricultural
Mortgage
Corp
182,279
11,689
Raymond
James
Financial
Inc
225,692
15,636
$
27,325
Electric
-
4.22%
ALLETE
Inc
602,153
35,364
IDACORP
Inc
74,480
6,944
PNM
Resources
Inc
205,937
8,406
Portland
General
Electric
Co
208,396
9,818
Unitil
Corp
151,083
7,278
$
67,810
Electrical
Components
&
Equipment
-
3.79%
Energizer
Holdings
Inc
611,250
26,822
Littelfuse
Inc
210,548
34,212
$
61,034
Electronics
-
2.54%
Hubbell
Inc
147,885
18,104
nVent
Electric
PLC
1,242,454
22,774
$
40,878
Food
-
2.25%
Ingredion
Inc
429,063
36,140
Gas
-
1.50%
ONE
Gas
Inc
82,327
6,913
Spire
Inc
236,901
17,275
$
24,188
Hand
&
Machine
Tools
-
4.73%
Lincoln
Electric
Holdings
Inc
284,611
23,386
MSA
Safety
Inc
237,697
28,272
Snap-on
Inc
187,904
24,369
$
76,027
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Healthcare
-
Products
-
5.07%
CONMED
Corp
366,423
$
26,899
LeMaitre
Vascular
Inc
193,691
5,208
STERIS
PLC
206,706
34,291
Teleflex
Inc
41,703
15,132
$
81,530
Home
Builders
-
1.98%
LCI
Industries
322,804
31,935
Insurance
-
6.03%
Assured
Guaranty
Ltd
920,286
23,863
Fidelity
National
Financial
Inc
1,251,166
39,912
James
River
Group
Holdings
Ltd
859,463
33,236
$
97,011
Leisure
Products
&
Services
-
3.68%
Acushnet
Holdings
Corp
1,102,246
36,837
Brunswick
Corp/DE
405,318
22,297
$
59,134
Machinery
-
Diversified
-
3.92%
Albany
International
Corp
331,562
19,993
Crane
Co
426,395
23,759
Nordson
Corp
102,261
19,261
$
63,013
Media
-
1.31%
John
Wiley
&
Sons
Inc
523,499
21,045
Miscellaneous
Manufacturers
-
1.02%
Donaldson
Co
Inc
165,513
7,853
EnPro
Industries
Inc
188,635
8,504
$
16,357
Oil
&
Gas
-
2.91%
Cimarex
Energy
Co
464,429
12,205
Delek
US
Holdings
Inc
355,404
6,991
Diamondback
Energy
Inc
329,878
14,046
HollyFrontier
Corp
433,816
13,644
$
46,886
Packaging
&
Containers
-
1.65%
Packaging
Corp
of
America
261,726
26,542
Pipelines
-
0.88%
Targa
Resources
Corp
789,560
14,125
REITs
-
12.70%
Agree
Realty
Corp
368,541
23,133
Camden
Property
Trust
44,647
4,088
CyrusOne
Inc
573,519
42,635
EastGroup
Properties
Inc
176,483
20,516
Four
Corners
Property
Trust
Inc
843,968
18,247
Granite
Real
Estate
Investment
Trust
388,587
19,172
Medical
Properties
Trust
Inc
1,503,475
27,183
National
Health
Investors
Inc
213,696
11,858
STORE
Capital
Corp
1,236,333
23,911
Terreno
Realty
Corp
262,458
13,435
$
204,178
Semiconductors
-
5.18%
Kulicke
&
Soffa
Industries
Inc
958,115
21,423
MKS
Instruments
Inc
490,064
51,766
Monolithic
Power
Systems
Inc
48,214
10,113
$
83,302
Shipbuilding
-
1.52%
Huntington
Ingalls
Industries
Inc
122,440
24,474
Software
-
0.33%
Broadridge
Financial
Solutions
Inc
43,434
5,260
Toys,
Games
&
Hobbies
-
1.77%
Hasbro
Inc
387,084
28,455
TOTAL
COMMON
STOCKS
$
1,575,600
Total
Investments
$
1,608,499
Other
Assets
and
Liabilities
- (0.03)%
(510)
TOTAL
NET
ASSETS
-
100.00%
$
1,607,989
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
125
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$0
or
0.00%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
Portfolio
Summary (unaudited)
Sector
Percent
Financial
33.22%
Industrial
19.17%
Consumer,
Non-cyclical
10.47%
Consumer,
Cyclical
9.92%
Technology
9.64%
Utilities
5.72%
Basic
Materials
4.12%
Energy
3.79%
Money
Market
Funds
2.05%
Communications
1.93%
Other
Assets
and
Liabilities
(0.03)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
43,288
$
515,898
$
526,287
$
32,899
$
43,288
$
515,898
$
526,287
$
32,899
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
279
$
—
$
—
$
—
$
279
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Small-MidCap
Growth
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
126
INVESTMENT
COMPANIES
-
1.12%
Shares
Held
Value
(000's)
Money
Market
Funds
-
1.12%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
34,300
$
35
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
32,416
32
$
67
TOTAL
INVESTMENT
COMPANIES
$
67
COMMON
STOCKS
-
99.50%
Shares
Held
Value
(000's)
Advertising
-
0.62%
Trade
Desk
Inc
/The
(d)
119
37
Airlines
-
1.91%
Southwest
Airlines
Co
3,538
114
Apparel
-
0.69%
Crocs
Inc
(d)
1,445
41
Automobile
Parts
&
Equipment
-
2.29%
Visteon
Corp
(d)
1,904
137
Banks
-
2.27%
SVB
Financial
Group
(d)
635
136
Beverages
-
0.90%
Boston
Beer
Co
Inc
/The
(d)
96
54
Biotechnology
-
7.94%
ACADIA
Pharmaceuticals
Inc
(d)
1,036
52
Arrowhead
Pharmaceuticals
Inc
(d)
782
25
Biohaven
Pharmaceutical
Holding
Co
Ltd
(d)
1,112
69
Bio-Rad
Laboratories
Inc
(d)
60
30
CRISPR
Therapeutics
AG
(d)
1,026
66
Exact
Sciences
Corp
(d)
952
82
Fate
Therapeutics
Inc
(d)
1,274
41
Immunomedics
Inc
(d)
1,157
39
Mirati
Therapeutics
Inc
(d)
356
35
Seattle
Genetics
Inc
(d)
228
36
$
475
Building
Materials
-
3.36%
Masonite
International
Corp
(d)
1,559
103
Trex
Co
Inc
(d)
813
98
$
201
Commercial
Services
-
3.51%
Chegg
Inc
(d)
769
47
FTI
Consulting
Inc
(d)
362
44
TransUnion
1,382
119
$
210
Computers
-
2.39%
Crowdstrike
Holdings
Inc
(d)
1,630
143
Diversified
Financial
Services
-
2.37%
Hamilton
Lane
Inc
1,127
82
Tradeweb
Markets
Inc
908
60
$
142
Electrical
Components
&
Equipment
-
1.94%
Generac
Holdings
Inc
(d)
355
39
Littelfuse
Inc
471
77
$
116
Electronics
-
0.74%
Keysight
Technologies
Inc
(d)
406
44
Energy
-
Alternate
Sources
-
2.06%
Enphase
Energy
Inc
(d)
507
30
SolarEdge
Technologies
Inc
(d)
655
93
$
123
Engineering
&
Construction
-
1.69%
TopBuild
Corp
(d)
883
101
Healthcare
-
Products
-
12.59%
CONMED
Corp
626
46
Inspire
Medical
Systems
Inc
(d)
1,625
132
Insulet
Corp
(d)
798
150
NanoString
Technologies
Inc
(d)
1,196
37
Natera
Inc
(d)
2,967
130
Penumbra
Inc
(d)
371
64
Repligen
Corp
(d)
210
28
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Healthcare
-
Products
(continued)
Tandem
Diabetes
Care
Inc
(d)
1,995
$
166
$
753
Healthcare
-
Services
-
2.54%
Addus
HomeCare
Corp
(d)
308
30
Amedisys
Inc
(d)
181
35
LHC
Group
Inc
(d)
536
87
$
152
Home
Builders
-
4.06%
DR
Horton
Inc
2,728
151
KB
Home
2,769
92
$
243
Internet
-
5.37%
Chewy
Inc
(d)
595
26
Okta
Inc
(d)
402
79
Q2
Holdings
Inc
(d)
1,235
102
Zendesk
Inc
(d)
1,332
114
$
321
Leisure
Products
&
Services
-
4.35%
Fox
Factory
Holding
Corp
(d)
2,236
161
YETI
Holdings
Inc
(d)
3,064
99
$
260
Machinery
-
Diversified
-
1.74%
Middleby
Corp/The
(d)
405
28
Nordson
Corp
405
76
$
104
Office
&
Business
Equipment
-
0.49%
Zebra
Technologies
Corp
(d)
110
29
Pharmaceuticals
-
4.92%
DexCom
Inc
(d)
177
67
Horizon
Therapeutics
Plc
(d)
3,656
186
MyoKardia
Inc
(d)
117
12
Reata
Pharmaceuticals
Inc
(d)
201
29
$
294
Retail
-
6.31%
Burlington
Stores
Inc
(d)
344
72
Floor
&
Decor
Holdings
Inc
(d)
2,882
150
Freshpet
Inc
(d)
408
31
National
Vision
Holdings
Inc
(d)
1,868
50
Papa
John's
International
Inc
947
74
$
377
Semiconductors
-
7.16%
Ambarella
Inc
(d)
880
50
Cree
Inc
(d)
535
28
Inphi
Corp
(d)
1,272
160
Lattice
Semiconductor
Corp
(d)
4,564
113
MKS
Instruments
Inc
290
31
Teradyne
Inc
686
46
$
428
Software
-
11.69%
Coupa
Software
Inc
(d)
236
54
Everbridge
Inc
(d)
727
106
Five9
Inc
(d)
843
88
Nuance
Communications
Inc
(d)
6,794
155
RingCentral
Inc
(d)
801
220
Tyler
Technologies
Inc
(d)
203
76
$
699
Transportation
-
3.60%
CryoPort
Inc
(d),(e)
1,386
34
Kansas
City
Southern
955
144
Knight-Swift
Transportation
Holdings
Inc
886
37
$
215
TOTAL
COMMON
STOCKS
$
5,949
Total
Investments
$
6,016
Other
Assets
and
Liabilities
- (0.62)%
(37)
TOTAL
NET
ASSETS
-
100.00%
$
5,979
Schedule
of
Investments
Small-MidCap
Growth
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
127
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$35
or
0.59%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary (unaudited)
Sector
Percent
Consumer,
Non-cyclical
32.40%
Technology
21.73%
Consumer,
Cyclical
19.61%
Industrial
13.07%
Communications
5.99%
Financial
4.64%
Energy
2.06%
Money
Market
Funds
1.12%
Other
Assets
and
Liabilities
(0.62)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
53
$
1,950
$
1,971
$
32
$
53
$
1,950
$
1,971
$
32
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1
$
—
$
—
$
—
$
1
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
128
INVESTMENT
COMPANIES
-
3.85%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.71%
Invesco
Preferred
ETF
547,091
$
7,867
iShares
Preferred
&
Income
Securities
ETF
(a)
1,076,030
37,812
$
45,679
Money
Market
Funds
-
3.14%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(b),(c)
4,918,523
4,918
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(b),(c),(d),(e)
197,876,746
197,877
$
202,795
TOTAL
INVESTMENT
COMPANIES
$
248,474
CONVERTIBLE
PREFERRED
STOCKS
-
0.92%
Shares
Held
Value
(000's)
Banks
-
0.58%
Bank
of
America
Corp
7.25%
(f)
470
$
642
Wells
Fargo
&
Co
7.50%
(f)
27,052
36,520
$
37,162
Hand
&
Machine
Tools
-
0.34%
Stanley
Black
&
Decker
Inc
0.00%,
05/15/2021
(e),(f)
21,000
21,945
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
59,107
PREFERRED
STOCKS
-
12.77%
Shares
Held
Value
(000's)
Banks
-
3.41%
AgriBank
FCB
6.88%,
01/01/2024
(f)
61,700
6,185
3
Month
USD
LIBOR
+
4.23%
Associated
Banc-Corp
5.88%,
12/15/2023
(a),(f)
2,429
62
Bank
of
New
York
Mellon
Corp/The
5.20%,
09/20/2020
(a),(f)
126,983
3,237
Citigroup
Inc
6.88%,
11/15/2023
(a),(f)
414,370
11,217
3
Month
USD
LIBOR
+
4.13%
Citizens
Financial
Group
Inc
6.35%,
04/06/2024
(f)
14,879
376
3
Month
USD
LIBOR
+
3.64%
Goldman
Sachs
Group
Inc/The
5.50%,
05/10/2023
(f)
742,590
19,203
3
Month
USD
LIBOR
+
3.64%
Huntington
Bancshares
Inc/OH
5.88%,
10/15/2021
(a),(f)
325,787
8,324
Huntington
Bancshares
Inc/OH
6.25%,
04/15/2021
(f)
990,264
25,420
JPMorgan
Chase
&
Co
4.75%,
12/01/2024
(f)
277,529
6,883
JPMorgan
Chase
&
Co
5.75%,
12/01/2023
(a),(f)
222,039
5,982
KeyCorp
6.13%,
12/15/2026
(a),(f)
750,031
21,061
3
Month
USD
LIBOR
+
3.89%
Morgan
Stanley
4.88%,
01/15/2025
(f)
7,117
174
Morgan
Stanley
5.85%,
04/15/2027
(a),(f)
649,481
17,335
3
Month
USD
LIBOR
+
3.49%
PNC
Financial
Services
Group
Inc/The
6.13%,
05/01/2022
(a),(f)
1,239,905
32,733
3
Month
USD
LIBOR
+
4.07%
Regions
Financial
Corp
5.70%,
05/15/2029
(a),(f)
331,650
8,527
3
Month
USD
LIBOR
+
3.15%
State
Street
Corp
5.90%,
03/15/2024
(f)
236,076
6,081
3
Month
USD
LIBOR
+
3.11%
Synovus
Financial
Corp
5.88%,
07/01/2024
(f)
344,000
7,516
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.13%
Truist
Financial
Corp
5.63%,
06/01/2021
(f)
134,160
3,453
US
Bancorp
3.50%,
07/01/2020
(f)
11,300
227
3
Month
USD
LIBOR
+
0.60%
US
Bancorp
6.50%,
01/15/2022
(f)
239,945
6,418
3
Month
USD
LIBOR
+
4.47%
Valley
National
Bancorp
6.25%,
06/30/2025
(f)
170,096
4,215
3
Month
USD
LIBOR
+
3.85%
Webster
Financial
Corp
5.25%,
12/15/2022
(a),(f)
194,856
5,016
Wells
Fargo
&
Co
4.75%,
03/15/2025
(f)
330,978
7,854
Wells
Fargo
&
Co
5.63%,
06/15/2022
(a),(f)
194,971
5,046
Wells
Fargo
&
Co
5.85%,
09/15/2023
(f)
62,555
1,570
3
Month
USD
LIBOR
+
3.09%
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Banks
(continued)
Wells
Fargo
&
Co
6.63%,
03/15/2024
(f)
207,457
$
5,527
3
Month
USD
LIBOR
+
3.69%
$
219,642
Diversified
Financial
Services
-
0.30%
Affiliated
Managers
Group
Inc
5.88%,
03/30/2059
146,661
3,953
Capital
One
Financial
Corp
0.00%,
06/01/2025
(e),(f)
160,148
3,499
Capital
One
Financial
Corp
5.00%,
12/01/2024
(a),(f)
355,725
8,310
Charles
Schwab
Corp/The
6.00%,
12/01/2020
(f)
138,263
3,516
$
19,278
Electric
-
2.72%
Alabama
Power
Co
5.00%,
10/01/2022
(a),(f)
572,000
15,804
Algonquin
Power
&
Utilities
Corp
6.20%,
07/01/2079
490,152
13,234
3
Month
USD
LIBOR
+
4.01%
CMS
Energy
Corp
5.88%,
03/01/2079
(a)
114,535
3,048
Dominion
Energy
Inc
5.25%,
07/30/2076
(a)
890,372
23,346
DTE
Energy
Co
5.25%,
12/01/2062
306,488
7,751
DTE
Energy
Co
5.25%,
12/01/2077
315,006
8,190
DTE
Energy
Co
5.38%,
06/01/2076
7,539
195
Duke
Energy
Corp
5.13%,
01/15/2073
341,237
8,695
Duke
Energy
Corp
5.75%,
06/15/2024
(f)
68,264
1,890
Entergy
Arkansas
LLC
4.90%,
12/01/2052
147,158
3,810
Entergy
Louisiana
LLC
4.70%,
06/01/2063
(a)
156,785
4,025
Entergy
Louisiana
LLC
4.88%,
09/01/2066
(a)
24,691
643
Entergy
Louisiana
LLC
5.25%,
07/01/2052
(a)
97,081
2,481
Entergy
Texas
Inc
5.38%,
10/15/2024
(a),(f)
30,000
776
Georgia
Power
Co
5.00%,
10/01/2077
262,012
6,818
Integrys
Holding
Inc
6.00%,
08/01/2073
81,343
2,054
3
Month
USD
LIBOR
+
3.22%
Interstate
Power
and
Light
Co
5.10%,
07/01/2020
(a),(f)
493,973
12,606
National
Rural
Utilities
Cooperative
Finance
Corp
5.50%,
05/15/2064
225,022
6,008
NextEra
Energy
Capital
Holdings
Inc
5.00%,
01/15/2073
(a)
477,663
12,099
NextEra
Energy
Capital
Holdings
Inc
5.13%,
11/15/2072
(a)
658,383
16,657
NextEra
Energy
Capital
Holdings
Inc
5.65%,
03/01/2079
(a)
77,046
2,075
Southern
Co/The
0.00%,
01/30/2080
(e)
239,337
5,972
Southern
Co/The
5.25%,
12/01/2077
(a)
555,000
14,535
Southern
Co/The
5.25%,
10/01/2076
100,061
2,575
$
175,287
Food
-
0.34%
Dairy
Farmers
of
America
Inc
7.88%,
07/01/2020
(f),(g)
16,000
1,376
Dairy
Farmers
of
America
Inc
7.88%,
12/01/2025
(f),(g)
236,300
20,322
$
21,698
Gas
-
0.02%
Entergy
New
Orleans
LLC
5.00%,
12/01/2052
3,299
84
Entergy
New
Orleans
LLC
5.50%,
04/01/2066
(a)
46,623
1,240
$
1,324
Insurance
-
1.92%
Allstate
Corp/The
4.75%,
01/15/2025
(a),(f)
153,679
3,931
Allstate
Corp/The
5.10%,
01/15/2053
(a)
537,816
14,048
3
Month
USD
LIBOR
+
3.17%
American
Financial
Group
Inc/OH
5.63%,
06/01/2060
118,000
3,015
American
Financial
Group
Inc/OH
5.88%,
03/30/2059
(a)
100,515
2,667
American
International
Group
Inc
5.85%,
03/15/2024
(a),(f)
15,000
395
Arch
Capital
Group
Ltd
5.25%,
09/29/2021
(a),(f)
288,642
7,031
Arch
Capital
Group
Ltd
5.45%,
08/17/2022
(f)
53,235
1,349
Equitable
Holdings
Inc
5.25%,
12/15/2024
(f)
475,000
11,348
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
129
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
Hartford
Financial
Services
Group
Inc/The
7.88%,
04/15/2042
1,042,030
$
28,260
3
Month
USD
LIBOR
+
5.60%
MetLife
Inc
0.00%,
03/15/2025
(e),(f)
30,000
745
Reinsurance
Group
of
America
Inc
6.20%,
09/15/2042
(a)
369,363
9,094
3
Month
USD
LIBOR
+
4.37%
RenaissanceRe
Holdings
Ltd
5.38%,
07/01/2020
(f)
544,287
13,721
RenaissanceRe
Holdings
Ltd
5.75%,
06/30/2023
(f)
29,666
771
Voya
Financial
Inc
5.35%,
09/15/2029
(a),(f)
72,909
1,876
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.21%
WR
Berkley
Corp
5.63%,
04/30/2053
923,402
24,101
WR
Berkley
Corp
5.70%,
03/30/2058
(a)
1,933
51
WR
Berkley
Corp
5.75%,
06/01/2056
65,882
1,689
$
124,092
REITs
-
1.48%
Digital
Realty
Trust
Inc
5.88%,
07/01/2020
(f)
88,984
2,298
Digital
Realty
Trust
Inc
6.35%,
08/24/2020
(f)
189,212
4,849
Diversified
Healthcare
Trust
6.25%,
02/01/2046
48,263
907
Federal
Realty
Investment
Trust
5.00%,
09/29/2022
(a),(f)
47,736
1,212
Kimco
Realty
Corp
5.25%,
12/20/2022
(a),(f)
391,040
9,447
National
Retail
Properties
Inc
5.20%,
10/11/2021
(f)
121,247
2,860
Prologis
Inc
8.54%,
11/13/2026
(f)
162,700
12,772
PS
Business
Parks
Inc
4.88%,
11/04/2024
(f)
3,957
97
PS
Business
Parks
Inc
5.25%,
09/21/2022
(f)
57,755
1,481
Public
Storage
4.75%,
12/20/2024
(a),(f)
185,477
4,815
Public
Storage
4.90%,
10/14/2021
(f)
6,561
167
Public
Storage
5.05%,
08/09/2022
(a),(f)
177,565
4,668
Public
Storage
5.20%,
07/01/2020
(f)
66,653
1,704
Public
Storage
5.60%,
03/11/2024
(f)
311,855
8,601
SITE
Centers
Corp
6.38%,
06/05/2022
(f)
395,382
7,955
Vornado
Realty
Trust
5.25%,
12/13/2022
(f)
382,922
8,815
Vornado
Realty
Trust
5.40%,
07/01/2020
(a),(f)
188,066
4,356
Vornado
Realty
Trust
5.70%,
07/01/2020
(f)
759,462
18,645
$
95,649
Savings
&
Loans
-
0.05%
People's
United
Financial
Inc
5.63%,
12/15/2026
(a),(f)
94,067
2,438
3
Month
USD
LIBOR
+
4.02%
Sterling
Bancorp/DE
6.50%,
10/15/2022
(a),(f)
42,713
1,077
$
3,515
Sovereign
-
1.05%
CoBank
ACB
6.13%,
10/01/2020
(f)
8,000
812
CoBank
ACB
6.20%,
01/01/2025
(f)
65,000
6,896
3
Month
USD
LIBOR
+
3.74%
CoBank
ACB
6.25%,
10/01/2022
(f)
296,500
30,391
3
Month
USD
LIBOR
+
4.56%
Farm
Credit
Bank
of
Texas
6.75%,
09/15/2023
(f),(g)
270,500
27,321
3
Month
USD
LIBOR
+
4.01%
Farm
Credit
Bank
of
Texas
10.00%,
07/01/2020
(f)
2,350
2,350
$
67,770
Telecommunications
-
1.48%
AT&T
Inc
0.00%,
02/18/2025
(e),(f)
2,704,605
64,180
AT&T
Inc
5.00%,
12/12/2024
(a),(f)
40,144
1,032
Telephone
and
Data
Systems
Inc
6.63%,
03/31/2045
(a)
72,184
1,844
Telephone
and
Data
Systems
Inc
7.00%,
03/15/2060
1,067,862
27,530
United
States
Cellular
Corp
6.95%,
05/15/2060
45,971
1,184
$
95,770
TOTAL
PREFERRED
STOCKS
$
824,025
BONDS
-
81.85%
Principal
Amount
(000's)
Value
(000's)
Banks
-
49.14%
Australia
&
New
Zealand
Banking
Group
Ltd/
United
Kingdom
6.75%,
12/31/2049
(f),(g),(h)
$
5,000
$
5,534
USD
Swap
Rate
NY
5
Year
+
5.17%
6.75%,
12/31/2049
(f),(h)
2,700
2,989
USD
Swap
Rate
NY
5
Year
+
5.17%
Banco
Bilbao
Vizcaya
Argentaria
SA
6.50%,
12/31/2049
(f),(h)
30,600
28,764
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.19%
Banco
Santander
SA
7.50%,
12/31/2049
(f),(h)
22,400
22,960
USD
Swap
Semi-Annual
5
Year
+
4.99%
Bank
of
America
Corp
6.10%,
12/31/2049
(f),(h)
5,000
5,250
3
Month
USD
LIBOR
+
3.90%
6.25%,
12/31/2049
(f),(h)
30,599
31,670
3
Month
USD
LIBOR
+
3.71%
6.30%,
12/31/2049
(f),(h)
46,995
51,460
3
Month
USD
LIBOR
+
4.55%
6.50%,
12/31/2049
(f),(h)
97,785
105,379
3
Month
USD
LIBOR
+
4.17%
8.05%,
06/15/2027
6,312
7,776
Bank
of
Montreal
1.85%,
05/01/2025
11,800
12,110
Bank
of
New
York
Mellon
Corp/The
4.62%,
12/31/2099
(f),(h)
19,688
19,196
3
Month
USD
LIBOR
+
3.13%
4.70%,
12/31/2049
(f),(h)
12,400
12,756
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.36%
4.95%,
12/31/2049
(f),(h)
73,500
69,312
3
Month
USD
LIBOR
+
3.42%
Bank
of
Nova
Scotia/The
1.63%,
05/01/2023
9,000
9,164
4.90%,
12/31/2049
(f),(h),(i)
1,500
1,481
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.55%
Barclays
Bank
PLC
6.28%,
12/31/2049
(f),(h)
4,000
4,145
3
Month
USD
LIBOR
+
1.55%
6.86%,
12/31/2049
(f),(h)
517
626
6
Month
USD
LIBOR
+
1.73%
7.63%,
11/21/2022
8,000
8,600
Barclays
PLC
7.75%,
12/31/2049
(f),(h)
47,300
46,590
USD
Swap
Semi-Annual
5
Year
+
4.84%
7.88%,
12/31/2049
(f),(h)
30,065
30,441
USD
Swap
Semi-Annual
5
Year
+
6.77%
8.00%,
12/31/2049
(f),(h)
67,803
69,489
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.67%
BNP
Paribas
SA
6.63%,
12/31/2049
(f),(g),(h)
39,300
40,180
USD
Swap
Semi-Annual
5
Year
+
4.15%
6.63%,
12/31/2049
(f),(h)
8,700
8,895
USD
Swap
Rate
NY
5
Year
+
4.15%
7.00%,
12/31/2049
(f),(g),(h)
2,500
2,681
USD
Swap
Semi-Annual
5
Year
+
3.98%
7.19%,
12/31/2049
(f),(h)
800
861
3
Month
USD
LIBOR
+
1.29%
7.20%,
12/31/2049
(f),(g),(h)
10,800
11,621
3
Month
USD
LIBOR
+
1.29%
7.37%,
12/31/2049
(f),(g),(h)
100
110
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.37%,
12/31/2049
(f),(h)
13,000
14,251
USD
Swap
Semi-Annual
5
Year
+
5.15%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
130
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
BNP
Paribas
SA
(continued)
7.63%,
12/31/2049
(f),(g),(h)
$
80,898
$
82,920
USD
Swap
Semi-Annual
5
Year
+
6.31%
7.63%,
12/31/2049
(f),(h)
33,100
33,928
USD
Swap
Semi-Annual
5
Year
+
6.31%
BPCE
SA
5.15%,
07/21/2024
(g)
13,014
14,242
Citigroup
Capital
III
7.63%,
12/01/2036
2,700
3,561
Citigroup
Inc
5.90%,
12/31/2049
(f),(h)
7,383
7,457
3
Month
USD
LIBOR
+
4.23%
5.95%,
12/31/2049
(f),(h)
27,100
27,227
3
Month
USD
LIBOR
+
4.07%
5.95%,
12/31/2049
(f),(h)
10,770
11,024
3
Month
USD
LIBOR
+
3.91%
5.95%,
12/31/2049
(f),(h)
19,000
17,761
3
Month
USD
LIBOR
+
4.10%
6.13%,
12/31/2049
(f),(h)
36,800
35,962
3
Month
USD
LIBOR
+
4.48%
6.25%,
12/31/2049
(f),(h)
86,582
92,210
3
Month
USD
LIBOR
+
4.52%
Citizens
Financial
Group
Inc
5.33%,
12/31/2049
(f)
13,300
11,292
3
Month
USD
LIBOR
+
3.96%
5.65%,
12/31/2049
(f),(h),(i)
33,550
33,131
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.31%
6.00%,
12/31/2049
(f),(h)
7,000
6,160
3
Month
USD
LIBOR
+
3.00%
6.38%,
12/31/2049
(a),(f),(h)
7,000
6,577
3
Month
USD
LIBOR
+
3.16%
Comerica
Inc
5.63%,
12/31/2049
(f),(h)
9,400
9,348
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.29%
Corestates
Capital
III
0.96%,
02/15/2027
(g)
18,621
16,423
3
Month
USD
LIBOR
+
0.57%
Credit
Agricole
SA
7.88%,
12/31/2049
(f),(g),(h)
29,540
32,213
USD
Swap
Semi-Annual
5
Year
+
4.90%
7.88%,
12/31/2049
(f),(h)
18,100
19,738
USD
Swap
Semi-Annual
5
Year
+
4.90%
8.13%,
12/31/2049
(f),(g),(h)
34,068
39,008
USD
Swap
Semi-Annual
5
Year
+
6.19%
Credit
Suisse
AG
6.50%,
08/08/2023
(g)
23,254
25,113
6.50%,
08/08/2023
6,000
6,480
Credit
Suisse
Group
AG
5.10%,
12/31/2049
(f),(g),(h)
21,300
19,702
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.29%
6.25%,
12/31/2049
(f),(g),(h)
6,000
6,275
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.38%,
12/31/2099
(f),(g),(h)
14,400
14,736
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.82%
7.13%,
12/31/2049
(f),(h)
24,838
25,626
USD
Swap
Semi-Annual
5
Year
+
5.11%
7.50%,
12/31/2049
(f),(g),(h)
6,500
6,683
USD
Swap
Semi-Annual
5
Year
+
4.60%
7.50%,
12/31/2049
(f),(g),(h)
77,040
82,804
USD
Swap
Semi-Annual
5
Year
+
4.60%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Danske
Bank
A/S
6.13%,
12/31/2099
(f),(h)
$
2,500
$
2,444
USD
Swap
Semi-Annual
7
Year
+
3.90%
7.00%,
12/31/2049
(f),(h)
19,645
19,830
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
7
Year
+
4.13%
Fifth
Third
Bancorp
5.10%,
12/31/2049
(f),(h)
1,000
893
3
Month
USD
LIBOR
+
3.03%
First
Maryland
Capital
I
2.22%,
01/15/2027
2,000
1,714
3
Month
USD
LIBOR
+
1.00%
Goldman
Sachs
Group
Inc/The
4.37%,
12/31/2049
(f)
11,300
10,129
3
Month
USD
LIBOR
+
3.92%
4.95%,
12/31/2049
(f),(h)
19,663
18,876
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.22%
5.50%,
12/31/2049
(a),(f),(h)
13,750
14,094
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.62%
HBOS
Capital
Funding
LP
6.85%,
12/31/2049
(f)
19,106
19,215
HSBC
Capital
Funding
Dollar
1
LP
10.18%,
12/31/2049
(f),(g),(h)
56,967
88,299
3
Month
USD
LIBOR
+
4.98%
10.18%,
12/31/2049
(f),(h)
34,808
53,952
3
Month
USD
LIBOR
+
4.98%
HSBC
Holdings
PLC
6.00%,
12/31/2099
(f),(h)
15,900
15,443
USD
Swap
Rate
NY
5
Year
+
3.75%
6.37%,
12/31/2049
(f),(h)
14,800
14,939
USD
Swap
Rate
NY
5
Year
+
4.37%
6.38%,
12/31/2049
(f),(h)
3,300
3,255
USD
Swap
Rate
NY
5
Year
+
3.71%
6.50%,
12/31/2099
(f),(h)
25,600
25,504
USD
Swap
Rate
NY
5
Year
+
3.61%
6.87%,
12/31/2049
(f),(h)
54,800
56,155
USD
Swap
Rate
NY
5
Year
+
5.51%
Huntington
Bancshares
Inc/OH
5.63%,
12/31/2049
(f),(h),(i)
16,370
16,452
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
10
Year
+
4.95%
ING
Groep
NV
5.75%,
12/31/2049
(f),(h)
14,075
13,635
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.34%
6.50%,
12/31/2049
(f),(h)
35,300
35,879
USD
Swap
Semi-Annual
5
Year
+
4.45%
6.87%,
12/31/2049
(f),(h)
25,320
26,016
USD
Swap
Semi-Annual
5
Year
+
5.12%
Intesa
Sanpaolo
SpA
7.70%,
12/31/2049
(f),(g),(h)
2,900
2,788
USD
Swap
Semi-Annual
5
Year
+
5.46%
JPMorgan
Chase
&
Co
4.49%,
12/31/2099
(f)
25,318
23,340
3
Month
USD
LIBOR
+
3.80%
4.60%,
12/31/2049
(f),(h)
7,000
6,221
United
States
Secured
Overnight
Financing
Rate
+
3.13%
6.75%,
12/31/2049
(f),(h)
147,336
156,913
3
Month
USD
LIBOR
+
3.78%
KeyCorp
5.00%,
12/31/2049
(f),(h)
20,101
18,794
3
Month
USD
LIBOR
+
3.61%
KeyCorp
Capital
I
2.17%,
07/01/2028
2,825
2,432
3
Month
USD
LIBOR
+
0.74%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
131
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
KeyCorp
Capital
III
7.75%,
07/15/2029
$
3,500
$
4,583
Lloyds
Bank
PLC
12.00%,
12/31/2049
(f),(g),(h)
38,250
43,674
3
Month
USD
LIBOR
+
11.76%
12.00%,
12/31/2049
(f),(h)
21,889
24,993
3
Month
USD
LIBOR
+
11.76%
Lloyds
Banking
Group
PLC
3.87%,
07/09/2025
(h)
5,000
5,308
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1
Year
+
3.50%
6.41%,
12/31/2049
(f),(g),(h)
12,674
13,372
3
Month
USD
LIBOR
+
1.50%
6.66%,
12/31/2049
(f),(h)
3,000
3,334
3
Month
USD
LIBOR
+
1.27%
6.66%,
12/31/2049
(a),(f),(g),(h)
51,385
57,102
3
Month
USD
LIBOR
+
1.27%
7.50%,
12/31/2049
(f),(h)
47,496
48,505
USD
Swap
Semi-Annual
5
Year
+
4.76%
7.50%,
12/31/2049
(f),(h)
22,500
23,177
USD
Swap
Semi-Annual
5
Year
+
4.50%
M&T
Bank
Corp
5.00%,
12/31/2049
(f),(h)
1,465
1,441
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.17%
5.12%,
12/31/2049
(f),(h)
14,020
14,020
3
Month
USD
LIBOR
+
3.52%
6.45%,
12/31/2049
(f),(h)
6,615
6,813
3
Month
USD
LIBOR
+
3.61%
Morgan
Stanley
5.55%,
12/31/2049
(f),(h)
8,500
7,565
3
Month
USD
LIBOR
+
3.81%
Nordea
Bank
Abp
6.13%,
12/31/2049
(f),(g),(h)
42,131
42,110
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.13%,
12/31/2049
(a),(f),(h)
8,235
8,231
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.63%,
12/31/2099
(f),(g),(h)
29,520
31,217
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.11%
Northern
Trust
Corp
4.60%,
12/31/2049
(f),(h)
4,400
4,246
3
Month
USD
LIBOR
+
3.20%
NTC
Capital
I
1.74%,
01/15/2027
5,500
5,022
3
Month
USD
LIBOR
+
0.52%
NTC
Capital
II
1.81%,
04/15/2027
6,500
5,747
3
Month
USD
LIBOR
+
0.59%
PNC
Financial
Services
Group
Inc/The
6.75%,
12/31/2049
(f),(h)
37,635
37,755
3
Month
USD
LIBOR
+
3.68%
RBS
Capital
Trust
II
6.43%,
12/31/2049
(f),(h)
2,750
3,926
3
Month
USD
LIBOR
+
1.94%
Royal
Bank
of
Scotland
Group
PLC
3.77%,
12/31/2049
(f)
1,900
1,702
3
Month
USD
LIBOR
+
2.32%
7.50%,
12/31/2049
(f),(h)
74,931
73,386
USD
Swap
Semi-Annual
5
Year
+
5.80%
7.65%,
12/31/2049
(f),(h)
28,946
41,248
3
Month
USD
LIBOR
+
2.50%
8.00%,
12/31/2049
(a),(f),(h)
7,825
8,451
USD
Swap
Semi-Annual
5
Year
+
5.72%
8.62%,
12/31/2049
(f),(h)
35,275
36,628
USD
Swap
Semi-Annual
5
Year
+
7.60%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Skandinaviska
Enskilda
Banken
AB
5.63%,
12/31/2049
(f),(h)
$
5,000
$
4,977
USD
Swap
Semi-Annual
5
Year
+
3.49%
Societe
Generale
SA
7.37%,
12/31/2049
(f),(h)
14,120
14,216
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.38%,
12/31/2049
(f),(g),(h)
16,800
16,419
USD
Swap
Semi-Annual
5
Year
+
4.30%
7.38%,
12/31/2049
(f),(g),(h)
25,326
25,498
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.88%,
12/31/2049
(f),(g),(h)
4,900
4,983
USD
Swap
Semi-Annual
5
Year
+
4.98%
7.88%,
12/31/2049
(f),(h)
14,000
14,236
USD
Swap
Semi-Annual
5
Year
+
4.98%
8.00%,
12/31/2049
(f),(g),(h)
23,900
25,573
USD
Swap
Rate
NY
5
Year
+
5.87%
8.00%,
12/31/2049
(f),(h)
9,000
9,630
USD
Swap
Rate
NY
5
Year
+
5.87%
Standard
Chartered
PLC
3.95%,
01/11/2023
11,767
12,065
4.25%,
01/20/2023
(g),(h)
7,063
7,302
3
Month
USD
LIBOR
+
1.15%
4.87%,
03/15/2033
(h)
1,026
1,092
USD
Swap
Rate
NY
5
Year
+
1.97%
7.01%,
12/31/2049
(a),(f),(g),(h)
42,900
46,547
3
Month
USD
LIBOR
+
1.46%
7.01%,
12/31/2049
(f),(h)
19,800
21,483
3
Month
USD
LIBOR
+
1.46%
7.50%,
12/31/2049
(f),(g),(h)
17,700
18,165
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.50%,
12/31/2049
(a),(f),(h)
10,500
10,776
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.75%,
12/31/2049
(f),(g),(h)
25,000
25,781
USD
Swap
Semi-Annual
5
Year
+
5.72%
State
Street
Corp
5.25%,
12/31/2049
(f),(h)
4,000
3,770
3
Month
USD
LIBOR
+
3.60%
Svenska
Handelsbanken
AB
5.25%,
12/31/2049
(f),(h)
29,400
29,374
USD
Swap
Semi-Annual
5
Year
+
3.34%
6.25%,
12/31/2049
(f),(h)
4,600
4,781
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.69%
Swedbank
AB
6.00%,
12/31/2049
(f),(h)
5,200
5,193
USD
Swap
Semi-Annual
5
Year
+
4.11%
Truist
Bank
1.06%,
05/15/2027
10,900
9,350
3
Month
USD
LIBOR
+
0.67%
1.39%,
03/15/2028
9,022
7,726
3
Month
USD
LIBOR
+
0.65%
2.41%,
04/01/2027
7,000
6,022
3
Month
USD
LIBOR
+
0.98%
Truist
Financial
Corp
4.80%,
12/31/2099
(f),(h)
99,300
94,435
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.00%
4.95%,
12/31/2049
(f),(h),(i)
37,340
37,620
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.61%
UBS
Group
AG
6.88%,
12/31/2049
(f),(h)
31,931
32,349
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
5.50%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
132
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
UBS
Group
AG
(continued)
6.88%,
12/31/2049
(f),(h)
$
11,933
$
12,515
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.59%
7.00%,
12/31/2049
(f),(g),(h)
19,500
20,079
USD
Swap
Semi-Annual
5
Year
+
4.34%
7.00%,
12/31/2049
(f),(h)
10,800
11,121
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.34%
7.00%,
12/31/2049
(f),(h)
20,700
22,562
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
4.87%
7.13%,
12/31/2049
(f),(h)
6,000
6,136
USD
Swap
Semi-Annual
(VS
6
Month)
5
Year
+
5.88%
UniCredit
SpA
8.00%,
12/31/2049
(f),(h)
21,000
19,794
USD
Swap
Semi-Annual
5
Year
+
5.18%
US
Bancorp
5.12%,
12/31/2049
(f),(h)
16,900
16,804
3
Month
USD
LIBOR
+
3.49%
USB
Realty
Corp
2.37%,
12/31/2049
(f),(g)
1,500
1,198
3
Month
USD
LIBOR
+
1.15%
Wells
Fargo
&
Co
5.87%,
12/31/2049
(f),(h)
50,300
53,318
3
Month
USD
LIBOR
+
3.99%
7.95%,
11/15/2029
3,700
4,742
$
3,170,292
Diversified
Financial
Services
-
2.71%
Capital
One
Financial
Corp
5.55%,
12/31/2049
(f)
20,430
16,651
3
Month
USD
LIBOR
+
3.80%
Charles
Schwab
Corp/The
5.38%,
12/31/2049
(f),(h)
99,550
105,468
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
7.00%,
12/31/2049
(f),(h)
28,358
29,758
3
Month
USD
LIBOR
+
4.82%
Depository
Trust
&
Clearing
Corp/The
4.88%,
12/31/2049
(f),(g),(h)
27,000
23,220
3
Month
USD
LIBOR
+
3.17%
$
175,097
Electric
-
4.65%
Dominion
Energy
Inc
4.65%,
12/31/2099
(f),(h)
104,799
102,534
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.99%
Duke
Energy
Corp
4.88%,
12/31/2099
(f),(h)
41,700
42,221
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.39%
Emera
Inc
6.75%,
06/15/2076
(h)
57,795
62,535
3
Month
USD
LIBOR
+
5.44%
Enel
SpA
8.75%,
09/24/2073
(g),(h)
12,991
14,751
USD
Swap
Semi-Annual
5
Year
+
5.88%
National
Rural
Utilities
Cooperative
Finance
Corp
5.25%,
04/20/2046
(h)
22,969
24,152
3
Month
USD
LIBOR
+
3.63%
NextEra
Energy
Capital
Holdings
Inc
2.87%,
06/15/2067
8,920
6,804
3
Month
USD
LIBOR
+
2.13%
3.50%,
10/01/2066
23,474
18,545
3
Month
USD
LIBOR
+
2.07%
4.80%,
12/01/2077
(h)
2,300
2,340
3
Month
USD
LIBOR
+
2.41%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
NextEra
Energy
Capital
Holdings
Inc
(continued)
5.65%,
05/01/2079
(h)
$
800
$
866
3
Month
USD
LIBOR
+
3.16%
PPL
Capital
Funding
Inc
4.04%,
03/30/2067
15,700
12,137
3
Month
USD
LIBOR
+
2.67%
Southern
Co/The
5.50%,
03/15/2057
(h)
12,850
13,029
3
Month
USD
LIBOR
+
3.63%
$
299,914
Food
-
0.11%
Dairy
Farmers
of
America
Inc
7.13%,
12/31/2049
(f),(g)
8,700
7,471
Gas
-
0.72%
NiSource
Inc
5.65%,
12/31/2049
(f),(h)
48,700
46,265
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.84%
Hand
&
Machine
Tools
-
0.20%
Stanley
Black
&
Decker
Inc
4.00%,
03/15/2060
(h)
12,900
12,789
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.66%
Insurance
-
20.30%
ACE
Capital
Trust
II
9.70%,
04/01/2030
15,505
22,056
AIG
Life
Holdings
Inc
8.50%,
07/01/2030
31,200
40,800
Allstate
Corp/The
5.75%,
08/15/2053
(h)
11,754
11,930
3
Month
USD
LIBOR
+
2.94%
6.50%,
05/15/2067
(h)
11,905
13,878
3
Month
USD
LIBOR
+
2.12%
American
International
Group
Inc
5.75%,
04/01/2048
(h)
46,701
47,406
3
Month
USD
LIBOR
+
2.87%
8.18%,
05/15/2068
(h)
22,300
27,534
3
Month
USD
LIBOR
+
4.20%
Aon
Corp
8.21%,
01/01/2027
4,750
5,557
Argentum
Netherlands
BV
for
Swiss
Re
Ltd
5.63%,
08/15/2052
(h)
54,000
57,502
3
Month
USD
LIBOR
+
3.78%
5.75%,
08/15/2050
(h)
34,400
36,723
3
Month
USD
LIBOR
+
3.59%
Argentum
Netherlands
BV
for
Zurich
Insurance
Co
Ltd
5.13%,
06/01/2048
(h)
6,290
6,712
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.27%
AXA
SA
6.38%,
12/31/2049
(f),(g),(h)
27,793
35,019
3
Month
USD
LIBOR
+
2.26%
8.60%,
12/15/2030
12,797
18,126
Cloverie
PLC
for
Swiss
Re
Corporate
Solutions
Ltd
4.50%,
09/11/2044
(h)
20,000
20,187
USD
Swap
Semi-Annual
10
Year
+
2.91%
Cloverie
PLC
for
Zurich
Insurance
Co
Ltd
5.63%,
06/24/2046
(h)
5,000
5,567
3
Month
USD
LIBOR
+
4.92%
Dai-ichi
Life
Insurance
Co
Ltd/The
7.25%,
12/31/2049
(f),(g),(h)
13,250
13,913
3
Month
USD
LIBOR
+
4.56%
Everest
Reinsurance
Holdings
Inc
2.78%,
05/01/2067
27,820
20,935
3
Month
USD
LIBOR
+
2.39%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
133
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Hartford
Financial
Services
Group
Inc/The
2.52%,
02/12/2067
(g)
$
5,685
$
4,505
3
Month
USD
LIBOR
+
2.13%
Legal
&
General
Group
PLC
5.25%,
03/21/2047
(h)
37,104
38,662
USD
Swap
Semi-Annual
5
Year
+
3.69%
Liberty
Mutual
Group
Inc
7.80%,
03/07/2087
(g)
76,240
88,394
3
Month
USD
LIBOR
+
3.58%
Liberty
Mutual
Insurance
Co
7.70%,
10/15/2097
(g)
20,025
29,466
Lincoln
National
Corp
2.74%,
05/17/2066
5,416
3,683
3
Month
USD
LIBOR
+
2.36%
3.18%,
04/20/2067
60,769
40,964
3
Month
USD
LIBOR
+
2.04%
M&G
PLC
6.50%,
10/20/2048
(h)
16,188
18,191
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.41%
Meiji
Yasuda
Life
Insurance
Co
5.10%,
04/26/2048
(g),(h)
4,600
5,152
USD
Swap
Rate
NY
5
Year
+
3.15%
5.20%,
10/20/2045
(g),(h)
9,545
10,817
USD
Swap
Semi-Annual
5
Year
+
4.23%
MetLife
Capital
Trust
IV
7.88%,
12/15/2067
(g)
24,540
31,043
MetLife
Inc
6.40%,
12/15/2066
20,770
24,071
3
Month
USD
LIBOR
+
2.21%
9.25%,
04/08/2068
(g)
51,775
71,708
3
Month
USD
LIBOR
+
5.54%
10.75%,
08/01/2069
50,439
76,919
3
Month
USD
LIBOR
+
7.55%
Mitsui
Sumitomo
Insurance
Co
Ltd
4.95%,
12/31/2049
(f),(h)
520
580
USD
Swap
Semi-Annual
5
Year
+
3.26%
4.95%,
12/31/2099
(f),(g),(h)
4,300
4,795
USD
Swap
Semi-Annual
5
Year
+
3.26%
7.00%,
03/15/2072
(g),(h)
10,700
11,556
3
Month
USD
LIBOR
+
5.90%
MMI
Capital
Trust
I
7.63%,
12/15/2027
1,073
1,320
Nationwide
Financial
Services
Inc
6.75%,
05/15/2087
79,015
89,149
Nippon
Life
Insurance
Co
4.70%,
01/20/2046
(g),(h)
5,000
5,488
USD
Swap
Rate
NY
5
Year
+
3.75%
5.10%,
10/16/2044
(g),(h)
26,700
29,370
USD
Swap
Rate
NY
5
Year
+
3.65%
Progressive
Corp/The
5.38%,
12/31/2049
(f),(h)
4,750
4,579
3
Month
USD
LIBOR
+
2.54%
Prudential
Financial
Inc
5.20%,
03/15/2044
(h)
3,945
3,979
3
Month
USD
LIBOR
+
3.04%
5.63%,
06/15/2043
(h)
79,130
81,926
3
Month
USD
LIBOR
+
3.92%
5.88%,
09/15/2042
(h)
45,255
47,590
3
Month
USD
LIBOR
+
4.18%
QBE
Capital
Funding
III
Ltd
7.25%,
05/24/2041
(g),(h)
5,000
5,168
USD
Swap
Semi-Annual
10
Year
+
4.05%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
QBE
Insurance
Group
Ltd
5.88%,
06/17/2046
(h)
$
3,100
$
3,238
USD
Swap
Rate
NY
10
Year
+
4.40%
5.88%,
12/31/2049
(f),(g),(h)
17,200
17,604
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.51%
6.75%,
12/02/2044
(h)
1,533
1,679
USD
Swap
Semi-Annual
10
Year
+
4.30%
Sompo
Japan
Insurance
Inc
5.33%,
03/28/2073
(g),(h)
60,300
64,823
3
Month
USD
LIBOR
+
4.27%
Sumitomo
Life
Insurance
Co
6.50%,
09/20/2073
(g),(h)
15,500
17,515
3
Month
USD
LIBOR
+
4.44%
Voya
Financial
Inc
4.70%,
01/23/2048
(h)
4,500
4,095
3
Month
USD
LIBOR
+
2.08%
5.65%,
05/15/2053
(h)
77,926
77,264
3
Month
USD
LIBOR
+
3.58%
6.13%,
12/31/2049
(f),(h)
10,678
10,571
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.36%
$
1,309,709
Pipelines
-
2.81%
Enbridge
Inc
6.00%,
01/15/2077
(h)
27,975
27,047
3
Month
USD
LIBOR
+
3.89%
6.25%,
03/01/2078
(h)
39,048
37,486
3
Month
USD
LIBOR
+
3.64%
Enterprise
Products
Operating
LLC
5.25%,
08/16/2077
(h)
48,200
43,429
3
Month
USD
LIBOR
+
3.03%
5.38%,
02/15/2078
(h)
5,000
4,482
3
Month
USD
LIBOR
+
2.57%
Transcanada
Trust
5.50%,
09/15/2079
(h)
39,340
38,364
3
Month
USD
LIBOR
+
4.15%
5.87%,
08/15/2076
(h)
30,081
30,329
3
Month
USD
LIBOR
+
4.64%
$
181,137
Sovereign
-
0.30%
CoBank
ACB
6.25%,
12/31/2049
(f),(h)
16,400
16,482
3
Month
USD
LIBOR
+
4.66%
Farm
Credit
Bank
of
Texas
6.20%,
12/31/2049
(f),(g),(h)
3,000
2,835
3
Month
USD
LIBOR
+
3.22%
$
19,317
Telecommunications
-
0.35%
Koninklijke
KPN
NV
7.00%,
03/28/2073
(a),(g),(h)
13,126
13,881
USD
Swap
Semi-Annual
10
Year
+
5.21%
7.00%,
03/28/2073
(h)
8,000
8,460
USD
Swap
Semi-Annual
10
Year
+
5.21%
$
22,341
Transportation
-
0.56%
BNSF
Funding
Trust
I
6.61%,
12/15/2055
(h)
35,709
36,186
3
Month
USD
LIBOR
+
2.35%
TOTAL
BONDS
$
5,280,518
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
134
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
0.73%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
0.73%
0.25%,
04/15/2023
$
35,000
$
35,067
0.38%,
03/31/2022
12,000
12,046
$
47,113
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
47,113
TOTAL
PURCHASED
OPTIONS
-
0.00%
$
98
Total
Investments
$
6,459,335
Other
Assets
and
Liabilities
- (0.12)%
(7,909)
TOTAL
NET
ASSETS
-
100.00%
$
6,451,426
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$20,408
or
0.32%
of
net
assets.
(d)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(e)
Non-income
producing
security
(f)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(g)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$1,427,865
or
22.13%
of
net
assets.
(h)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(i)
Security
purchased
on
a
when-issued
basis.
Portfolio
Summary (unaudited)
Sector
Percent
Financial
79.89%
Utilities
8.11%
Money
Market
Funds
3.14%
Energy
2.81%
Government
2.08%
Communications
1.83%
Industrial
1.10%
Investment
Companies
0.71%
Consumer,
Non-cyclical
0.45%
Purchased
Options
0.00%
Other
Assets
and
Liabilities
(0.12)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
98,550
$
1,858,526
$
1,759,199
$
197,877
$
98,550
$
1,858,526
$
1,759,199
$
197,877
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
1,670
$
—
$
—
$
—
$
1,670
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
US
Long
Bond
Future;
September
2020
N/A
300
$
300
$
176.50
06/08/2020
$
113
$
98
$
(15)
Total
$
113
$
98
$
(15)
Amounts
in
thousands
except
contracts/shares.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
US
Long
Bond;
September
2020
Long
300
$
53,513
$
313
Total
$
313
Amounts
in
thousands
except
contracts.
Schedule
of
Investments
SystematEx
International
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
135
INVESTMENT
COMPANIES
-
3.69%
Shares
Held
Value
(000's)
Money
Market
Funds
-
3.69%
BlackRock
Liquidity
FedFund
-
Institutional
Class
0.10%
(a),(b)
2,137,057
$
2,137
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
(a),(c),(d)
5,498,884
5,499
$
7,636
TOTAL
INVESTMENT
COMPANIES
$
7,636
COMMON
STOCKS
-
95.10%
Shares
Held
Value
(000's)
Apparel
-
1.93%
Adidas
AG
(d)
4,143
1,099
boohoo
Group
PLC
(d)
176,099
847
LVMH
Moet
Hennessy
Louis
Vuitton
SE
4,858
2,038
$
3,984
Automobile
Manufacturers
-
3.59%
Ferrari
NV
9,627
1,637
Honda
Motor
Co
Ltd
37,000
964
Toyota
Motor
Corp
63,900
4,027
Volvo
AB
-
B
Shares
55,454
791
$
7,419
Automobile
Parts
&
Equipment
-
0.67%
Toyota
Industries
Corp
27,100
1,392
Banks
-
6.34%
Bank
Leumi
Le-Israel
BM
27,219
145
Canadian
Imperial
Bank
of
Commerce
15,100
968
Credicorp
Ltd
9,416
1,298
DBS
Group
Holdings
Ltd
123,400
1,707
DNB
ASA
(d)
105,664
1,442
Erste
Group
Bank
AG
(d)
31,333
693
Grupo
Financiero
Banorte
SAB
de
CV
217,600
663
HDFC
Bank
Ltd
ADR
16,523
691
ICICI
Bank
Ltd
ADR
54,673
476
Israel
Discount
Bank
Ltd
74,908
238
Mediobanca
Banca
di
Credito
Finanziario
SpA
154,191
1,014
PT
Bank
Central
Asia
Tbk
643,100
1,144
Toronto-Dominion
Bank/The
44,500
1,906
United
Overseas
Bank
Ltd
52,100
722
$
13,107
Beverages
-
0.65%
Carlsberg
A/S
10,340
1,340
Biotechnology
-
1.27%
CSL
Ltd
14,215
2,633
Building
Materials
-
1.68%
Anhui
Conch
Cement
Co
Ltd
75,700
604
China
Lesso
Group
Holdings
Ltd
296,000
360
Cie
de
Saint-Gobain
21,403
701
CRH
PLC
43,910
1,414
HeidelbergCement
AG
7,720
386
$
3,465
Chemicals
-
2.11%
BASF
SE
18,153
988
Evonik
Industries
AG
27,897
689
ICL
Group
Ltd
210,786
735
Koninklijke
DSM
NV
10,392
1,329
Nutrien
Ltd
18,000
615
$
4,356
Commercial
Services
-
1.70%
Adecco
Group
AG
13,644
656
Adyen
NV
(d),(e)
861
1,129
Aggreko
PLC
36,096
212
Dai
Nippon
Printing
Co
Ltd
28,600
652
New
Oriental
Education
&
Technology
Group
Inc
ADR
(d)
7,122
854
$
3,503
Computers
-
2.50%
Capgemini
SE
10,106
1,044
Logitech
International
SA
37,461
2,226
Nomura
Research
Institute
Ltd
33,700
894
Obic
Co
Ltd
5,800
1,007
$
5,171
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Cosmetics
&
Personal
Care
-
0.46%
Unilever
NV
18,406
$
951
Distribution
&
Wholesale
-
2.11%
Ferguson
PLC
22,835
1,801
ITOCHU
Corp
88,700
1,907
Mitsubishi
Corp
27,900
652
$
4,360
Diversified
Financial
Services
-
1.49%
London
Stock
Exchange
Group
PLC
8,128
811
ORIX
Corp
145,600
1,927
Tisco
Financial
Group
PCL
146,300
346
$
3,084
Electric
-
2.51%
Enel
SpA
305,879
2,365
Iberdrola
SA
217,769
2,358
Northland
Power
Inc
20,000
462
$
5,185
Electronics
-
1.69%
Halma
PLC
31,990
928
Hoya
Corp
27,300
2,569
$
3,497
Energy
-
Alternate
Sources
-
0.76%
Vestas
Wind
Systems
A/S
15,417
1,575
Food
-
3.54%
Koninklijke
Ahold
Delhaize
NV
30,494
773
Nestle
SA
52,901
5,744
Seven
&
i
Holdings
Co
Ltd
23,200
796
$
7,313
Forest
Products
&
Paper
-
0.54%
Mondi
PLC
58,910
1,108
Hand
&
Machine
Tools
-
1.32%
Amada
Co
Ltd
77,100
689
Techtronic
Industries
Co
Ltd
234,500
2,046
$
2,735
Healthcare
-
Products
-
1.88%
Ambu
A/S
14,067
475
Carl
Zeiss
Meditec
AG
(d)
4,215
431
GN
Store
Nord
A/S
8,120
442
Koninklijke
Philips
NV
(d)
36,004
1,637
Sartorius
Stedim
Biotech
(d)
3,325
905
$
3,890
Healthcare
-
Services
-
1.98%
ICON
PLC
(d)
10,304
1,736
Lonza
Group
AG
4,788
2,364
$
4,100
Holding
Companies
-
Diversified
-
0.21%
Swire
Pacific
Ltd
81,000
426
Home
Builders
-
1.11%
Persimmon
PLC
47,193
1,346
Taylor
Wimpey
PLC
529,792
949
$
2,295
Home
Furnishings
-
1.66%
Howden
Joinery
Group
PLC
134,712
988
Sony
Corp
37,700
2,442
$
3,430
Insurance
-
6.41%
AIA
Group
Ltd
195,600
1,605
ASR
Nederland
NV
23,351
642
AXA
SA
71,760
1,317
Fairfax
Financial
Holdings
Ltd
2,400
667
Hannover
Rueck
SE
9,620
1,554
Legal
&
General
Group
PLC
710,647
1,754
NN
Group
NV
23,921
734
PICC
Property
&
Casualty
Co
Ltd
596,000
521
Prudential
PLC
99,220
1,287
Sompo
Holdings
Inc
26,400
942
Tokio
Marine
Holdings
Inc
40,700
1,766
Schedule
of
Investments
SystematEx
International
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
136
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
Unipol
Gruppo
SpA
(d)
132,121
$
466
$
13,255
Internet
-
6.46%
Alibaba
Group
Holding
Ltd
ADR
(d)
25,640
5,317
MercadoLibre
Inc
(d)
703
599
Shopify
Inc
(d)
1,541
1,168
Tencent
Holdings
Ltd
94,200
5,102
Vipshop
Holdings
Ltd
ADR
(d)
67,948
1,178
$
13,364
Investment
Companies
-
0.36%
Kinnevik
AB
29,346
744
Machinery
-
Construction
&
Mining
-
0.59%
Komatsu
Ltd
60,400
1,221
Machinery
-
Diversified
-
1.40%
Keyence
Corp
4,200
1,730
Miura
Co
Ltd
10,600
456
Valmet
Oyj
27,029
707
$
2,893
Metal
Fabrication
&
Hardware
-
1.10%
NSK
Ltd
65,000
478
SKF
AB
97,486
1,802
$
2,280
Mining
-
2.58%
Franco-Nevada
Corp
11,422
1,606
MMC
Norilsk
Nickel
PJSC
ADR
39,663
1,261
Rio
Tinto
Ltd
39,391
2,460
$
5,327
Miscellaneous
Manufacturers
-
1.54%
JSR
Corp
38,700
763
Siemens
AG
16,256
1,792
Trelleborg
AB
(d)
45,462
622
$
3,177
Oil
&
Gas
-
2.65%
LUKOIL
PJSC
ADR
14,994
1,127
Neste
Oyj
69,251
2,822
Parkland
Corp/Canada
18,400
517
Suncor
Energy
Inc
59,300
1,019
$
5,485
Pharmaceuticals
-
6.93%
Galapagos
NV
(d)
3,117
632
Merck
KGaA
10,940
1,261
Novartis
AG
43,241
3,764
Novo
Nordisk
A/S
41,247
2,702
Roche
Holding
AG
17,194
5,969
$
14,328
Pipelines
-
1.70%
Pembina
Pipeline
Corp
70,700
1,766
TC
Energy
Corp
38,600
1,740
$
3,506
Private
Equity
-
3.09%
3i
Group
PLC
233,152
2,386
Brookfield
Asset
Management
Inc
103,000
3,234
Intermediate
Capital
Group
PLC
49,025
771
$
6,391
Real
Estate
-
1.81%
CK
Asset
Holdings
Ltd
161,000
884
PSP
Swiss
Property
AG
4,348
495
Sun
Hung
Kai
Properties
Ltd
60,000
703
Tokyo
Tatemono
Co
Ltd
37,400
483
Vonovia
SE
20,547
1,182
$
3,747
Retail
-
4.61%
Alimentation
Couche-Tard
Inc
96,000
3,005
ANTA
Sports
Products
Ltd
85,000
762
Hennes
&
Mauritz
AB
(f)
41,899
637
Home
Product
Center
PCL
1,219,600
550
JD
Sports
Fashion
PLC
109,304
896
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Retail
(continued)
Li
Ning
Co
Ltd
277,500
$
940
Pan
Pacific
International
Holdings
Corp
66,300
1,337
Wal-Mart
de
Mexico
SAB
de
CV
562,500
1,408
$
9,535
Semiconductors
-
2.57%
ASML
Holding
NV
11,122
3,643
NXP
Semiconductors
NV
17,450
1,677
$
5,320
Software
-
1.33%
Capcom
Co
Ltd
24,300
860
Dassault
Systemes
SE
7,491
1,279
Nemetschek
SE
7,655
608
$
2,747
Telecommunications
-
4.18%
Deutsche
Telekom
AG
86,225
1,353
Nice
Ltd
ADR
(d)
8,430
1,569
Nippon
Telegraph
&
Telephone
Corp
110,300
2,511
Orange
SA
62,119
747
SoftBank
Group
Corp
54,000
2,466
$
8,646
Toys,
Games
&
Hobbies
-
1.04%
Nintendo
Co
Ltd
5,300
2,155
Transportation
-
1.05%
Canadian
National
Railway
Co
25,200
2,171
TOTAL
COMMON
STOCKS
$
196,611
Total
Investments
$
204,247
Other
Assets
and
Liabilities
- 1.21%
2,495
TOTAL
NET
ASSETS
-
100.00%
$
206,742
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$2,137
or
1.03%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933.
These
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$1,129
or
0.55%
of
net
assets.
(f)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Schedule
of
Investments
SystematEx
International
Fund
May
31,
2020
(unaudited)
See
accompanying
notes.
137
Portfolio
Summary (unaudited)
Location
Percent
Japan
17.95%
Switzerland
10.27%
Canada
10.08%
United
Kingdom
9.42%
China
7.56%
Netherlands
5.58%
Germany
5.48%
France
3.89%
United
States
3.69%
Denmark
3.16%
Hong
Kong
2.75%
Italy
2.66%
Sweden
2.22%
Finland
1.70%
Ireland
1.52%
Israel
1.30%
Australia
1.27%
Singapore
1.18%
Russian
Federation
1.16%
Spain
1.14%
Mexico
1.00%
Norway
0.70%
Peru
0.63%
India
0.56%
Indonesia
0.55%
Thailand
0.44%
Austria
0.34%
Belgium
0.30%
Argentina
0.29%
Other
Assets
and
Liabilities
1.21%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
May
31,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
386
$
199,515
$
194,402
$
5,499
$
386
$
199,515
$
194,402
$
5,499
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/
Loss
Principal
Government
Money
Market
Fund
-
Institutional
Class
0.00%
$
22
$
—
$
—
$
—
$
22
$
—
$
—
$
—
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Glossary
to
the
Schedule
of
Investments
May
31,
2020
(unaudited)
See
accompanying
notes.
138
Currency
Abbreviations
ARS
Argentine
Peso
AUD
Australian
Dollar
BRL
Brazilian
Real
CAD
Canadian
Dollar
CHF
Swiss
Franc
CLP
Chilean
Peso
CNH
Chinese
Renminbi
CNY
Chinese
Renminbi
COP
Colombian
Peso
CZK
Czech
Koruna
DKK
Danish
Krone
EUR
Euro
GBP
British
Pound
Sterling
HKD
Hong
Kong
Dollar
HUF
Hungarian
Forint
IDR
Indonesian
Rupiah
INR
Indian
Rupee
JPY
Japanese
Yen
KRW
South
Korean
Won
MXN
Mexican
Peso
MYR
Malaysian
Ringgit
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
PEN
Peruvian
Nuevo
Sol
PLN
Polish
Zloty
RUB
Russian
Ruble
SEK
Swedish
Krona
THB
Thai
Baht
TRY
Turkish
Lira
USD/$
United
States
Dollar
ZAR
South
African
Rand
May
31,
2020
(unaudited)
139
Security
Valuation.
Blue
Chip
Fund,
Bond
Market
Index
Fund,
Capital
Securities
Fund,
Diversified
Real
Asset
Fund,
EDGE
MidCap
Fund,
Global
Multi-Strategy
Fund,
Global
Opportunities
Fund,
International
Equity
Index
Fund,
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
Small-MidCap
Growth
Fund,
Spectrum
Preferred
and
Capital
Securities
Income
Fund,
and
SystematEx
International
Fund
(known
as
the
“Funds”)
value
securities
for
which
market
quotations
are
readily
available
at
fair
value,
which
is
determined
using
the
last
reported
sale
price.
If
no
sales
are
reported,
as
is
regularly
the
case
for
some
securities
traded
over-the-counter,
securities
are
valued
using
the
last
reported
bid
price
or
an
evaluated
bid
price
provided
by
a
pricing
service.
Pricing
services
use
modeling
techniques
that
incorporate
security
characteristics
such
as
current
quotations
by
broker/dealers,
coupon,
maturity,
quality,
type
of
issue,
trading
characteristics,
other
yield
and
risk
factors,
and
other
market
conditions
to
determine
an
evaluated
bid
price
or,
in
the
case
of
certain
credit
default
swaps,
a
mean
price
provided
by
a
pricing
service.
When
reliable
market
quotations
are
not
considered
to
be
readily
available,
which
may
be
the
case,
for
example,
with
respect
to
restricted
securities,
certain
debt
securities,
preferred
stocks,
and
foreign
securities,
the
investments
are
valued
at
their
fair
value
as
determined
in
good
faith
by
the
Principal
Global
Investors,
LLC
(“the
Manager”)
under
procedures
established
and
periodically
reviewed
by
the
Fund’s
Board
of
Directors.
Certain
of
the
Funds
invest
in
Institutional
Class
shares
of
other
series
of
Principal
Funds,
Inc.
(the
“Underlying
Funds”).
Investments
in
the
Underlying
Funds
are
valued
at
the
closing
net
asset
value
per
share
of
each
Underlying
Fund
on
the
day
of
valuation.
The
value
of
foreign
securities
used
in
computing
the
net
asset
value
per
share
is
generally
determined
as
of
the
close
of
the
foreign
exchange
where
the
security
is
principally
traded.
Events
that
occur
after
the
close
of
the
applicable
foreign
market
or
exchange
but
prior
to
the
calculation
of
the
Funds’
net
asset
values
are
reflected
in
the
Funds’
net
asset
values
and
these
securities
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Fund’s
Board
of
Directors.
Many
factors,
provided
by
independent
pricing
services,
are
reviewed
in
the
course
of
making
a
good
faith
determination
of
a
security’s
fair
value,
including,
but
not
limited
to,
price
movements
in
ADRs,
futures
contracts,
industry
indices,
general
indices,
and
foreign
currencies.
To
the
extent
the
Funds
invest
in
foreign
securities
listed
on
foreign
exchanges
which
trade
on
days
on
which
the
Funds
do
not
determine
net
asset
values,
for
example
weekends
and
other
customary
national
U.S.
holidays,
the
Funds’
net
asset
values
could
be
significantly
affected
on
days
when
shareholders
cannot
purchase
or
redeem
shares.
Certain
securities
issued
by
companies
in
emerging
market
countries
may
have
more
than
one
quoted
valuation
at
any
given
point
in
time,
sometimes
referred
to
as
a
“local”
price
and
a
“premium”
price.
The
premium
price
is
often
a
negotiated
price,
which
may
not
consistently
represent
a
price
at
which
a
specific
transaction
can
be
effected.
It
is
the
policy
of
the
Funds
to
value
such
securities
at
prices
at
which
it
is
expected
those
shares
may
be
sold,
and
the
Manager
or
any
Sub-Advisor
is
authorized
to
make
such
determinations
subject
to
such
oversight
by
the
Fund’s
Board
of
Directors
as
may
occasionally
be
necessary.
Fair
value
is
defined
as
the
price
that
the
Funds
would
receive
upon
selling
a
security
or
transferring
a
liability
in
a
timely
transaction
to
an
independent
buyer
in
the
principal
or
most
advantageous
market
of
the
security
at
the
measurement
date.
In
determining
fair
value,
the
Funds
may
use
one
or
more
of
the
following
approaches:
market,
income
and/or
cost.
A
hierarchy
for
inputs
is
used
in
measuring
fair
value
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
requiring
that
the
most
observable
inputs
be
used
when
available.
Observable
inputs
are
inputs
that
reflect
the
assumptions
market
participants
would
use
in
pricing
the
asset
or
liability
developed
based
on
market
data
obtained
from
sources
independent
of
the
Funds.
Unobservable
inputs
are
inputs
that
reflect
the
fund’s
own
estimates
about
the
estimates
market
participants
would
use
in
pricing
the
asset
or
liability
developed
based
on
the
best
information
available
in
the
circumstances.
The
three-tier
hierarchy
of
inputs
is
summarized
in
the
three
broad
levels
listed
below.
Level
1
–
Quoted
prices
are
available
in
active
markets
for
identical
securities
as
of
the
reporting
date.
Investments
which
are
generally
included
in
this
category
include
listed
equities
and
listed
derivatives.
Level
2
–
Other
significant
observable
inputs
(including
quoted
prices
for
similar
investments,
interest
rates,
prepayments
speeds,
credit
risk,
etc.).
Investments
which
are
generally
included
in
this
category
include
certain
foreign
equities,
corporate
bonds,
senior
floating
rate
interests,
municipal
bonds,
and
US
Government
and
Government
Agency
Obligations.
Level
3
–
Significant
unobservable
inputs
(including
the
Funds’
assumptions
in
determining
the
fair
value
of
investments).
Investments
which
are
generally
included
in
this
category
include
certain
common
stocks,
corporate
bonds,
mortgage
backed
securities
or
senior
floating
rate
interests.
May
31,
2020
(unaudited)
140
The
availability
of
observable
inputs
can
vary
from
security
to
security
and
is
affected
by
a
wide
variety
of
factors,
including,
for
example,
the
type
of
security,
whether
the
security
is
new
and
not
yet
established
in
the
market
place,
and
other
characteristics
particular
to
the
transaction.
To
the
extent
that
valuation
is
based
on
models
or
inputs
that
are
less
observable
or
unobservable
in
the
market,
the
determination
of
fair
value
requires
more
judgment.
Accordingly,
the
degree
of
judgment
exercised
by
the
Funds
in
determining
fair
value
is
greatest
for
instruments
categorized
in
Level
3.
In
certain
cases,
the
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes,
the
level
in
the
fair
value
hierarchy
within
which
the
fair
value
measurement
in
its
entirety
falls
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
Fair
value
is
a
market
based
measure
considered
from
the
perspective
of
a
market
participant
who
holds
the
asset
rather
than
an
entity
specific
measure.
Therefore,
even
when
market
assumptions
are
not
readily
available,
the
Funds’
own
assumptions
are
set
to
reflect
those
that
market
participants
would
use
in
pricing
the
asset
or
liability
at
the
measurement
date.
The
Funds
use
prices
and
inputs
that
are
current
as
of
the
measurement
date,
when
available.
Investments
which
are
included
in
the
Level
3
category
may
be
valued
using
quoted
prices
from
brokers
and
dealers
participating
in
the
market
for
these
investments.
These
investments
are
classified
as
Level
3
investments
due
to
the
lack
of
market
transparency
and
market
corroboration
to
support
these
quoted
prices.
Valuation
models
may
be
used
as
the
pricing
source
for
other
investments
classified
as
Level
3.
Valuation
models
rely
on
one
or
more
significant
unobservable
inputs
such
as
prepayment
rates,
probability
of
default,
or
loss
severity
in
the
event
of
default.
Significant
increases
in
any
of
those
inputs
in
isolation
would
result
in
a
significantly
lower
fair
value
measurement.
Benchmark
pricing
procedures
set
the
base
price
of
a
security
based
on
current
market
data.
The
base
price
may
be
a
broker-dealer
quote,
transaction
price,
or
internal
value
based
on
relevant
market
data.
The
fair
values
of
these
securities
are
dependent
on
economic,
political
and
other
considerations.
The
values
of
such
securities
may
be
affected
by
significant
changes
in
the
economic
conditions,
changes
in
government
policies,
and
other
factors
(e.g.,
natural
disasters,
accidents,
conflicts,
etc.).
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Fund’s
Board
of
Directors.
The
Manager
has
established
a
valuation
committee
(“Valuation
Committee”)
of
senior
officers
and
employees,
with
the
responsibility
of
overseeing
the
pricing
and
valuation
of
all
securities,
including
securities
where
market
quotations
are
not
readily
available.
The
Valuation
Committee
meets
at
least
monthly
and
reports
directly
to
the
Board
of
Directors.
A
pricing
group
(the
“Pricing
Group”)
who
reports
to
the
Valuation
Committee,
relies
on
the
established
pricing
policies
to
determine
fair
valuation.
Included
in
the
pricing
policies
is
an
overview
of
the
approved
valuation
approaches
established
for
each
asset
class.
The
Pricing
Group
will
consider
all
appropriate
information
available
when
determining
fair
valuation.
The
Pricing
Group
relies
on
externally
provided
valuation
inputs
to
determine
the
value
of
Level
3
securities.
Security
values
are
updated
as
new
information
becomes
available.
Valuation
data
and
changes
in
valuation
amounts
are
reviewed
on
a
daily
basis
based
on
specified
criteria
for
the
security,
asset
class,
and
other
factors.
In
addition,
valuation
data
is
periodically
compared
to
actual
transactions
executed
by
the
Funds
(i.e.,
purchases/sales)
and
differences
between
transaction
prices
and
prior
period
valuation
data
are
investigated
based
on
specified
tolerances.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
instruments.
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Blue
Chip
Fund
Common
Stocks*
$
6,434,205
$
—
$
—
$
6,434,205
Investment
Companies
110,896
—
—
110,896
Total
investments
in
securities
$
6,545,101
$
—
$
—
$
6,545,101
Bond
Market
Index
Fund
Bonds*
—
775,616
—
775,616
Investment
Companies
126,629
—
—
126,629
Municipal
Bonds*
—
15,209
—
15,209
U.S.
Government
&
Government
Agency
Obligations*
—
1,541,747
—
1,541,747
Total
investments
in
securities
$
126,629
$
2,332,572
$
—
$
2,459,201
May
31,
2020
(unaudited)
141
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Capital
Securities
Fund
Bonds*
$
—
$
682,297
$
—
$
682,297
Convertible
Preferred
Stocks
Industrial
2,613
—
—
2,613
Investment
Companies
24,669
—
—
24,669
Preferred
Stocks
Communications
2,848
—
—
2,848
Energy
3,843
—
—
3,843
Financial
13,908
—
—
13,908
Government
—
6,657
—
6,657
Utilities
1,057
—
—
1,057
U.S.
Government
&
Government
Agency
Obligations*
—
4,512
—
4,512
Total
investments
in
securities
$
48,938
$
693,466
$
—
$
742,404
Diversified
Real
Asset
Fund
Bonds*
—
402,934
—
402,934
Commodity
Indexed
Structured
Notes*
—
13,954
—
13,954
Common
Stocks
Basic
Materials
133,675
116,838
—
250,513
Communications
3,101
1,298
2
4,401
Consumer,
Cyclical
9,413
8,278
33
17,724
Consumer,
Non-cyclical
39,941
61,210
42
101,193
Energy
212,332
65,552
—
277,884
Financial
210,265
107,568
—
317,833
Industrial
92,895
98,300
—
191,195
Technology
1,144
—
—
1,144
Utilities
224,370
256,976
—
481,346
Investment
Companies
50,559
—
—
50,559
Preferred
Stocks
3,765
—
—
3,765
Senior
Floating
Rate
Interests*
—
496,105
—
496,105
U.S.
Government
&
Government
Agency
Obligations*
—
542,603
—
542,603
Purchased
Options
81
66
—
147
Purchased
Interest
Rate
Swaptions
—
2,851
—
2,851
Purchased
Capped
Options
—
140
—
140
Total
investments
in
securities
$
981,541
$
2,174,673
$
77
$
3,156,291
Assets
Commodity
Contracts
Futures**
6,812
—
—
6,812
Total
Return
Swaps
—
44
5
—
44
5
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
540
—
540
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
9,374
—
9,374
Futures**
378
—
—
378
Liabilities
Commodity
Contracts
Futures**
(9,410)
—
—
(
9,410
)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(680)
—
(680)
Interest
Rate
Contracts
Capped
Options
—
(80)
—
(80)
Exchange
Cleared
Interest
Rate
Swaps**
—
(10,171)
—
(10,171)
Futures**
(223)
—
—
(223)
Interest
Rate
Swaptions
—
(4,685)
—
(4,685)
Written
Options
(107)
—
—
(107)
Edge
MidCap
Fund
Common
Stocks
Basic
Materials
17,904
—
—
17,904
Communications
13,467
11,925
—
25,392
Consumer,
Cyclical
72,831
—
—
72,831
Consumer,
Non-cyclical
103,051
—
—
103,051
Energy
18,498
—
—
18,498
Financial
124,139
—
—
124,139
Industrial
137,640
—
—
137,640
Technology
115,790
—
—
115,790
May
31,
2020
(unaudited)
142
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Edge
MidCap
Fund
Utilities
$
43,862
$
—
$
—
$
43,862
Investment
Companies
18,048
—
—
18,048
Total
investments
in
securities
$
665,230
$
11,925
$
—
$
677,155
Global
Multi-Strategy
Fund
Bonds*
—
297,224
230
297,454
Common
Stocks
Basic
Materials
9,013
7,320
—
16,333
Communications
28,713
7,246
212
36,171
Consumer,
Cyclical
31,224
11,666
27
42,917
Consumer,
Non-cyclical
59,180
13,165
447
72,792
Diversified
3
89
—
92
Energy
7,963
1,321
31
9,315
Financial
36,922
10,393
446
47,761
Industrial
32,505
12,055
—
44,560
Technology
37,398
5,979
337
43,714
Utilities
5,637
4,798
—
10,435
Convertible
Bonds*
—
2,931
—
2,931
Convertible
Preferred
Stocks
Communications
—
—
119
119
Consumer,
Cyclical
—
—
63
63
Consumer,
Non-cyclical
638
—
—
638
Energy
24
—
—
24
Financial
52
—
—
52
Industrial
38
—
—
38
Utilities
68
—
—
68
Investment
Companies
1
0
2,165
—
—
10
2,165
Municipal
Bonds*
—
524
—
524
Preferred
Stocks
Basic
Materials
—
100
—
100
Communications
—
—
3
3
Consumer,
Cyclical
—
185
—
185
Energy
—
—
2,606
2,606
Financial
—
—
311
311
Technology
—
—
124
124
Repurchase
Agreements*
—
257,500
—
257,500
Senior
Floating
Rate
Interests*
—
10,893
—
10,893
U.S.
Government
&
Government
Agency
Obligations*
—
422,969
—
422,969
Purchased
Options
585
376
—
961
Purchased
Interest
Rate
Swaptions
—
417
—
417
Total
investments
in
securities
$
352,128
$
1,067,151
$
4,956
$
1,424,235
Short
Sales
Bonds
—
(4,883)
—
(4,883)
Common
Stocks
Basic
Materials
(4,326)
(3,559)
—
(7,885)
Communications
(7,763)
(2,274)
—
(10,037)
Consumer,
Cyclical
(11,915)
(4,930)
—
(16,845)
Consumer,
Non-cyclical
(17,275)
(5,901)
—
(23,176)
Diversified
—
(80)
—
(80)
Energy
(6,402)
(699)
—
(7,101)
Financial
(11,498)
(5,472)
—
(16,970)
Industrial
(14,450)
(7,757)
—
(22,207)
Technology
(11,411)
(2,563)
—
(13,974)
Utilities
(7,092)
(1,749)
—
(8,841)
Preferred
Stocks
Consumer,
Non-cyclical
—
(200)
—
(200)
U.S.
Government
&
Government
Agency
Obligations
—
(275,734)
—
(275,734)
Total
Short
Sales
$
(92,132)
$
(315,801)
$
—
$
(407,933)
Reverse
Repurchase
Agreements
—
(380,667)
—
(380,667)
Assets
Credit
Contracts
Credit
Default
Swaps
—
1,139
—
1,139
Exchange
Cleared
Credit
Default
Swaps**
—
737
—
737
Commodity
Contracts
Futures**
962
—
—
962
May
31,
2020
(unaudited)
143
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Global
Multi-Strategy
Fund
Equity
Contracts
Futures**
$
1,03
7
$
—
$
—
$
1,03
7
Total
Return
Equity
Basket
Swaps
—
4,05
0
—
4,05
0
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
8,796
—
8,796
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
3,515
—
3,515
Futures**
604
—
—
604
Interest
Rate
Swaps
—
153
—
153
Liabilities
Credit
Contracts
Credit
Default
Swaps
—
(610)
—
(610)
Commodity
Contracts
Futures**
(
872
)
—
—
(
872
)
Equity
Contracts
Futures**
(9,416)
—
—
(9,416)
Written
Options
(204)
—
—
(204)
Total
Return
Equity
Basket
Swaps
—
(2,195)
—
(2,195)
Foreign
Exchange
Contracts
Futures**
(2)
—
—
(
2
)
Foreign
Currency
Contracts
—
(9,894)
—
(9,894)
Written
Options
—
(418)
—
(418)
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
(7,327)
—
(7,327)
Futures**
(553)
—
—
(553)
Interest
Rate
Swaps
—
(173)
—
(173)
Interest
Rate
Swaptions
—
(26)
—
(26)
Written
Options
(36)
—
—
(36)
International
Equity
Index
Fund
Common
Stocks
Basic
Materials
—
66,383
—
66,383
Communications
924
62,717
—
63,641
Consumer,
Cyclical
285
126,825
—
127,110
Consumer,
Non-cyclical
2,260
304,827
—
307,087
Diversified
—
2,394
—
2,394
Energy
—
38,620
—
38,620
Financial
345
193,580
—
193,925
Industrial
—
135,798
—
135,798
Technology
1,356
53,028
—
54,384
Utilities
—
41,038
—
41,038
Investment
Companies
26,301
—
—
26,301
Preferred
Stocks
Basic
Materials
—
226
—
226
Consumer,
Cyclical
—
3,129
—
3,129
Consumer,
Non-cyclical
—
1,294
—
1,294
Industrial
—
1,077
—
1,077
Total
investments
in
securities
$
31,471
$
1,030,936
$
—
$
1,062,407
Assets
Equity
Contracts
Futures**
343
—
—
343
International
Small
Company
Fund
Common
Stocks
Basic
Materials
21,957
43,290
—
65,247
Communications
—
43,709
—
43,709
Consumer,
Cyclical
4,226
115,506
—
119,732
Consumer,
Non-cyclical
10,713
132,797
—
143,510
Energy
6,429
17,614
—
24,043
Financial
11,209
173,306
—
184,515
Industrial
11,503
134,133
—
145,636
Technology
15,931
66,995
—
82,926
Utilities
10,979
16,350
—
27,329
Investment
Companies
48,772
—
—
48,772
Total
investments
in
securities
$
141,719
$
743,700
$
—
$
885,419
May
31,
2020
(unaudited)
144
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Opportunistic
Municipal
Fund
Investment
Companies
$
47
$
—
$
—
$
47
Municipal
Bonds*
—
129,469
—
129,469
Total
investments
in
securities
$
47
$
129,469
$
—
$
129,516
Origin
Emerging
Markets
Fund
Common
Stocks
Basic
Materials
49,664
15,165
—
64,829
Communications
129,103
120,000
—
249,103
Consumer,
Cyclical
10,147
61,861
—
72,008
Consumer,
Non-cyclical
28,013
121,282
—
149,295
Energy
—
26,635
—
26,635
Financial
18,020
161,305
—
179,325
Industrial
4,291
181,244
—
185,535
Technology
119,714
178,931
—
298,645
Utilities
—
79,101
—
79,101
Investment
Companies
36,940
—
—
36,940
Preferred
Stocks
3,075
—
—
3,075
Total
investments
in
securities
$
398,967
$
945,524
$
—
$
1,344,491
Small-MidCap
Dividend
Income
Fund
Common
Stocks*
1,575,600
—
—
1,575,600
Investment
Companies
32,899
—
—
32,899
Total
investments
in
securities
$
1,608,499
$
—
$
—
$
1,608,499
Small-MidCap
Growth
Fund
Common
Stocks*
5,949
—
—
5,949
Investment
Companies
67
—
—
67
Total
investments
in
securities
$
6,016
$
—
$
—
$
6,016
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Bonds*
—
5,280,518
—
5,280,518
Convertible
Preferred
Stocks
Financial
37,162
—
—
37,162
Industrial
21,945
—
—
21,945
Investment
Companies
248,474
—
—
248,474
Preferred
Stocks
Communications
95,770
—
—
95,770
Consumer,
Non-cyclical
—
21,698
—
21,698
Financial
446,389
15,787
—
462,176
Government
—
67,770
—
67,770
Utilities
174,473
2,138
—
176,611
U.S.
Government
&
Government
Agency
Obligations*
—
47,113
—
47,113
Purchased
Options
—
98
—
98
Total
investments
in
securities
$
1,024,213
$
5,435,122
$
—
$
6,459,335
Assets
Interest
Rate
Contracts
Futures**
313
—
—
313
SystematEx
International
Fund
Common
Stocks
Basic
Materials
3,482
7,309
—
10,791
Communications
9,831
12,179
—
22,010
Consumer,
Cyclical
4,413
30,157
—
34,570
Consumer,
Non-cyclical
2,590
35,468
—
38,058
Diversified
—
426
—
426
Energy
5,042
5,524
—
10,566
Financial
9,903
30,425
—
40,328
Industrial
2,171
19,268
—
21,439
Technology
1,677
11,561
—
13,238
May
31,
2020
(unaudited)
145
*For
additional
detail
regarding
sector
classifications,
please
see
the
Schedule
of
Investments.
**Exchange
cleared
swaps
and
futures
are
presented
at
the
unrealized
appreciation/(depreciation)
of
the
instrument.
The
Funds'
Schedules
of
Investments
as
of
May
31,
2020
have
not
been
audited.
This
report
is
provided
for
the
general
information
of
the
Funds'
shareholders.
For
more
information
regarding
the
Fund
and
its
holdings,
please
see
the
Funds'
prospectus
and
annual
report.
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
SystematEx
International
Fund
Utilities
$
462
$
4,723
$
—
$
5,185
Investment
Companies
7,636
—
—
7,636
Total
investments
in
securities
$
47,207
$
157,040
$
—
$
204,247