UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-08104
Touchstone Funds Group Trust
(Exact name of registrant as specified in charter)
303 Broadway, Suite 1100
Cincinnati, Ohio 45202-4203
(Address of principal executive offices) (Zip code)
E. Blake Moore, Jr.
303 Broadway, Suite 1100
Cincinnati, Ohio 45202-4203
(Name and address of agent for service)
Registrant's telephone number, including area code: 800-638-8194
Date of fiscal year end: September 30
Date of reporting period: March 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Touchstone Funds Group Trust |
Touchstone Active Bond Fund |
Touchstone Anti-Benchmark® International Core Equity Fund |
Touchstone Credit Opportunities Fund (formerly known as Touchstone Credit Opportunities II Fund) |
Touchstone High Yield Fund |
Touchstone Impact Bond Fund |
Touchstone International ESG Equity Fund |
Touchstone Mid Cap Fund |
Touchstone Mid Cap Value Fund |
Touchstone Sands Capital Select Growth Fund |
Touchstone Small Cap Fund |
Touchstone Small Cap Value Fund |
Touchstone Ultra Short Duration Fixed Income Fund |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 42.2% |
AA/Aa | 6.9 |
A/A | 11.7 |
BBB/Baa | 23.2 |
BB/Ba | 7.2 |
B/B | 4.1 |
CCC | 0.5 |
Not Rated | 2.9 |
Cash Equivalents | 1.3 |
Total | 100.0% |
Geographic Allocation(% of Net Assets) | |
Common Stocks | |
Japan | 31.8% |
United Kingdom | 8.4 |
Hong Kong | 8.4 |
Denmark | 5.5 |
Australia | 5.5 |
France | 5.0 |
Finland | 3.8 |
Israel | 3.7 |
Germany | 3.3 |
Belgium | 2.7 |
Italy | 2.6 |
Spain | 2.5 |
Luxembourg | 2.5 |
Netherlands | 2.4 |
Switzerland | 2.4 |
Norway | 1.5 |
United States | 1.5 |
Sweden | 1.5 |
New Zealand | 1.4 |
Ireland | 1.2 |
Jordan | 0.6 |
China | 0.4 |
United Arab Emirates | 0.0 |
Short-Term Investment Fund | 1.0 |
Other Assets/Liabilities (Net) | 0.4 |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
BBB/Baa | 2.1% |
BB/Ba | 47.5 |
B/B | 30.9 |
CCC | 10.5 |
Not Rated | 8.3 |
Cash Equivalents | 0.7 |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Long Positions | |
Corporate Bonds | |
Communication Services | 14.3% |
Industrials | 11.8 |
Energy | 11.3 |
Consumer Discretionary | 9.1 |
Consumer Staples | 8.3 |
Health Care | 5.1 |
Information Technology | 4.9 |
Materials | 4.6 |
Real Estate | 3.8 |
Financials | 2.8 |
Utilities | 2.4 |
Asset-Backed Securities | 8.9 |
Bank Loans | 7.9 |
Common Stocks | |
Energy | 2.4 |
Materials | 0.8 |
Utilities | 0.2 |
Health Care | 0.0 |
Information Technology | 0.0 |
Purchased Call Options | 0.0 |
Purchased Put Options | 0.1 |
Short-Term Investment Funds | 3.5 |
Other Assets/Liabilities (Net) | (1.7) |
100.5% | |
Short Positions | |
Corporate Bonds | (0.5) |
Written Call Options | (0.0) |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
BBB/Baa | 2.3% |
BB/Ba | 52.7% |
B/B | 40.2% |
CCC | 4.5% |
Not Rated | 0.2% |
Cash Equivalents | 0.1% |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 62.1% |
AA/Aa | 8.6 |
A/A | 16.1 |
BBB/Baa | 8.6 |
BB/Ba | 1.1 |
B/B | 0.3 |
CC | 0.1 |
Not Rated | 1.2 |
Cash Equivalents | 1.9 |
Total | 100.0% |
Geographic Allocation(% of Net Assets) | |
Common Stocks | |
Japan | 14.3% |
Germany | 13.4 |
France | 12.7 |
Sweden | 9.8 |
United Kingdom | 5.7 |
Taiwan | 5.3 |
Switzerland | 5.1 |
South Korea | 4.5 |
China | 4.3 |
Canada | 4.0 |
Denmark | 3.6 |
Italy | 3.5 |
Singapore | 3.1 |
India | 3.0 |
Netherlands | 2.4 |
Thailand | 1.5 |
Exchange-Traded Funds | 1.3 |
Short-Term Investment Fund | 1.8 |
Other Assets/Liabilities (Net) | 0.7 |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 22.7% |
Information Technology | 21.8 |
Financials | 12.5 |
Materials | 10.3 |
Consumer Discretionary | 9.5 |
Consumer Staples | 9.0 |
Health Care | 6.6 |
Real Estate | 2.5 |
Short-Term Investment Fund | 5.1 |
Other Assets/Liabilities (Net) | (0.0) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Financials | 16.0% |
Industrials | 13.2 |
Consumer Staples | 12.2 |
Consumer Discretionary | 11.6 |
Health Care | 10.3 |
Utilities | 10.2 |
Information Technology | 7.1 |
Real Estate | 6.6 |
Materials | 6.1 |
Energy | 3.7 |
Short-Term Investment Fund | 1.3 |
Other Assets/Liabilities (Net) | 1.7 |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Information Technology | 33.6% |
Communication Services | 33.1 |
Health Care | 11.6 |
Consumer Discretionary | 10.1 |
Industrials | 7.3 |
Consumer Staples | 1.3 |
Short-Term Investment Funds | 3.9 |
Other Assets/Liabilities (Net) | (0.9) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 25.7% |
Consumer Discretionary | 18.1 |
Financials | 14.7 |
Materials | 10.7 |
Real Estate | 7.6 |
Health Care | 6.4 |
Information Technology | 5.7 |
Consumer Staples | 4.4 |
Energy | 1.4 |
Short-Term Investment Fund | 5.4 |
Other Assets/Liabilities (Net) | (0.1) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Financials | 23.0% |
Industrials | 22.3 |
Consumer Staples | 8.5 |
Materials | 8.0 |
Consumer Discretionary | 7.9 |
Information Technology | 7.2 |
Utilities | 5.9 |
Health Care | 4.7 |
Real Estate | 4.4 |
Energy | 3.2 |
Communication Services | 2.1 |
Exchange-Traded Fund | 1.5 |
Short-Term Investment Funds | 1.8 |
Other Assets/Liabilities (Net) | (0.5) |
Total | 100.0% |
Credit Quality**(% of Fixed Income Securities) | |
AAA/Aaa | 43.1% |
AA/Aa | 10.7 |
A/A | 14.7 |
BBB/Baa | 16.7 |
CCC | 0.1 |
Not Rated | 7.6 |
Cash Equivalents | 7.1 |
Total | 100.0% |
Principal Amount | Market Value | |||
Corporate Bonds — 40.1% | ||||
Financials — 8.0% | ||||
$ 1,250,000 | Allstate Corp. (The), 1.450%, 12/15/30 | $ 1,143,835 | ||
793,000 | American Financial Group, Inc., 5.250%, 4/2/30 | 938,433 | ||
1,050,000 | Ares Capital Corp., 3.250%, 7/15/25 | 1,082,498 | ||
11,000 | Avolon Holdings Funding Ltd. (Ireland), 144a, 4.250%, 4/15/26 | 11,517 | ||
200,000 | Banco Nacional de Panama (Panama), 144a, 2.500%, 8/11/30 | 185,600 | ||
754,000 | Bank of America Corp., 3.705%, 4/24/28 | 824,287 | ||
1,000,000 | Bank of America Corp., MTN, 4.000%, 1/22/25 | 1,092,570 | ||
896,000 | Bank of Montreal (Canada), 3.803%, 12/15/32 | 983,656 | ||
917,000 | Barclays PLC (United Kingdom), 4.610%, 2/15/23 | 947,416 | ||
612,000 | Berkshire Hathaway Finance Corp., 4.250%, 1/15/49 | 706,412 | ||
665,000 | Citigroup, Inc., 3.200%, 10/21/26 | 714,257 | ||
426,000 | Citigroup, Inc., 4.750%, 5/18/46 | 506,154 | ||
353,000 | Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc. (Canada), 144a, 8.500%, 12/15/22 | 362,707 | ||
1,025,000 | Cooperatieve Rabobank UA (Netherlands), 144a, 1.106%, 2/24/27 | 1,000,713 | ||
1,343,000 | Corestates Capital III, 144a, (3M LIBOR +0.570%), 0.768%, 2/15/27(A) | 1,298,678 | ||
229,000 | Credit Acceptance Corp., 6.625%, 3/15/26 | 241,022 | ||
82,000 | FirstCash, Inc., 144a, 4.625%, 9/1/28 | 84,009 | ||
468,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/35 | 536,382 | ||
232,000 | goeasy Ltd. (Canada), 144a, 5.375%, 12/1/24 | 240,410 | ||
525,000 | Goldman Sachs Group, Inc. (The), 3.691%, 6/5/28 | 574,412 | ||
719,000 | HSBC Holdings PLC (United Kingdom), 3.900%, 5/25/26 | 792,439 | ||
1,146,000 | Huntington Bancshares, Inc., 2.550%, 2/4/30 | 1,148,105 | ||
1,250,000 | JPMorgan Chase & Co., 2.956%, 5/13/31 | 1,271,315 | ||
961,000 | JPMorgan Chase & Co., 3.509%, 1/23/29 | 1,038,586 | ||
923,000 | Lloyds Banking Group PLC (United Kingdom), 3.574%, 11/7/28 | 996,112 | ||
86,000 | MGIC Investment Corp., 5.250%, 8/15/28 | 89,547 | ||
955,000 | Morgan Stanley, 3.950%, 4/23/27 | 1,056,104 | ||
162,000 | Navient Corp., 5.500%, 1/25/23 | 168,075 | ||
151,000 | Navient Corp., 5.875%, 10/25/24 | 158,567 | ||
162,000 | Navient Corp., 7.250%, 9/25/23 | 175,338 | ||
982,000 | New York Life Global Funding, 144a, 3.000%, 1/10/28 | 1,046,319 | ||
629,000 | Northwestern Mutual Life Insurance Co. (The), 144a, 3.850%, 9/30/47 | 668,337 | ||
1,185,000 | NTC Capital I, Ser A, (3M LIBOR +0.520%), 0.761%, 1/15/27(A) | 1,147,969 | ||
49,000 | OneMain Finance Corp., 4.000%, 9/15/30 | 47,652 | ||
21,000 | PennyMac Financial Services, Inc., 144a, 4.250%, 2/15/29 | 20,081 | ||
63,000 | PennyMac Financial Services, Inc., 144a, 5.375%, 10/15/25 | 65,303 | ||
1,394,000 | PNC Capital Trust, (3M LIBOR +0.570%), 0.760%, 6/1/28(A) | 1,343,232 | ||
45,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144a, 3.375%, 8/31/27 | 43,650 | ||
170,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144a, 5.750%, 4/15/26 | 183,468 | ||
73,000 | Quicken Loans LLC / Quicken Loans Co.-Issuer, Inc., 144a, 3.875%, 3/1/31 | 70,445 | ||
1,164,000 | Toronto-Dominion Bank (The) (Canada), MTN, 1.150%, 6/12/25 | 1,164,093 | ||
1,991,000 | Truist Bank, Ser A, (3M LIBOR +0.670%), 0.870%, 5/15/27(A) | 1,931,528 | ||
28,101,233 |
Principal Amount | Market Value | |||
Energy — 5.1% | ||||
$ 1,050,000 | Aker BP ASA (Norway), 144a, 3.000%, 1/15/25 | $ 1,085,778 | ||
37,000 | Antero Resources Corp., 5.000%, 3/1/25 | 37,028 | ||
195,000 | Apache Corp., 4.875%, 11/15/27 | 199,875 | ||
100,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 7.625%, 12/15/25 | 107,772 | ||
866,000 | Boardwalk Pipelines LP, 4.450%, 7/15/27 | 957,676 | ||
60,000 | Bristow Group, Inc., 144a, 6.875%, 3/1/28 | 59,806 | ||
74,000 | California Resources Corp., 144a, 7.125%, 2/1/26 | 75,311 | ||
615,000 | Canadian Natural Resources Ltd. (Canada), 6.250%, 3/15/38 | 778,630 | ||
718,000 | Cenovus Energy, Inc. (Canada), 5.250%, 6/15/37 | 775,388 | ||
1,183,000 | Cheniere Corpus Christi Holdings LLC, 7.000%, 6/30/24 | 1,361,567 | ||
87,000 | Cheniere Energy Partners LP, 144a, 4.000%, 3/1/31 | 88,523 | ||
158,000 | Cheniere Energy Partners LP, 4.500%, 10/1/29 | 164,320 | ||
120,000 | Cheniere Energy, Inc., 144a, 4.625%, 10/15/28 | 124,820 | ||
58,000 | Continental Resources, Inc., 4.375%, 1/15/28 | 61,251 | ||
42,000 | Continental Resources, Inc., 4.900%, 6/1/44 | 42,001 | ||
40,000 | Continental Resources, Inc., 144a, 5.750%, 1/15/31 | 45,194 | ||
150,000 | Delek Logistics Partners LP / Delek Logistics Finance Corp., 6.750%, 5/15/25 | 150,000 | ||
906,000 | Diamondback Energy, Inc., 3.125%, 3/24/31 | 902,359 | ||
400,000 | Ecopetrol SA (Colombia), 6.875%, 4/29/30 | 486,960 | ||
284,000 | Enable Midstream Partners LP, 4.150%, 9/15/29 | 295,142 | ||
890,000 | Energy Transfer Operating LP, 4.950%, 6/15/28 | 995,436 | ||
40,000 | EQM Midstream Partners LP, 144a, 4.500%, 1/15/29 | 38,978 | ||
27,000 | EQM Midstream Partners LP, 144a, 4.750%, 1/15/31 | 26,190 | ||
350,000 | Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates), 144a, 2.625%, 3/31/36 | 334,670 | ||
89,000 | Genesis Energy LP / Genesis Energy Finance Corp., 8.000%, 1/15/27 | 90,114 | ||
43,000 | Global Partners LP / GLP Finance Corp., 6.875%, 1/15/29 | 46,150 | ||
64,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 5.750%, 2/1/29 | 64,560 | ||
500,000 | KazMunayGas National Co. JSC (Kazakhstan), 144a, 4.750%, 4/19/27 | 570,047 | ||
400,000 | KazMunayGas National Co. JSC (Kazakhstan), 144a, 5.750%, 4/19/47 | 474,040 | ||
33,000 | MEG Energy Corp. (Canada), 144a, 6.500%, 1/15/25 | 34,087 | ||
96,000 | MEG Energy Corp. (Canada), 144a, 7.125%, 2/1/27 | 100,560 | ||
161,000 | Murphy Oil Corp., 6.375%, 12/1/42 | 146,510 | ||
947,000 | NGPL PipeCo LLC, 144a, 7.768%, 12/15/37 | 1,254,307 | ||
357,000 | NuStar Logistics LP, 5.625%, 4/28/27 | 373,456 | ||
12,000 | Occidental Petroleum Corp., 4.100%, 2/15/47 | 9,600 | ||
130,000 | Occidental Petroleum Corp., 4.200%, 3/15/48 | 104,650 | ||
62,000 | Occidental Petroleum Corp., 6.125%, 1/1/31 | 68,460 | ||
104,000 | Occidental Petroleum Corp., 6.375%, 9/1/28 | 114,151 | ||
75,000 | Occidental Petroleum Corp., 6.625%, 9/1/30 | 84,285 | ||
101,000 | Occidental Petroleum Corp., 8.500%, 7/15/27 | 119,685 | ||
135,000 | Parkland Corp. (Canada), 144a, 4.500%, 10/1/29 | 135,466 | ||
266,000 | PDC Energy, Inc., 5.750%, 5/15/26 | 275,908 | ||
119,000 | PDC Energy, Inc., 6.125%, 9/15/24 | 122,109 | ||
200,000 | Pertamina Persero PT (Indonesia), 144a, 6.450%, 5/30/44 | 247,464 | ||
200,000 | Petrobras Global Finance BV (Brazil), 6.850%, 6/5/2115 | 206,000 | ||
350,000 | Petrobras Global Finance BV (Brazil), 7.375%, 1/17/27 | 415,628 | ||
200,000 | Petroleos del Peru SA (Peru), 144a, 4.750%, 6/19/32 | 211,600 | ||
200,000 | Petroleos del Peru SA (Peru), 144a, 5.625%, 6/19/47 | 209,940 | ||
100,000 | Petroleos Mexicanos (Mexico), 4.875%, 1/24/22 | 101,901 | ||
250,000 | Petroleos Mexicanos (Mexico), 6.750%, 9/21/47 | 214,410 | ||
204,000 | Petroleos Mexicanos (Mexico), 6.840%, 1/23/30 | 207,040 |
Principal Amount | Market Value | |||
Corporate Bonds — 40.1% (Continued) | ||||
Energy — (Continued) | ||||
$ 181,000 | Petroleos Mexicanos (Mexico), 7.690%, 1/23/50 | $ 168,783 | ||
814,000 | Phillips 66 Partners LP, 3.150%, 12/15/29 | 825,145 | ||
300,000 | Phillips 66 Partners LP, 3.750%, 3/1/28 | 320,836 | ||
76,712 | Ruby Pipeline LLC, 144a, 8.000%, 4/1/22 | 62,920 | ||
200,000 | Saudi Arabian Oil Co. (Saudi Arabia), 144a, 4.250%, 4/16/39 | 215,276 | ||
76,000 | Southwestern Energy Co., 8.375%, 9/15/28 | 83,410 | ||
90,000 | Sunoco LP / Sunoco Finance Corp., 6.000%, 4/15/27 | 94,500 | ||
62,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 12/31/30 | 61,287 | ||
283,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 5.500%, 9/15/24 | 287,245 | ||
218,000 | TerraForm Power Operating LLC, 144a, 4.750%, 1/15/30 | 226,352 | ||
350,000 | YPF, SA (Argentina), 144a, 6.950%, 7/21/27 | 214,228 | ||
17,756,785 | ||||
Consumer Staples — 4.0% | ||||
76,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 3.500%, 2/15/29 | 74,005 | ||
137,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.000%, 10/15/30 | 132,205 | ||
1,210,000 | 7-Eleven, Inc., 144a, 0.950%, 2/10/26 | 1,176,952 | ||
40,000 | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144a, 3.500%, 3/15/29 | 38,066 | ||
190,000 | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144a, 4.625%, 1/15/27 | 196,925 | ||
230,000 | American Builders & Contractors Supply Co., Inc., 144a, 4.000%, 1/15/28 | 230,000 | ||
1,173,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Belgium), 4.900%, 2/1/46 | 1,389,326 | ||
1,267,000 | Ashtead Capital, Inc. (United Kingdom), 144a, 4.375%, 8/15/27 | 1,320,847 | ||
177,000 | Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144a, 5.250%, 3/15/25 | 179,655 | ||
577,000 | BAT International Finance PLC (United Kingdom), 1.668%, 3/25/26 | 570,899 | ||
24,000 | Central Garden & Pet Co., 4.125%, 10/15/30 | 24,240 | ||
107,000 | Chobani LLC / Chobani Finance Corp., Inc., 144a, 4.625%, 11/15/28 | 109,140 | ||
1,018,000 | Imperial Brands Finance PLC (United Kingdom), 144a, 4.250%, 7/21/25 | 1,118,693 | ||
94,000 | JBS USA LUX SA / JBS USA Finance, Inc., 144a, 6.750%, 2/15/28 | 103,311 | ||
407,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 5.500%, 1/15/30 | 450,445 | ||
96,000 | Kraft Heinz Foods Co., 4.375%, 6/1/46 | 100,089 | ||
717,000 | Kroger Co. (The), 5.000%, 4/15/42 | 863,519 | ||
12,000 | Macy's Retail Holdings LLC, 3.625%, 6/1/24† | 12,000 | ||
136,000 | Macy's Retail Holdings LLC, 144a, 5.875%, 4/1/29† | 139,462 | ||
920,000 | Mars, Inc., 144a, 3.875%, 4/1/39 | 1,025,127 | ||
66,000 | Murphy Oil USA, Inc., 144a, 3.750%, 2/15/31 | 64,873 | ||
138,000 | NESCO Holdings II, Inc., 144a, 5.500%, 4/15/29 | 141,519 | ||
32,000 | Performance Food Group, Inc., 144a, 6.875%, 5/1/25 | 34,160 | ||
68,000 | Pilgrim's Pride Corp., 144a, 4.250%, 4/15/31 | 67,744 | ||
60,000 | Post Holdings, Inc., 144a, 4.500%, 9/15/31 | 59,340 | ||
96,000 | QVC, Inc., 4.375%, 9/1/28 | 96,761 | ||
156,000 | QVC, Inc., 4.750%, 2/15/27 | 161,460 | ||
740,000 | Reynolds American, Inc. (United Kingdom), 4.450%, 6/12/25 | 820,844 | ||
128,000 | Staples, Inc., 144a, 7.500%, 4/15/26 | 135,040 | ||
91,000 | Superior Plus LP / Superior General Partner, Inc. (Canada), 144a, 4.500%, 3/15/29 | 91,928 |
Principal Amount | Market Value | |||
Consumer Staples — (Continued) | ||||
$ 696,000 | Sysco Corp., 5.950%, 4/1/30 | $ 870,111 | ||
492,000 | Tyson Foods, Inc., 3.550%, 6/2/27 | 537,076 | ||
400,000 | Ulker Biskuvi Sanayi AS (Turkey), 144a, 6.950%, 10/30/25 | 419,232 | ||
57,000 | United Rentals North America, Inc., 3.875%, 2/15/31 | 57,402 | ||
38,000 | United Rentals North America, Inc., 4.000%, 7/15/30 | 38,675 | ||
110,000 | US Foods, Inc., 144a, 6.250%, 4/15/25 | 117,920 | ||
909,000 | Walmart, Inc., 2.850%, 7/8/24 | 975,374 | ||
13,944,365 | ||||
Communication Services — 3.8% | ||||
403,000 | Alphabet, Inc., 1.900%, 8/15/40 | 347,215 | ||
330,000 | Altice France SA (France), 144a, 7.375%, 5/1/26 | 343,200 | ||
96,000 | AMC Networks, Inc., 4.250%, 2/15/29 | 93,360 | ||
26,000 | ANGI Group LLC, 144a, 3.875%, 8/15/28 | 26,000 | ||
153,000 | Arches Buyer, Inc., 144a, 4.250%, 6/1/28 | 152,725 | ||
604,000 | AT&T, Inc., 4.500%, 5/15/35 | 680,601 | ||
25,000 | Cable One, Inc., 144a, 4.000%, 11/15/30 | 24,730 | ||
81,000 | Cars.com, Inc., 144a, 6.375%, 11/1/28 | 84,341 | ||
30,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 30,067 | ||
81,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.500%, 5/1/32 | 82,012 | ||
178,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.750%, 3/1/30 | 184,452 | ||
39,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 5.125%, 5/1/27 | 41,235 | ||
246,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 5.375%, 6/1/29 | 263,835 | ||
885,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.484%, 10/23/45 | 1,149,552 | ||
507,000 | Comcast Corp., 4.000%, 3/1/48 | 564,873 | ||
648,000 | Comcast Corp., 4.150%, 10/15/28 | 741,378 | ||
31,000 | CommScope, Inc., 144a, 7.125%, 7/1/28 | 32,924 | ||
405,000 | Connect Finco SARL / Connect US Finco LLC (United Kingdom), 144a, 6.750%, 10/1/26 | 431,220 | ||
631,000 | Cox Communications, Inc., 144a, 3.350%, 9/15/26 | 680,617 | ||
301,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 296,068 | ||
338,000 | Deutsche Telekom International Finance BV (Germany), 8.750%, 6/15/30 | 500,803 | ||
148,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 144a, 5.375%, 8/15/26 | 106,524 | ||
86,000 | Frontier Communications Corp., 144a, 5.000%, 5/1/28 | 87,505 | ||
99,000 | Frontier Communications Corp., 144a, 5.875%, 10/15/27 | 104,940 | ||
59,000 | GCI LLC, 144a, 4.750%, 10/15/28 | 60,401 | ||
80,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., 144a, 3.500%, 3/1/29 | 78,736 | ||
76,000 | Gray Television, Inc., 144a, 4.750%, 10/15/30 | 75,335 | ||
31,000 | Lamar Media Corp., 144a, 3.625%, 1/15/31 | 29,760 | ||
63,000 | Lamar Media Corp., 4.875%, 1/15/29 | 65,914 | ||
128,000 | Level 3 Financing, Inc., 144a, 3.625%, 1/15/29 | 124,000 | ||
35,000 | Level 3 Financing, Inc., 144a, 4.625%, 9/15/27 | 36,021 | ||
95,000 | LogMeIn, Inc., 144a, 5.500%, 9/1/27 | 99,454 | ||
42,000 | Lumen Technologies, Inc., 144a, 4.000%, 2/15/27 | 42,900 | ||
145,000 | MDC Partners, Inc. (Canada), 144a, 7.500%, 5/1/24(A)(B) | 146,450 | ||
104,000 | Meredith Corp., 144a, 6.500%, 7/1/25 | 111,580 | ||
90,000 | Netflix, Inc., 4.875%, 4/15/28 | 102,322 | ||
17,000 | Netflix, Inc., 144a, 5.375%, 11/15/29 | 20,103 | ||
67,000 | Nexstar Broadcasting, Inc., 144a, 4.750%, 11/1/28 | 67,706 |
Principal Amount | Market Value | |||
Corporate Bonds — 40.1% (Continued) | ||||
Communication Services — (Continued) | ||||
$ 130,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., 144a, 6.250%, 6/15/25 | $ 137,475 | ||
323,000 | Photo Holdings Merger Sub, Inc., 144a, 8.500%, 10/1/26 | 350,051 | ||
68,000 | QualityTech LP / QTS Finance Corp., 144a, 3.875%, 10/1/28 | 67,660 | ||
26,000 | Scripps Escrow II, Inc., 144a, 3.875%, 1/15/29 | 25,545 | ||
182,000 | Sinclair Television Group, Inc., 144a, 4.125%, 12/1/30 | 175,175 | ||
27,000 | Sinclair Television Group, Inc., 144a, 5.125%, 2/15/27 | 26,359 | ||
232,000 | TEGNA, Inc., 5.000%, 9/15/29 | 240,760 | ||
177,000 | Telecom Italia Capital SA (Italy), 6.000%, 9/30/34 | 200,745 | ||
100,000 | Telecom Italia Capital SA (Italy), 6.375%, 11/15/33 | 118,500 | ||
162,000 | T-Mobile USA, Inc., 3.375%, 4/15/29 | 163,669 | ||
1,144,000 | T-Mobile USA, Inc., 144a, 3.875%, 4/15/30 | 1,246,651 | ||
1,370,000 | Verizon Communications, Inc., 144a, 2.987%, 10/30/56 | 1,204,977 | ||
731,000 | ViacomCBS, Inc., 4.950%, 5/19/50† | 854,419 | ||
228,000 | Virgin Media Secured Finance PLC (United Kingdom), 144a, 5.500%, 5/15/29 | 241,965 | ||
326,000 | Zayo Group Holdings, Inc., 144a, 4.000%, 3/1/27 | 320,784 | ||
13,485,594 | ||||
Health Care — 3.8% | ||||
569,000 | AbbVie, Inc., 3.800%, 3/15/25 | 622,266 | ||
800,000 | AbbVie, Inc., 4.450%, 5/14/46 | 919,231 | ||
68,000 | Acadia Healthcare Co., Inc., 144a, 5.000%, 4/15/29 | 70,565 | ||
80,000 | AdaptHealth LLC, 144a, 4.625%, 8/1/29 | 79,600 | ||
896,000 | Alcon Finance Corp. (Switzerland), 144a, 3.800%, 9/23/49 | 926,820 | ||
44,000 | AMN Healthcare, Inc., 144a, 4.625%, 10/1/27 | 44,990 | ||
19,000 | Bausch Health Cos, Inc., 144a, 5.250%, 2/15/31 | 18,909 | ||
161,000 | Bausch Health Cos, Inc., 144a, 6.125%, 4/15/25 | 165,057 | ||
127,000 | Bausch Health Cos, Inc., 144a, 6.250%, 2/15/29 | 134,779 | ||
732,000 | Becton Dickinson and Co., 4.685%, 12/15/44 | 869,936 | ||
639,000 | Bristol-Myers Squibb Co., 5.000%, 8/15/45 | 818,652 | ||
31,000 | Charles River Laboratories International, Inc., 144a, 3.750%, 3/15/29 | 31,049 | ||
670,000 | Cigna Corp., 4.375%, 10/15/28 | 762,960 | ||
834,000 | CommonSpirit Health, 4.187%, 10/1/49 | 896,866 | ||
380,000 | CommonSpirit Health, 4.200%, 8/1/23 | 410,085 | ||
574,000 | CVS Health Corp., 4.300%, 3/25/28 | 651,662 | ||
477,000 | CVS Health Corp., 5.125%, 7/20/45 | 582,472 | ||
95,000 | DaVita, Inc., 144a, 3.750%, 2/15/31 | 91,029 | ||
131,000 | DaVita, Inc., 144a, 4.625%, 6/1/30 | 133,247 | ||
1,019,000 | DH Europe Finance II Sarl, 3.250%, 11/15/39 | 1,036,552 | ||
63,000 | Encompass Health Corp., 4.500%, 2/1/28 | 64,520 | ||
240,000 | HCA, Inc., 3.500%, 9/1/30 | 242,771 | ||
38,000 | Herbalife Nutrition Ltd. / HLF Financing, Inc., 144a, 7.875%, 9/1/25 | 41,325 | ||
203,000 | HLF Financing Sarl LLC / Herbalife International, Inc., 144a, 7.250%, 8/15/26 | 212,643 | ||
247,000 | Horizon Therapeutics USA, Inc., 144a, 5.500%, 8/1/27 | 263,672 | ||
28,000 | Legacy LifePoint Health LLC, 144a, 6.750%, 4/15/25 | 29,750 | ||
181,000 | MEDNAX, Inc., 144a, 6.250%, 1/15/27 | 193,543 | ||
118,000 | ModivCare, Inc., 144a, 5.875%, 11/15/25 | 124,195 | ||
900,000 | Mylan, Inc., 4.550%, 4/15/28 | 1,018,123 | ||
200,000 | Rede D'or Finance Sarl (Brazil), 144a, 4.500%, 1/22/30 | 196,316 | ||
175,000 | Select Medical Corp., 144a, 6.250%, 8/15/26 | 185,983 | ||
156,000 | Tenet Healthcare Corp., 5.125%, 5/1/25 | 158,192 | ||
89,000 | Tenet Healthcare Corp., 144a, 7.500%, 4/1/25 | 96,091 | ||
131,000 | Teva Pharmaceutical Finance Netherlands III BV (Israel), 3.150%, 10/1/26 | 125,269 |
Principal Amount | Market Value | |||
Health Care — (Continued) | ||||
$ 1,048,000 | UnitedHealth Group, Inc., 3.500%, 8/15/39 | $ 1,125,482 | ||
14,000 | US Acute Care Solutions LLC, 144a, 6.375%, 3/1/26 | 14,525 | ||
13,359,127 | ||||
Industrials — 3.7% | ||||
945,000 | Amcor Flexibles North America, Inc., 2.630%, 6/19/30 | 938,550 | ||
167,000 | Amsted Industries, Inc., 144a, 5.625%, 7/1/27 | 177,229 | ||
209,000 | Beacon Roofing Supply, Inc., 144a, 4.875%, 11/1/25 | 213,702 | ||
277,000 | Boeing Co. (The), 5.040%, 5/1/27 | 315,641 | ||
298,000 | Boeing Co. (The), 5.805%, 5/1/50 | 375,780 | ||
776,000 | Burlington Northern Santa Fe LLC, 5.750%, 5/1/40 | 1,036,413 | ||
135,000 | BWX Technologies, Inc., 144a, 4.125%, 6/30/28 | 136,371 | ||
1,087,000 | Carrier Global Corp., 3.577%, 4/5/50 | 1,064,118 | ||
272,000 | Cascades, Inc./Cascades USA, Inc. (Canada), 144a, 5.375%, 1/15/28 | 285,600 | ||
378,000 | Cimpress PLC (Ireland), 144a, 7.000%, 6/15/26 | 399,055 | ||
73,000 | Delta Air Lines, Inc., 3.750%, 10/28/29 | 71,131 | ||
91,000 | Dycom Industries, Inc., 144a, 4.500%, 4/15/29 | 91,140 | ||
893,000 | FedEx Corp., 5.100%, 1/15/44 | 1,078,219 | ||
38,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 6.500%, 10/1/25 | 39,710 | ||
125,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 9.750%, 8/1/27 | 142,344 | ||
152,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 6.750%, 3/15/22 | 152,190 | ||
153,000 | GFL Environmental, Inc. (Canada), 144a, 3.500%, 9/1/28 | 148,410 | ||
143,000 | H&E Equipment Services, Inc., 144a, 3.875%, 12/15/28 | 139,067 | ||
20,000 | Howmet Aerospace, Inc., 5.950%, 2/1/37 | 24,181 | ||
49,000 | Howmet Aerospace, Inc., 6.750%, 1/15/28 | 57,820 | ||
970,000 | John Deere Capital Corp., MTN, 2.450%, 1/9/30 | 984,107 | ||
68,000 | Meritor, Inc., 144a, 4.500%, 12/15/28 | 68,204 | ||
68,000 | Meritor, Inc., 144a, 6.250%, 6/1/25 | 72,420 | ||
157,000 | Moog, Inc., 144a, 4.250%, 12/15/27 | 160,140 | ||
90,000 | New Enterprise Stone & Lime Co., Inc., 144a, 6.250%, 3/15/26 | 92,250 | ||
797,000 | Norfolk Southern Corp., 4.837%, 10/1/41 | 967,519 | ||
95,000 | Owens-Brockway Glass Container, Inc., 144a, 6.625%, 5/13/27 | 103,277 | ||
106,000 | Plastipak Holdings, Inc., 144a, 6.250%, 10/15/25 | 109,048 | ||
127,000 | Quad/Graphics, Inc., 7.000%, 5/1/22† | 125,472 | ||
48,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 144a, 4.000%, 10/15/27 | 47,040 | ||
109,000 | Sensata Technologies BV, 144a, 4.000%, 4/15/29 | 110,965 | ||
102,000 | Signature Aviation US Holdings, Inc., 144a, 4.000%, 3/1/28 | 103,726 | ||
49,000 | Spirit AeroSystems, Inc., 144a, 7.500%, 4/15/25 | 52,675 | ||
89,000 | Standard Industries, Inc., 144a, 3.375%, 1/15/31 | 84,328 | ||
26,000 | Standard Industries, Inc., 144a, 5.000%, 2/15/27 | 27,105 | ||
39,000 | Stericycle, Inc., 144a, 3.875%, 1/15/29 | 38,513 | ||
69,000 | Summit Materials LLC / Summit Materials Finance Corp., 144a, 5.250%, 1/15/29 | 72,173 | ||
59,000 | TransDigm, Inc., 6.375%, 6/15/26 | 60,991 | ||
20,000 | TransDigm, Inc., 6.500%, 5/15/25 | 20,375 | ||
170,000 | TransDigm, Inc., 144a, 6.250%, 3/15/26 | 180,183 | ||
20,000 | TransDigm, Inc., 144a, 8.000%, 12/15/25 | 21,780 | ||
375,000 | Transnet SOC Ltd. (South Africa), 144a, 4.000%, 7/26/22 | 381,416 | ||
321,000 | Trivium Packaging Finance BV (Netherlands), 144a, 5.500%, 8/15/26 | 336,649 | ||
1,168,000 | Waste Management, Inc., 2.500%, 11/15/50 | 1,005,282 | ||
93,000 | WESCO Distribution, Inc., 144a, 7.250%, 6/15/28 | 104,067 |
Principal Amount | Market Value | |||
Corporate Bonds — 40.1% (Continued) | ||||
Industrials — (Continued) | ||||
$ 66,000 | XPO Logistics, Inc., 144a, 6.250%, 5/1/25 | $ 70,706 | ||
868,000 | Xylem, Inc., 1.950%, 1/30/28 | 865,907 | ||
13,152,989 | ||||
Utilities — 2.9% | ||||
584,000 | American Water Capital Corp., 6.593%, 10/15/37 | 822,525 | ||
51,000 | Calpine Corp., 144a, 5.000%, 2/1/31 | 49,715 | ||
22,000 | Clearway Energy Operating LLC, 144a, 3.750%, 2/15/31 | 21,100 | ||
26,000 | Clearway Energy Operating LLC, 144a, 4.750%, 3/15/28 | 27,050 | ||
782,000 | Cleveland Electric Illuminating Co. (The), 144a, 4.550%, 11/15/30 | 867,618 | ||
712,000 | Duke Energy Progress LLC, 4.150%, 12/1/44 | 803,022 | ||
707,000 | Edison International, 4.125%, 3/15/28 | 758,245 | ||
922,000 | Electricite de France SA (France), 144a, 4.500%, 9/21/28 | 1,049,818 | ||
200,000 | Eskom Holdings SOC Ltd. (South Africa), 144a, 7.125%, 2/11/25 | 206,086 | ||
78,000 | FirstEnergy Transmission LLC, 144a, 4.550%, 4/1/49 | 82,027 | ||
37,000 | FirstEnergy Transmission LLC, 144a, 5.450%, 7/15/44 | 42,646 | ||
200,000 | Genneia SA (Argentina), 144a, 8.750%, 1/20/22 | 178,500 | ||
256,000 | Metropolitan Edison Co., 144a, 4.300%, 1/15/29 | 282,015 | ||
1,217,000 | Pacific Gas and Electric Co., 3.500%, 8/1/50 | 1,060,281 | ||
853,000 | PacifiCorp., 5.750%, 4/1/37 | 1,113,875 | ||
73,000 | Pattern Energy Operations LP / Pattern Energy Operations, Inc., 144a, 4.500%, 8/15/28 | 74,186 | ||
200,000 | Perusahaan Listrik Negara PT (Indonesia), 144a, 4.875%, 7/17/49 | 211,376 | ||
25,000 | PG&E Corp., 5.250%, 7/1/30 | 26,539 | ||
78,000 | Rockpoint Gas Storage Canada Ltd. (Canada), 144a, 7.000%, 3/31/23 | 78,585 | ||
245,000 | Talen Energy Supply LLC, 144a, 7.625%, 6/1/28 | 248,063 | ||
709,000 | Virginia Electric & Power Co., 3.300%, 12/1/49 | 702,904 | ||
1,687,000 | WEC Energy Group, Inc., (3M LIBOR +2.112%), 2.306%, 5/15/67(A) | 1,539,454 | ||
10,245,630 | ||||
Consumer Discretionary — 2.6% | ||||
46,000 | Allison Transmission, Inc., 144a, 3.750%, 1/30/31 | 44,562 | ||
41,000 | American Axle & Manufacturing, Inc., 6.250%, 4/1/25 | 42,230 | ||
20,000 | Carnival Corp., 144a, 7.625%, 3/1/26 | 21,486 | ||
123,000 | Carnival Corp., 144a, 9.875%, 8/1/27 | 144,819 | ||
257,000 | Carriage Services, Inc., 144a, 6.625%, 6/1/26 | 269,850 | ||
231,000 | Churchill Downs, Inc., 144a, 4.750%, 1/15/28 | 238,908 | ||
38,000 | Dana, Inc., 5.625%, 6/15/28 | 40,660 | ||
42,000 | Delta Air Lines, Inc. / SkyMiles IP Ltd., 144a, 4.750%, 10/20/28 | 45,649 | ||
39,000 | Ford Motor Co., 4.750%, 1/15/43 | 39,289 | ||
44,000 | Ford Motor Co., 9.000%, 4/22/25 | 53,289 | ||
531,000 | Ford Motor Credit Co. LLC, 3.664%, 9/8/24 | 549,588 | ||
162,000 | Ford Motor Credit Co. LLC, 4.271%, 1/9/27 | 168,075 | ||
230,000 | Ford Motor Credit Co. LLC, 4.542%, 8/1/26 | 243,386 | ||
200,000 | Ford Motor Credit Co. LLC, 5.125%, 6/16/25 | 215,796 | ||
407,000 | Ford Motor Credit Co. LLC, MTN, 4.389%, 1/8/26 | 427,785 | ||
555,000 | General Motors Financial Co., Inc., 4.350%, 4/9/25 | 608,525 | ||
456,000 | General Motors Financial Co., Inc., 5.650%, 1/17/29 | 540,632 | ||
77,000 | Goodyear Tire & Rubber Co. (The), 5.250%, 4/30/31 | 77,000 | ||
109,000 | Group 1 Automotive, Inc., 144a, 4.000%, 8/15/28 | 108,319 | ||
83,000 | Hilton Domestic Operating Co., Inc., 144a, 3.625%, 2/15/32 | 80,560 | ||
557,000 | Home Depot, Inc. (The), 5.950%, 4/1/41 | 771,296 | ||
1,068,000 | Hyundai Capital America, 144a, 2.650%, 2/10/25 | 1,102,864 | ||
243,000 | JB Poindexter & Co., Inc., 144a, 7.125%, 4/15/26 | 256,669 | ||
56,000 | L Brands, Inc., 5.250%, 2/1/28 | 60,060 | ||
1,100,000 | Lowe's Cos, Inc., 4.500%, 4/15/30 | 1,268,011 |
Principal Amount | Market Value | |||
Consumer Discretionary — (Continued) | ||||
$ 27,000 | Mattel, Inc., 144a, 3.375%, 4/1/26 | $ 27,876 | ||
89,000 | Meritage Homes Corp., 144a, 3.875%, 4/15/29 | 89,000 | ||
49,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/27 | 55,247 | ||
69,000 | Royal Caribbean Cruises Ltd., 144a, 11.500%, 6/1/25 | 80,471 | ||
131,000 | Sonic Automotive, Inc., 6.125%, 3/15/27 | 136,240 | ||
51,000 | Speedway Motorsports LLC / Speedway Funding II, Inc., 144a, 4.875%, 11/1/27 | 51,000 | ||
653,000 | Starbucks Corp., 3.350%, 3/12/50 | 633,615 | ||
83,000 | Taylor Morrison Communities, Inc., 144a, 5.875%, 6/15/27 | 91,507 | ||
211,000 | Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 144a, 5.625%, 3/1/24 | 226,297 | ||
29,000 | Tri Pointe Homes, Inc., 5.700%, 6/15/28 | 32,051 | ||
41,000 | Viking Ocean Cruises Ship VII Ltd., 144a, 5.625%, 2/15/29 | 41,422 | ||
28,000 | Wyndham Hotels & Resorts, Inc., 144a, 4.375%, 8/15/28 | 28,322 | ||
43,000 | Wyndham Hotels & Resorts, Inc., 144a, 5.375%, 4/15/26 | 43,968 | ||
8,956,324 | ||||
Information Technology — 2.4% | ||||
629,000 | Apple, Inc., 4.650%, 2/23/46 | 779,974 | ||
52,000 | Black Knight InfoServ LLC, 144a, 3.625%, 9/1/28 | 51,096 | ||
55,000 | Booz Allen Hamilton, Inc., 144a, 3.875%, 9/1/28 | 55,289 | ||
46,000 | Boxer Parent Co., Inc., 144a, 7.125%, 10/2/25 | 49,335 | ||
170,000 | Camelot Finance SA, 144a, 4.500%, 11/1/26 | 175,766 | ||
1,020,000 | Fiserv, Inc., 3.500%, 7/1/29 | 1,099,485 | ||
1,050,000 | Hewlett Packard Enterprise Co., 4.650%, 10/1/24 | 1,172,019 | ||
87,000 | J2 Global, Inc., 144a, 4.625%, 10/15/30 | 88,166 | ||
732,000 | Mastercard, Inc., 3.300%, 3/26/27 | 804,205 | ||
462,000 | Microsoft Corp., 3.500%, 2/12/35 | 515,646 | ||
61,000 | NCR Corp., 144a, 5.125%, 4/15/29 | 61,691 | ||
852,000 | NXP BV / NXP Funding LLC (Netherlands), 144a, 5.350%, 3/1/26 | 994,169 | ||
110,000 | Open Text Corp. (Canada), 144a, 3.875%, 2/15/28 | 110,550 | ||
995,000 | Roper Technologies, Inc., 2.950%, 9/15/29 | 1,035,511 | ||
200,000 | SK Hynix, Inc. (South Korea), 144a, 2.375%, 1/19/31 | 188,974 | ||
199,000 | SS&C Technologies, Inc., 144a, 5.500%, 9/30/27 | 211,736 | ||
624,000 | Visa, Inc., 4.150%, 12/14/35 | 737,064 | ||
135,000 | Xerox Holdings Corp., 144a, 5.000%, 8/15/25 | 140,231 | ||
8,270,907 | ||||
Real Estate — 2.2% | ||||
660,000 | American Homes 4 Rent LP REIT, 4.250%, 2/15/28 | 723,239 | ||
966,000 | Crown Castle International Corp. REIT, 3.650%, 9/1/27 | 1,052,121 | ||
20,000 | Diversified Healthcare Trust REIT, 4.750%, 5/1/24 | 20,550 | ||
120,000 | Diversified Healthcare Trust REIT, 4.750%, 2/15/28 | 118,350 | ||
87,000 | Diversified Healthcare Trust REIT, 9.750%, 6/15/25 | 98,484 | ||
824,000 | Equinix, Inc. REIT, 2.900%, 11/18/26 | 868,622 | ||
1,106,000 | Healthcare Realty Trust, Inc. REIT, 2.400%, 3/15/30 | 1,075,979 | ||
73,000 | Howard Hughes Corp. (The), 144a, 4.375%, 2/1/31 | 71,494 | ||
96,000 | Iron Mountain, Inc. REIT, 144a, 4.875%, 9/15/29 | 97,195 | ||
133,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 7/15/30 | 137,229 | ||
128,000 | MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc. REIT, 5.625%, 5/1/24 | 137,391 | ||
453,000 | Mid-America Apartments LP REIT, 3.750%, 6/15/24 | 490,068 | ||
91,000 | MPT Operating Partnership LP / MPT Finance Corp. REIT, 5.250%, 8/1/26 | 93,958 | ||
782,000 | Realty Income Corp. REIT, 3.250%, 1/15/31 | 824,856 | ||
34,000 | RHP Hotel Properties LP / RHP Finance Corp. REIT, 144a, 4.500%, 2/15/29 | 34,135 | ||
691,000 | Sabra Health Care LP REIT, 5.125%, 8/15/26 | 767,952 | ||
97,000 | Service Properties Trust REIT, 4.650%, 3/15/24 | 97,000 |
Principal Amount | Market Value | |||
Corporate Bonds — 40.1% (Continued) | ||||
Real Estate — (Continued) | ||||
$ 350,000 | STORE Capital Corp. REIT, 4.500%, 3/15/28 | $ 385,032 | ||
710,000 | STORE Capital Corp. REIT, 4.625%, 3/15/29 | 789,640 | ||
7,883,295 | ||||
Materials — 1.6% | ||||
41,000 | Arconic Corp., 144a, 6.125%, 2/15/28 | 43,796 | ||
17,000 | Arconic Corp., 144a, 6.000%, 5/15/25 | 18,322 | ||
667,000 | Braskem America Finance Co. (Brazil), 144a, 7.125%, 7/22/41 | 758,713 | ||
200,000 | Braskem Netherlands Finance BV (Brazil), 144a, 4.500%, 1/10/28 | 205,484 | ||
300,000 | Cemex SAB de CV (Mexico), 144a, 5.450%, 11/19/29 | 328,650 | ||
6,000 | Commercial Metals Co., 3.875%, 2/15/31 | 5,889 | ||
200,000 | Corp. Nacional del Cobre de Chile (Chile), 144a, 4.500%, 9/16/25 | 223,480 | ||
72,000 | CVR Partners LP / CVR Nitrogen Finance Corp., 144a, 9.250%, 6/15/23 | 72,630 | ||
426,000 | Eagle Materials, Inc., 4.500%, 8/1/26 | 439,967 | ||
187,000 | Freeport-McMoRan, Inc., 5.000%, 9/1/27 | 198,706 | ||
55,000 | Hudbay Minerals, Inc. (Peru), 144a, 4.500%, 4/1/26 | 57,162 | ||
39,000 | Hudbay Minerals, Inc. (Peru), 144a, 6.125%, 4/1/29 | 41,633 | ||
200,000 | Indonesia Asahan Aluminium Persero PT (Indonesia), 144a, 5.450%, 5/15/30 | 227,000 | ||
200,000 | Indonesia Asahan Aluminium Persero PT (Indonesia), 6.757%, 11/15/48 | 249,180 | ||
300,000 | Industrias Penoles SAB de CV (Mexico), 144a, 5.650%, 9/12/49 | 347,553 | ||
37,000 | Kaiser Aluminum Corp., 144a, 4.625%, 3/1/28 | 37,871 | ||
68,000 | Mercer International, Inc. (Germany), 144a, 5.125%, 2/1/29 | 70,448 | ||
200,000 | Metinvest BV (Ukraine), 144a, 7.750%, 10/17/29 | 211,792 | ||
49,000 | Mineral Resources Ltd. (Australia), 144a, 8.125%, 5/1/27 | 54,170 | ||
28,000 | Minerals Technologies, Inc., 144a, 5.000%, 7/1/28 | 28,875 | ||
11,000 | Novelis Corp., 144a, 4.750%, 1/30/30 | 11,331 | ||
136,000 | Novelis Corp., 144a, 5.875%, 9/30/26 | 142,365 | ||
80,000 | Nufarm Australia Ltd. / Nufarm Americas, Inc. (Australia), 144a, 5.750%, 4/30/26 | 81,830 | ||
200,000 | OCP SA (Morocco), 144a, 6.875%, 4/25/44 | 232,500 | ||
789,000 | Sherwin-Williams Co. (The), 4.500%, 6/1/47 | 919,161 | ||
200,000 | Suzano Austria GmbH (Brazil), 5.000%, 1/15/30 | 221,500 | ||
38,000 | Tronox, Inc., 144a, 4.625%, 3/15/29 | 38,048 | ||
43,000 | US Concrete, Inc., 144a, 5.125%, 3/1/29 | 44,290 | ||
280,000 | Vulcan Materials Co., 4.500%, 4/1/25 | 313,076 | ||
35,000 | WR Grace & Co., 144a, 4.875%, 6/15/27 | 36,232 | ||
5,661,654 | ||||
Total Corporate Bonds | $140,817,903 | |||
U.S. Treasury Obligations — 21.7% | ||||
614,000 | U.S. Treasury Bond, 1.250%, 5/15/50 | �� | 461,795 | |
4,915,000 | U.S. Treasury Bond, 1.375%, 11/15/40 | 4,169,302 | ||
18,410,000 | U.S. Treasury Bond, 1.875%, 2/15/41 | 17,098,287 | ||
13,450,000 | U.S. Treasury Note, 0.125%, 2/28/23 | 13,441,594 | ||
3,600,000 | U.S. Treasury Note, 0.250%, 6/30/25 | 3,525,750 | ||
15,640,000 | U.S. Treasury Note, 0.250%, 10/31/25 | 15,222,119 | ||
7,910,000 | U.S. Treasury Note, 0.375%, 3/31/22 | 7,932,865 | ||
6,285,000 | U.S. Treasury Note, 1.500%, 9/30/21 | 6,329,928 | ||
3,930,000 | U.S. Treasury Note, 1.500%, 10/31/24 | 4,062,945 | ||
3,900,000 | U.S. Treasury Note, 1.500%, 11/30/24 | 4,031,168 | ||
Total U.S. Treasury Obligations | $76,275,753 | |||
Asset-Backed Securities — 12.1% | ||||
2,133,596 | Adams Outdoor Advertising LP, Ser 2018-1, Class A, 144a, 4.810%, 11/15/48 | 2,285,426 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 12.1% (Continued) | ||||
$ 1,475,000 | AGL CLO 6 Ltd. (Cayman Islands), Ser 2020-6A, Class A1, 144a, (3M LIBOR +1.950%), 2.174%, 7/20/31(A) | $ 1,480,303 | ||
1,400,000 | Aimco CLO 11 Ltd. (Cayman Islands), Ser 2020-11A, Class A2, 144a, (3M LIBOR +1.300%), 1.525%, 10/15/31(A) | 1,401,526 | ||
1,450,000 | Apidos CLO XVIII (Cayman Islands), Ser 2018-18A, Class A1, 144a, (3M LIBOR +1.140%), 1.362%, 10/22/30(A) | 1,450,058 | ||
1,375,000 | Benefit Street Partners CLO XIX Ltd. (Cayman Islands), Ser 2019-19A, Class B, 144a, (3M LIBOR +2.000%), 2.241%, 1/15/33(A) | 1,380,096 | ||
825,000 | BSPRT Issuer Ltd. (Cayman Islands), Ser 2018-FL4, Class D, 144a, (1M LIBOR +2.750%), 2.856%, 9/15/35(A) | 814,784 | ||
1,002,098 | CF Hippolyta LLC, Ser 2020-1, Class A1, 144a, 1.690%, 7/15/60 | 1,009,362 | ||
1,505,000 | CIFC Funding Ltd. (Cayman Islands), Ser 2016-1A, Class A1R, 144a, (3M LIBOR +1.350%), 1.574%, 10/21/31(A) | 1,509,073 | ||
2,239 | CIT Home Equity Loan Trust, Ser 2002-1, Class AF5, 7.210%, 2/25/33(A)(B) | 2,302 | ||
2,887,500 | Coinstar Funding LLC, Ser 2017-1A, Class A2, 144a, 5.216%, 4/25/47 | 2,896,694 | ||
491,790 | Domino's Pizza Master Issuer LLC, Ser 2017-1A, Class A2II, 144a, 3.082%, 7/25/47 | 492,572 | ||
11,709 | FFMLT Trust, Ser 2005-FFA, Class M3, 6.017%, 3/25/25(A)(B) | 11,905 | ||
137,443 | FHLMC Structured Pass Through Securities, Ser T-20, Class A5, 8.370%, 12/25/29(A)(B) | 164,459 | ||
11,100 | FNMA REMIC Trust, Ser 2001-W2, Class AF6, 6.089%, 10/25/31(A)(B) | 11,861 | ||
452,902 | Hertz Vehicle Financing II LP, Ser 2016-4A, Class A, 144a, 2.650%, 7/25/22 | 454,876 | ||
316,792 | Hertz Vehicle Financing II LP, Ser 2019-1A, Class A, 144a, 3.710%, 3/25/23 | 318,057 | ||
947,944 | Hilton Grand Vacations Trust, Ser 2020-AA, Class A, 144a, 2.740%, 2/25/39 | 985,244 | ||
1,637,625 | Jack In The Box Funding LLC, Ser 2019-1A, Class A2I, 144a, 3.982%, 8/25/49 | 1,679,565 | ||
970,000 | Jersey Mike's Funding, Ser 2019-1A, Class A2, 144a, 4.433%, 2/15/50 | 1,025,445 | ||
1,850,000 | Madison Park Funding XVIII Ltd. (Cayman Islands), Ser 2015-18A, Class BR, 144a, (3M LIBOR +1.600%), 1.824%, 10/21/30(A) | 1,850,165 | ||
1,505,000 | Madison Park Funding XXXV Ltd. (Cayman Islands), Ser 2019-35A, Class A2A, 144a, (3M LIBOR +1.650%), 1.874%, 4/20/31(A) | 1,505,000 | ||
1,505,000 | Madison Park Funding XXXV Ltd. (Cayman Islands), Ser 2019-35A, Class A2AR, 144a, (3M LIBOR +1.200%), 4/20/32(A) | 1,505,158 | ||
881,577 | Mid-State Capital Corp. Trust, Ser 2005-1, Class M2, 7.079%, 1/15/40 | 980,586 | ||
1,200,000 | Neighborly Issuer LLC, Ser 2021-1A, Class A2, 144a, 3.584%, 4/30/51 | 1,203,624 | ||
1,400,000 | New Mountain CLO 1 Ltd. (Cayman Islands), Ser CLO-1A, Class A1, 144a, (3M LIBOR +1.550%), 1.791%, 10/15/32(A) | 1,402,818 | ||
1,375,000 | OHA Loan Funding Ltd. (Cayman Islands), Ser 2015-1A, Class B1R2, 144a, (3M LIBOR +1.900%), 2.094%, 11/15/32(A) | 1,377,856 | ||
109,685 | Orange Lake Timeshare Trust, Ser 2016-A, Class A, 144a, 2.610%, 3/8/29 | 110,808 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 12.1% (Continued) | ||||
$ 1,231,750 | TAL Advantage VII LLC, Ser 2020-1A, Class A, 144a, 2.050%, 9/20/45 | $ 1,228,958 | ||
700,000 | Towd Point Mortgage Trust, Ser 2015-3, Class A2, 144a, 4.000%, 3/25/54(A)(B) | 709,423 | ||
1,475,000 | Towd Point Mortgage Trust, Ser 2015-4, Class A2, 144a, 3.750%, 4/25/55(A)(B) | 1,498,513 | ||
650,000 | Towd Point Mortgage Trust, Ser 2017-2, Class M1, 144a, 3.750%, 4/25/57(A)(B) | 695,129 | ||
2,015,274 | Towd Point Mortgage Trust, Ser 2019-1, Class A1, 144a, 3.735%, 3/25/58(A)(B) | 2,134,997 | ||
600,000 | Voya CLO Ltd. (Cayman Islands), Ser 2017-4A, Class A1, 144a, (3M LIBOR +1.130%), 1.371%, 10/15/30(A) | 600,029 | ||
1,505,000 | Voya CLO Ltd. (Cayman Islands), Ser 2019-2A, Class A, 144a, (3M LIBOR +1.270%), 1.494%, 7/20/32(A) | 1,505,551 | ||
3,216,938 | Wendy's Funding LLC, Ser 2018-1A, Class A2I, 144a, 3.573%, 3/15/48 | 3,306,722 | ||
1,475,000 | Whitebox CLO II Ltd. (Cayman Islands), Ser 2020-2A, Class A1, 144a, (3M LIBOR +1.750%), 1.992%, 10/24/31(A) | 1,480,751 | ||
Total Asset-Backed Securities | $42,469,696 | |||
U.S. Government Mortgage-Backed Obligations — 6.4% | ||||
111,581 | FHLMC, Pool #1Q0339, (12M LIBOR +1.894%), 2.952%, 4/1/37(A) | 118,996 | ||
9,745 | FHLMC, Pool #A12886, 5.000%, 8/1/33 | 11,253 | ||
51,551 | FHLMC, Pool #A13842, 6.000%, 9/1/33 | 58,040 | ||
7,308 | FHLMC, Pool #A21415, 5.000%, 5/1/34 | 8,432 | ||
14,439 | FHLMC, Pool #A35682, 5.000%, 7/1/35 | 16,806 | ||
9,402 | FHLMC, Pool #A36523, 5.000%, 8/1/35 | 10,943 | ||
31,833 | FHLMC, Pool #A46590, 5.000%, 8/1/35 | 35,282 | ||
4,227 | FHLMC, Pool #A64971, 5.500%, 8/1/37 | 4,972 | ||
2,215,802 | FHLMC, Pool #A89148, 4.000%, 10/1/39 | 2,454,612 | ||
69,213 | FHLMC, Pool #A96485, 4.500%, 1/1/41 | 77,106 | ||
399,474 | FHLMC, Pool #A97897, 4.500%, 4/1/41 | 449,400 | ||
16,223 | FHLMC, Pool #C62740, 7.000%, 1/1/32 | 18,384 | ||
15,874 | FHLMC, Pool #C72254, 6.500%, 7/1/32 | 18,206 | ||
36,567 | FHLMC, Pool #C90986, 7.000%, 6/1/26 | 39,432 | ||
12,710 | FHLMC, Pool #G02184, 5.000%, 4/1/36 | 14,785 | ||
2,173,089 | FHLMC, Pool #G05624, 4.500%, 9/1/39 | 2,451,137 | ||
205,468 | FHLMC, Pool #G05733, 5.000%, 11/1/39 | 239,190 | ||
75,153 | FHLMC, Pool #J13584, 3.500%, 11/1/25 | 80,179 | ||
1,143,173 | FHLMC REMICS, Pool #RA2970, 2.500%, 7/1/50 | 1,176,574 | ||
32,144 | FNMA, Pool #255628, 5.500%, 2/1/25 | 35,832 | ||
8,993 | FNMA, Pool #426830, 8.000%, 11/1/24 | 9,091 | ||
6,356 | FNMA, Pool #540040, 7.500%, 6/1/28 | 6,379 | ||
11,317 | FNMA, Pool #561741, 7.500%, 1/1/31 | 12,925 | ||
22,675 | FNMA, Pool #640291, 7.000%, 8/1/32 | 23,016 | ||
14,194 | FNMA, Pool #653502, 6.500%, 7/1/32 | 15,932 | ||
20,831 | FNMA, Pool #670402, 6.500%, 6/1/32 | 23,911 | ||
114,012 | FNMA, Pool #745257, 6.000%, 1/1/36 | 136,248 | ||
59,062 | FNMA, Pool #748895, 6.000%, 12/1/33 | 63,201 | ||
40,015 | FNMA, Pool #758564, 6.000%, 9/1/24 | 44,887 | ||
57,371 | FNMA, Pool #810049, 5.500%, 3/1/35 | 64,460 | ||
82,033 | FNMA, Pool #819297, 6.000%, 9/1/35 | 97,959 | ||
685,482 | FNMA, Pool #881279, 5.000%, 11/1/36 | 796,051 | ||
24,198 | FNMA, Pool #889060, 6.000%, 1/1/38 | 28,749 | ||
60,268 | FNMA, Pool #889061, 6.000%, 1/1/38 | 71,908 | ||
5,766 | FNMA, Pool #895657, 6.500%, 8/1/36 | 6,539 | ||
105,247 | FNMA, Pool #905049, 5.500%, 11/1/36 | 117,709 | ||
407,055 | FNMA, Pool #928553, 5.500%, 8/1/37 | 476,962 | ||
398,260 | FNMA, Pool #931535, 5.500%, 7/1/39 | 423,789 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 6.4% (Continued) | ||||
$ 145,484 | FNMA, Pool #AA3467, 4.500%, 4/1/39 | $ 164,040 | ||
225,952 | FNMA, Pool #AA4584, 4.500%, 4/1/39 | 254,771 | ||
55,169 | FNMA, Pool #AB1800, 4.000%, 11/1/40 | 61,095 | ||
112,234 | FNMA, Pool #AB2452, 4.000%, 3/1/26 | 119,771 | ||
36,606 | FNMA, Pool #AD3775, 4.500%, 3/1/25 | 38,675 | ||
52,189 | FNMA, Pool #AD6193, 5.000%, 6/1/40 | 59,543 | ||
83,343 | FNMA, Pool #AE1568, 4.000%, 9/1/40 | 91,403 | ||
384,737 | FNMA, Pool #AE2497, 4.500%, 9/1/40 | 433,829 | ||
51,032 | FNMA, Pool #AE5441, 5.000%, 10/1/40 | 59,345 | ||
186,331 | FNMA, Pool #AH1135, 5.000%, 1/1/41 | 216,629 | ||
65,053 | FNMA, Pool #AH3671, 4.000%, 2/1/26 | 69,452 | ||
372,008 | FNMA, Pool #AH6622, 4.000%, 3/1/41 | 414,458 | ||
382,762 | FNMA, Pool #AL0150, 4.000%, 2/1/41 | 423,728 | ||
71,993 | FNMA, Pool #AL0211, 5.000%, 4/1/41 | 83,112 | ||
2,309,525 | FNMA, Pool #AL5718, 3.500%, 9/1/44 | 2,498,579 | ||
456,405 | FNMA, Pool #AS0779, 4.000%, 10/1/43 | 506,020 | ||
37,537 | FNMA, Pool #AS7813, 4.000%, 8/1/46 | 41,099 | ||
1,932,620 | FNMA, Pool #FM4660, 2.000%, 10/1/35 | 1,987,936 | ||
2,033,642 | FNMA, Pool #FM4702, 2.500%, 10/1/50 | 2,096,178 | ||
672,129 | FNMA, Pool #FM4996, 2.000%, 12/1/50 | 671,848 | ||
1,283,601 | FNMA, Pool #MA4128, 2.000%, 9/1/40 | 1,297,336 | ||
1,012,912 | GNMA, Pool #4424, 5.000%, 4/20/39 | 1,149,116 | ||
Total U.S. Government Mortgage-Backed Obligations | $22,477,240 | |||
Non-Agency Collateralized Mortgage Obligations — 6.3% | ||||
1,966 | Adjustable Rate Mortgage Trust, Ser 2004-4, Class 3A1, 2.548%, 3/25/35(A)(B) | 1,999 | ||
1,715,024 | Agate Bay Mortgage Trust, Ser 2015-7, Class B1, 144a, 3.704%, 10/25/45(A)(B) | 1,787,971 | ||
2,672,765 | Agate Bay Mortgage Trust, Ser 2015-7, Class B2, 144a, 3.704%, 10/25/45(A)(B) | 2,775,901 | ||
14,849 | Alternative Loan Trust, Ser 2004-30CB, Class 3A1, 5.000%, 2/25/20 | 14,791 | ||
5,839 | CSFB Mortgage-Backed Trust, Ser 2004-7, Class 6A1, 5.250%, 10/25/19 | 6,152 | ||
880,816 | CSMC Trust, Ser 2013-7, Class B3, 144a, 3.532%, 8/25/43(A)(B) | 891,332 | ||
950,372 | CSMC Trust, Ser 2014-OAK1, Class B4, 144a, 3.717%, 11/25/44(A)(B) | 959,867 | ||
1,527,276 | CSMC Trust, Ser 2015-1, Class B3, 144a, 3.926%, 1/25/45(A)(B) | 1,585,109 | ||
1,526,157 | CSMC Trust, Ser 2015-2, Class B4, 144a, 3.908%, 2/25/45(A)(B) | 1,564,090 | ||
1,489,756 | CSMC Trust, Ser 2015-WIN1, Class B3, 144a, 3.815%, 12/25/44(A)(B) | 1,512,102 | ||
931,307 | CSMC Trust, Ser 2018-RPL9, Class A, 144a, 3.850%, 9/25/57(A)(B) | 990,774 | ||
178,960 | Galton Funding Mortgage Trust, Ser 2019-1, Class A22, 144a, 4.000%, 2/25/59(A)(B) | 182,487 | ||
757,725 | GS Mortgage-Backed Securities Corp. Trust, Ser 2020-PJ3, Class A14, 144a, 3.000%, 10/25/50(A)(B) | 768,766 | ||
31,828 | JP Morgan Mortgage Trust, Ser 2005-A1, Class 2A1, 2.190%, 2/25/35(A)(B) | 33,242 | ||
75,878 | JP Morgan Mortgage Trust, Ser 2005-A2, Class 7CB1, 2.943%, 4/25/35(A)(B) | 79,093 | ||
23,921 | JP Morgan Mortgage Trust, Ser 2006-A4, Class 2A2, 2.749%, 6/25/36(A)(B) | 20,245 | ||
1,125,060 | JP Morgan Mortgage Trust, Ser 2015-IVR2, Class B3, 144a, 2.643%, 1/25/45(A)(B) | 1,141,785 | ||
1,721,079 | JP Morgan Mortgage Trust, Ser 2017-1, Class B2, 144a, 3.509%, 1/25/47(A)(B) | 1,770,758 |
Principal Amount | Market Value | |||
Non-Agency Collateralized Mortgage Obligations — 6.3% (Continued) | ||||
$ 1,036,128 | JP Morgan Mortgage Trust, Ser 2019-INV1, Class A15, 144a, 4.000%, 10/25/49(A)(B) | $ 1,077,675 | ||
18,766 | MASTR Alternative Loan Trust, Ser 2004-7, Class 10A1, 6.000%, 6/25/34 | 19,677 | ||
153,239 | Residential Asset Securitization Trust, Ser 2006-A1, Class 1A3, 6.000%, 4/25/36 | 105,942 | ||
152,669 | Sequoia Mortgage Trust, Ser 2013-1, Class B1, 3.612%, 2/25/43(A)(B) | 156,152 | ||
179,004 | Sequoia Mortgage Trust, Ser 2013-1, Class B2, 3.612%, 2/25/43(A)(B) | 182,513 | ||
309,394 | Sequoia Mortgage Trust, Ser 2013-10, Class B2, 144a, 3.545%, 8/25/43(A)(B) | 317,290 | ||
276,669 | Sequoia Mortgage Trust, Ser 2013-5, Class B1, 144a, 3.500%, 5/25/43(A)(B) | 285,133 | ||
688,359 | Sequoia Mortgage Trust, Ser 2014-2, Class B2, 144a, 4.087%, 7/25/44(A)(B) | 712,074 | ||
743,183 | Sequoia Mortgage Trust, Ser 2017-1, Class A4, 144a, 3.500%, 2/25/47(A)(B) | 745,751 | ||
1,430,247 | Sequoia Mortgage Trust, Ser 2017-2, Class A1, 144a, 3.500%, 2/25/47(A)(B) | 1,456,104 | ||
1,005,984 | Sequoia Mortgage Trust, Ser 2018-CH4, Class A13, 144a, 4.500%, 10/25/48(A)(B) | 1,023,194 | ||
58,328 | Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-9, Class 2A4, 5.500%, 11/25/35 | 58,991 | ||
Total Non-Agency Collateralized Mortgage Obligations | $22,226,960 | |||
Sovereign Government Obligations — 4.5% | ||||
200,000 | Abu Dhabi Government International Bond, 144a, 3.875%, 4/16/50 | 217,120 | ||
200,000 | Angolan Government International Bond, 144a, 8.000%, 11/26/29 | 187,387 | ||
275,000 | Angolan Government International Bond, 144a, 8.250%, 5/9/28 | 263,422 | ||
200,000 | Angolan Government International Bond, 9.375%, 5/8/48 | 188,160 | ||
242,500 | Argentine Republic Government International Bond, 0.125%, 7/9/35(A)(B) | 72,389 | ||
12,043 | Argentine Republic Government International Bond, 1.000%, 7/9/29 | 4,332 | ||
200,000 | Bahrain Government International Bond, 144a, 4.250%, 1/25/28 | 198,482 | ||
521,000 | Colombia Government International Bond, 5.000%, 6/15/45 | 553,901 | ||
250,000 | Colombia Government International Bond, 6.125%, 1/18/41 | 296,060 | ||
200,000 | Costa Rica Government International Bond, 144a, 5.625%, 4/30/43 | 174,000 | ||
200,000 | Dominican Republic International Bond, 144a, 4.875%, 9/23/32 | 204,000 | ||
150,000 | Dominican Republic International Bond, 144a, 5.950%, 1/25/27 | 168,750 | ||
100,000 | Dominican Republic International Bond, 144a, 6.850%, 1/27/45 | 110,500 | ||
200,000 | Dominican Republic International Bond, 144a, 5.875%, 4/18/24 | 214,940 | ||
26,958 | Ecuador Government International Bond, 144a, 7/31/30# | 10,783 | ||
85,050 | Ecuador Government International Bond, 144a, 0.500%, 7/31/30(A)(B) | 49,542 | ||
222,885 | Ecuador Government International Bond, 144a, 0.500%, 7/31/35(A)(B) | 101,413 |
Principal Amount | Market Value | |||
Sovereign Government Obligations — 4.5% (Continued) | ||||
$ 102,150 | Ecuador Government International Bond, 144a, 0.500%, 7/31/40(A)(B) | $ 44,180 | ||
400,000 | Egypt Government International Bond, 144a, 5.750%, 5/29/24 | 419,352 | ||
400,000 | Egypt Government International Bond, 144a, 5.875%, 2/16/31 | 374,440 | ||
200,000 | Egypt Government International Bond, 144a, 7.500%, 1/31/27 | 216,790 | ||
200,000 | Egypt Government International Bond, 144a, 8.150%, 11/20/59 | 190,548 | ||
100,000 | El Salvador Government International Bond, 144a, 6.375%, 1/18/27 | 98,900 | ||
100,000 | El Salvador Government International Bond, 144a, 7.650%, 6/15/35 | 98,250 | ||
100,000 | El Salvador Government International Bond, 144a, 5.875%, 1/30/25 | 99,850 | ||
200,000 | Ghana Government International Bond, 144a, 7.625%, 5/16/29 | 196,335 | ||
200,000 | Ghana Government International Bond, 144a, 8.950%, 3/26/51 | 189,132 | ||
200,000 | Government of Sharjah Finance Department, 144a, 4.000%, 7/28/50 | 175,888 | ||
200,000 | Guatemala Government Bond, 144a, 6.125%, 6/1/50 | 231,502 | ||
200,000 | Israel Government International Bond, 4.500%, 4/3/2120 | 238,198 | ||
200,000 | Ivory Coast Government International Bond, 144a, 6.375%, 3/3/28 | 216,760 | ||
150,000 | Jamaica Government International Bond, 8.000%, 3/15/39 | 205,500 | ||
200,000 | Kenya Government International Bond, 144a, 7.250%, 2/28/28 | 210,562 | ||
200,000 | Lebanese Republic Government International Bond, MTN, 6.650%, 2/26/30 | 22,904 | ||
566,000 | Mexico Government International Bond, 3.771%, 5/24/61 | 498,125 | ||
200,000 | Mexico Government International Bond, 4.125%, 1/21/26 | 222,078 | ||
200,000 | Mexico Government International Bond, 4.750%, 4/27/32 | 222,700 | ||
200,000 | Mongolia Government International Bond, 144a, 5.625%, 5/1/23 | 208,966 | ||
200,000 | Nigeria Government International Bond, 5.625%, 6/27/22 | 206,306 | ||
200,000 | Nigeria Government International Bond, 144a, 7.875%, 2/16/32 | 205,690 | ||
250,000 | Oman Government International Bond, 144a, 4.125%, 1/17/23 | 255,675 | ||
200,000 | Oman Government International Bond, 144a, 5.375%, 3/8/27 | 206,760 | ||
200,000 | Pakistan Government International Bond, 144a, 6.000%, 4/8/26 | 203,250 | ||
300,000 | Pakistan Government International Bond, 144a, 7.875%, 3/31/36 | 310,500 | ||
216,000 | Paraguay Government International Bond, 144a, 2.739%, 1/29/33 | 207,360 | ||
200,000 | Paraguay Government International Bond, 144a, 5.400%, 3/30/50 | 225,302 | ||
300,000 | Perusahaan Penerbit SBSN Indonesia III, 144a, 4.350%, 9/10/24 | 330,513 | ||
1,410,000 | Peruvian Government International Bond, 2.780%, 12/1/60 | 1,159,739 | ||
1,430,000 | Province of British Columbia Canada, 1.300%, 1/29/31 | 1,344,193 |
Principal Amount | Market Value | |||
Sovereign Government Obligations — 4.5% (Continued) | ||||
$ 300,000 | Province of Santa Fe (Argentina), 144a, 7.000%, 3/23/23 | $ 238,503 | ||
500,000 | Republic of Azerbaijan International Bond, 144a, 4.750%, 3/18/24 | 541,105 | ||
200,000 | Republic of Belarus International Bond, 144a, 6.875%, 2/28/23 | 203,777 | ||
300,000 | Republic of South Africa Government International Bond, 4.850%, 9/27/27 | 309,450 | ||
200,000 | Republic of South Africa Government International Bond, 5.750%, 9/30/49 | 184,030 | ||
200,000 | Sri Lanka Government International Bond, 144a, 7.550%, 3/28/30 | 121,680 | ||
375,000 | Sri Lanka Government International Bond, 144a, 6.125%, 6/3/25 | 235,748 | ||
350,000 | Turkey Government International Bond, 4.875%, 4/16/43 | 267,225 | ||
400,000 | Turkey Government International Bond, 5.750%, 5/11/47 | 324,060 | ||
400,000 | Ukraine Government International Bond, 144a, 7.375%, 9/25/32 | 402,024 | ||
375,000 | Ukraine Government International Bond, 144a, 7.750%, 9/1/21 | 381,642 | ||
200,000 | Ukraine Government International Bond, 7.750%, 9/1/26 | 216,818 | ||
200,000 | Uruguay Government International Bond, 4.375%, 1/23/31 | 231,504 | ||
Total Sovereign Government Obligations | $15,708,995 | |||
Commercial Mortgage-Backed Securities — 4.4% | ||||
2,500,000 | Austin Fairmont Hotel Trust, Ser 2019-FAIR, Class C, 144a, (1M LIBOR +1.450%), 1.556%, 9/15/32(A) | 2,487,457 | ||
500,000 | BANK, Ser 2018-BN14, Class A3, 3.966%, 9/15/60 | 555,798 | ||
1,000,000 | BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 2.056%, 2/15/29(A) | 999,999 | ||
1,492,655 | COMM Mortgage Trust, Ser 2014-CR14, Class A2, 3.147%, 2/10/47 | 1,493,279 | ||
580,000 | DBUBS Mortgage Trust, Ser 2017-BRBK, Class B, 144a, 3.530%, 10/10/34(A)(B) | 615,706 | ||
550,000 | Eleven Madison Trust Mortgage Trust, Ser 2015-11MD, Class C, 144a, 3.555%, 9/10/35(A)(B) | 581,081 | ||
595,000 | GS Mortgage Securities Corp. II, Ser 2017-SLP, Class B, 144a, 3.772%, 10/10/32 | 607,253 | ||
1,750,000 | GS Mortgage Securities Trust, Ser 2017-FARM, Class B, 144a, 3.541%, 1/10/43(A)(B) | 1,820,934 | ||
3,000,000 | Hudson Yards Mortgage Trust, Ser 2016-10HY, Class A, 144a, 2.835%, 8/10/38 | 3,149,247 | ||
528,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2016-NINE, Class B, 144a, 2.854%, 9/6/38(A)(B) | 549,931 | ||
1,200,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-MINN, Class A, 144a, (1M LIBOR +1.020%), 2.020%, 11/15/35(A) | 1,198,996 | ||
575,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Class B, 4.443%, 8/15/45(A)(B) | 595,914 | ||
695,000 | WFRBS Commercial Mortgage Trust, Ser 2013-C12, Class B, 3.863%, 3/15/48(A)(B) | 725,783 | ||
Total Commercial Mortgage-Backed Securities | $15,381,378 | |||
Agency Collateralized Mortgage Obligations — 2.7% | ||||
3,525,107 | FHLMC REMIC, Ser 3331, Class PE, 6.000%, 6/15/37 | 4,095,234 | ||
887,960 | FHLMC REMIC, Ser 3859, Class JB, 5.000%, 5/15/41 | 973,647 | ||
168,312 | FNMA REMIC, Ser 2003-32, Class BZ, 6.000%, 11/25/32 | 195,628 | ||
275,888 | FNMA REMIC, Ser 2012-47, Class AI, 3.000%, 5/25/22(C) | 3,154 |
Principal Amount | Market Value | |||
Agency Collateralized Mortgage Obligations — 2.7% (Continued) | ||||
$ 34,422 | FNMA REMIC, Ser 2015-51, Class KC, 3.000%, 6/25/45 | $ 35,283 | ||
579,458 | FNMA REMIC, Ser 2017-90, Class KA, 3.000%, 11/25/47 | 615,061 | ||
66,803 | FNMA Trust, Ser 2004-W15, Class 2AF, (1M LIBOR +0.250%), 0.359%, 8/25/44(A) | 66,442 | ||
1,189,000 | FREMF Mortgage Trust, Ser 2012-K23, Class C, 144a, 3.657%, 10/25/45(A)(B) | 1,230,500 | ||
1,352,719 | GNMA, Ser 2010-169, Class AW, 4.500%, 12/20/40 | 1,502,375 | ||
5,841,446 | GNMA, Ser 2012-147, Class IO, 0.579%, 4/16/54(A)(B)(C) | 120,602 | ||
2,969,381 | GNMA, Ser 2016-113, Class IO, 1.152%, 2/16/58(A)(B)(C) | 203,764 | ||
12,620,591 | GNMA, Ser 2016-140, Class IO, 0.815%, 5/16/58(A)(B)(C) | 645,071 | ||
Total Agency Collateralized Mortgage Obligations | $9,686,761 |
Shares | ||||
Short-Term Investment Funds — 2.2% | ||||
6,601,868 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 6,601,868 | ||
1,118,126 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 1,118,126 | ||
Total Short-Term Investment Funds | $7,719,994 | |||
Total Investment Securities—100.4% (Cost $343,400,700) | $352,764,680 | |||
Liabilities in Excess of Other Assets — (0.4%) | (1,502,060) | |||
Net Assets — 100.0% | $351,262,620 |
(A) | Variable rate security - Rate reflected is the rate in effect as of March 31, 2021. |
(B) | 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. |
(C) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2021 was $1,071,274. |
# | Zero coupon bond - Rate shown reflects effective yield to maturity at time of purchase. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
FREMF – Freddie Mac Multifamily Securitization |
GNMA – Government National Mortgage Association |
IO – Interest Only |
JSC – Joint Stock Company |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities were valued at $131,164,039 or 37.3% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $140,817,903 | $— | $140,817,903 |
U.S. Treasury Obligations | — | 76,275,753 | — | 76,275,753 |
Asset-Backed Securities | — | 42,469,696 | — | 42,469,696 |
U.S. Government Mortgage-Backed Obligations | — | 22,477,240 | — | 22,477,240 |
Non-Agency Collateralized Mortgage Obligations | — | 22,226,960 | — | 22,226,960 |
Sovereign Government Obligations | — | 15,708,995 | — | 15,708,995 |
Commercial Mortgage-Backed Securities | — | 15,381,378 | — | 15,381,378 |
Agency Collateralized Mortgage Obligations | — | 9,686,761 | — | 9,686,761 |
Short-Term Investment Funds | 7,719,994 | — | — | 7,719,994 |
Other Financial Instruments* | ||||
Futures | ||||
Interest rate contracts | 36,488 | — | — | 36,488 |
Total Assets | $7,756,482 | $345,044,686 | $— | $352,801,168 |
Liabilities: | ||||
Other Financial Instruments* | ||||
Futures | ||||
Interest rate contracts | $(47,260) | $— | $— | $(47,260) |
Total | $7,709,222 | $345,044,686 | $— | $352,753,908 |
* | Other Financial Instruments are derivative instruments not reflected in total investments. Amounts shown represent unrealized appreciation (depreciation) on futures contracts and is included in Receivable for variation margin for futures contracts on the Statement of Assets and Liabilities. |
Description | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) |
Short Futures: | ||||
Ultra Long U.S. Treasury Bond Futures | 6/21/2021 | 26 | $4,748,175 | $36,488 |
Long Futures: | ||||
5-Year U.S. Treasury Note Futures | 6/30/2021 | 162 | 20,037,808 | (47,260) |
$(10,772) |
Shares | Market Value | |||
Common Stocks — 98.6% | ||||
Japan — 31.8% | ||||
Communication Services — 5.7% | ||||
7,000 | Capcom Co. Ltd. | $ 227,717 | ||
23,200 | CyberAgent, Inc. | 418,773 | ||
4,900 | KDDI Corp. | 150,972 | ||
13,900 | Nexon Co. Ltd. | 450,675 | ||
15,700 | Nippon Telegraph & Telephone Corp. | 405,090 | ||
5,000 | Square Enix Holdings Co. Ltd. | 278,095 | ||
65,800 | Z Holdings Corp. | 328,223 | ||
Consumer Discretionary — 8.6% | ||||
7,100 | Goldwin, Inc. | 455,550 | ||
37,300 | K's Holdings Corp. | 513,467 | ||
23,600 | Pan Pacific International Holdings Corp. | 557,064 | ||
5,100 | Shimamura Co. Ltd. | 589,334 | ||
2,100 | Shimano, Inc. | 501,565 | ||
22,900 | Skylark Holdings Co. Ltd.* | 343,277 | ||
12,300 | Yamada Holdings Co. Ltd.* | 66,472 | ||
12,300 | ZOZO, Inc. | 364,380 | ||
Consumer Staples — 7.4% | ||||
3,100 | Ezaki Glico Co. Ltd. | 124,404 | ||
4,900 | Kobayashi Pharmaceutical Co. Ltd. | 457,141 | ||
8,000 | Lawson, Inc. | 392,560 | ||
22,700 | Lion Corp. | 442,622 | ||
7,800 | Sundrug Co. Ltd. | 285,765 | ||
1,200 | Tsuruha Holdings, Inc. | 154,762 | ||
15,000 | Welcia Holdings Co. Ltd. | 514,789 | ||
34,600 | Yamazaki Baking Co. Ltd. | 559,037 | ||
Energy — 0.3% | ||||
1,600 | Iwatani Corp. | 98,894 | ||
Health Care — 1.4% | ||||
10,500 | Chugai Pharmaceutical Co. Ltd. | 426,655 | ||
2,000 | JCR Pharmaceuticals Co. Ltd. | 64,755 | ||
2,200 | Nihon Kohden Corp. | 64,285 | ||
Industrials — 4.4% | ||||
13,900 | ANA Holdings, Inc.* | 323,426 | ||
800 | BayCurrent Consulting, Inc. | 183,527 | ||
3,700 | Japan Airlines Co. Ltd.* | 82,865 | ||
16,800 | MonotaRO Co. Ltd. | 455,757 | ||
15,700 | SG Holdings Co. Ltd. | 360,461 | ||
6,300 | West Japan Railway Co. | 349,561 | ||
Information Technology — 0.6% | ||||
8,000 | Anritsu Corp. | 175,102 | ||
2,300 | NET One Systems Co. Ltd. | 73,687 | ||
Real Estate — 1.9% | ||||
157 | GLP J-Reit | 257,779 | ||
158 | Nippon Prologis REIT, Inc. | 508,056 | ||
Utilities — 1.5% | ||||
9,900 | Toho Gas Co. Ltd. | 610,916 | ||
Total Japan | 12,617,460 | |||
United Kingdom — 8.4% | ||||
Communication Services — 0.9% | ||||
34,181 | Pearson PLC | 364,471 | ||
Consumer Discretionary — 1.8% | ||||
1,976 | Games Workshop Group PLC | 271,480 | ||
15,838 | Ocado Group PLC* | 444,053 | ||
Consumer Staples — 1.0% | ||||
116,835 | J Sainsbury PLC | 390,695 |
Shares | Market Value | |||
United Kingdom — (Continued) | ||||
Energy — 0.1% | ||||
7,704 | TechnipFMC PLC | $ 58,771 | ||
Financials — 1.6% | ||||
34,883 | Hiscox Ltd.* | 413,093 | ||
16,552 | IG Group Holdings PLC | 205,596 | ||
Health Care — 1.4% | ||||
212,471 | ConvaTec Group PLC, 144a | 574,402 | ||
Industrials — 1.3% | ||||
91,943 | International Consolidated Airlines Group SA* | 251,364 | ||
36,816 | Royal Mail PLC* | 256,230 | ||
Utilities — 0.3% | ||||
156,876 | Centrica PLC* | 117,115 | ||
Total United Kingdom | 3,347,270 | |||
Hong Kong — 8.4% | ||||
Communication Services — 1.3% | ||||
894,844 | PCCW Ltd. | 505,347 | ||
Consumer Discretionary — 1.0% | ||||
19,226 | Melco Resorts & Entertainment Ltd. ADR* | 382,790 | ||
Consumer Staples — 1.2% | ||||
128,000 | Vitasoy International Holdings Ltd. | 492,692 | ||
Financials — 0.8% | ||||
11,000 | Hang Seng Bank Ltd. | 213,600 | ||
2,000 | Hong Kong Exchanges & Clearing Ltd. | 118,652 | ||
Industrials — 1.5% | ||||
8,800 | Jardine Matheson Holdings Ltd. | 576,550 | ||
Information Technology — 1.1% | ||||
34,900 | ASM Pacific Technology Ltd. | 446,639 | ||
Real Estate — 1.5% | ||||
63,200 | Link REIT | 576,620 | ||
Total Hong Kong | 3,312,890 | |||
Denmark — 5.5% | ||||
Consumer Discretionary — 0.8% | ||||
2,820 | Pandora A/S | 301,597 | ||
Health Care — 3.5% | ||||
7,982 | Ambu A/S - Class B | 374,856 | ||
3,162 | Ascendis Pharma A/S ADR* | 407,518 | ||
3,784 | Coloplast A/S - Class B | 568,913 | ||
875 | Novo Nordisk A/S - Class B | 58,961 | ||
Industrials — 0.9% | ||||
19,405 | ISS A/S* | 361,654 | ||
Materials — 0.3% | ||||
1,162 | Chr Hansen Holding A/S* | 105,589 | ||
Total Denmark | 2,179,088 | |||
Australia — 5.5% | ||||
Consumer Discretionary — 2.1% | ||||
6,666 | Domino's Pizza Enterprises Ltd. | 489,263 | ||
19,274 | IDP Education Ltd. | 350,708 | ||
Consumer Staples — 1.0% | ||||
47,896 | Treasury Wine Estates Ltd. | 377,518 | ||
Health Care — 0.6% | ||||
904 | Cochlear Ltd. | 145,413 | ||
479 | CSL Ltd. | 96,808 |
Shares | Market Value | |||
Common Stocks — 98.6% (Continued) | ||||
Australia — (Continued) | ||||
Information Technology — 0.2% | ||||
3,086 | WiseTech Global Ltd. | $ 68,669 | ||
Materials — 1.6% | ||||
113,451 | Evolution Mining Ltd. | 353,447 | ||
5,187 | Fortescue Metals Group Ltd. | 79,053 | ||
27,827 | Northern Star Resources Ltd. | 201,571 | ||
Total Australia | 2,162,450 | |||
France — 5.0% | ||||
Communication Services — 0.8% | ||||
4,946 | Publicis Groupe SA | 301,619 | ||
Consumer Discretionary — 0.3% | ||||
613 | SEB SA | 107,992 | ||
Consumer Staples — 1.0% | ||||
22,917 | Carrefour SA | 414,926 | ||
Health Care — 1.3% | ||||
4,183 | BioMerieux | 532,236 | ||
Real Estate — 1.6% | ||||
4,408 | Covivio REIT | 377,010 | ||
11,106 | Klepierre SA REIT | 258,500 | ||
Total France | 1,992,283 | |||
Finland — 3.8% | ||||
Communication Services — 1.5% | ||||
10,011 | Elisa Oyj | 600,497 | ||
Consumer Discretionary — 0.9% | ||||
9,640 | Nokian Renkaat Oyj | 349,183 | ||
Health Care — 1.4% | ||||
14,011 | Orion Oyj - Class B | 561,437 | ||
Total Finland | 1,511,117 | |||
Israel — 3.7% | ||||
Financials — 1.8% | ||||
19,156 | Bank Hapoalim BM* | 148,977 | ||
89,387 | Bank Leumi Le-Israel BM | 588,798 | ||
Health Care — 0.9% | ||||
31,091 | Teva Pharmaceutical Industries Ltd.* | 356,378 | ||
Information Technology — 1.0% | ||||
1,772 | Nice Ltd.* | 385,236 | ||
Total Israel | 1,479,389 | |||
Germany — 3.3% | ||||
Consumer Discretionary — 1.9% | ||||
1,038 | Delivery Hero SE, 144a* | 134,543 | ||
4,770 | HelloFresh SE* | 355,764 | ||
3,396 | Jumia Technologies AG ADR* | 120,422 | ||
26,399 | TUI AG | 133,375 | ||
Industrials — 0.5% | ||||
1,596 | Knorr-Bremse AG | 199,169 | ||
Real Estate — 0.9% | ||||
7,864 | Deutsche Wohnen SE | 366,843 | ||
Total Germany | 1,310,116 | |||
Belgium — 2.7% | ||||
Consumer Staples — 1.5% | ||||
9,883 | Etablissements Franz Colruyt NV | 589,457 |
Shares | Market Value | |||
Belgium — (Continued) | ||||
Materials — 1.2% | ||||
8,915 | Umicore SA | $ 472,980 | ||
Total Belgium | 1,062,437 | |||
Italy — 2.6% | ||||
Communication Services — 1.4% | ||||
707,391 | Telecom Italia SpA/Milano | 382,686 | ||
322,465 | Telecom Italia SpA/Milano | 185,425 | ||
Health Care — 1.2% | ||||
2,970 | DiaSorin SpA | 476,522 | ||
Total Italy | 1,044,633 | |||
Spain — 2.5% | ||||
Consumer Staples — 0.7% | ||||
4,328 | Viscofan SA | 299,149 | ||
Financials — 1.8% | ||||
49,760 | Bankinter SA | 346,281 | ||
113,179 | CaixaBank SA | 351,397 | ||
Total Spain | 996,827 | |||
Luxembourg — 2.5% | ||||
Communication Services — 1.0% | ||||
50,535 | SES SA | 400,896 | ||
Health Care — 1.5% | ||||
5,976 | Eurofins Scientific SE* | 571,188 | ||
Total Luxembourg | 972,084 | |||
Netherlands — 2.4% | ||||
Consumer Staples — 0.7% | ||||
10,732 | Koninklijke Ahold Delhaize NV | 299,346 | ||
Energy — 1.5% | ||||
11,716 | Koninklijke Vopak NV | 582,959 | ||
Industrials — 0.2% | ||||
1,422 | Signify NV, 144a* | 73,138 | ||
Total Netherlands | 955,443 | |||
Switzerland — 2.4% | ||||
Consumer Staples — 1.6% | ||||
43 | Chocoladefabriken Lindt & Spruengli AG | 375,337 | ||
650 | Zur Rose Group AG* | 244,917 | ||
Real Estate — 0.8% | ||||
2,687 | PSP Swiss Property AG | 327,352 | ||
Total Switzerland | 947,606 | |||
Norway — 1.5% | ||||
Consumer Staples — 1.5% | ||||
22,208 | Mowi ASA | 551,574 | ||
5,772 | Orkla ASA | 56,606 | ||
Total Norway | 608,180 | |||
United States — 1.5% | ||||
Health Care — 1.5% | ||||
12,310 | QIAGEN NV* | 595,771 | ||
Sweden — 1.5% | ||||
Consumer Staples — 1.5% | ||||
12,084 | ICA Gruppen AB | 590,925 | ||
New Zealand — 1.4% | ||||
Health Care — 1.4% | ||||
24,263 | Fisher & Paykel Healthcare Corp. Ltd. | 544,766 |
Shares | Market Value | |||
Common Stocks — 98.6% (Continued) | ||||
Ireland — 1.2% | ||||
Consumer Staples — 1.2% | ||||
3,648 | Kerry Group PLC - Class A | $ 455,595 | ||
Jordan — 0.6% | ||||
Health Care — 0.6% | ||||
7,269 | Hikma Pharmaceuticals PLC | 228,079 | ||
China — 0.4% | ||||
Consumer Staples — 0.4% | ||||
57,600 | Budweiser Brewing Co. APAC Ltd., 144a | 172,418 | ||
United Arab Emirates — 0.0% | ||||
Health Care — 0.0% | ||||
15,156 | NMC Health PLC(A),* | 0 | ||
Total Common Stocks | $39,086,827 | |||
Short-Term Investment Fund — 1.0% | ||||
412,084 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞,Ω | 412,084 | ||
Total Investment Securities — 99.6% (Cost $34,910,782) | $39,498,911 | |||
Other Assets in Excess of Liabilities — 0.4% | 154,559 | |||
Net Assets — 100.0% | $39,653,470 |
(A) | Level 3- For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Financial Statements. |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities were valued at $954,501 or 2.4% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Japan | $2,901,560 | $9,715,900 | $— | $12,617,460 |
United Kingdom | 779,998 | 2,567,272 | — | 3,347,270 |
Hong Kong | 382,790 | 2,930,100 | — | 3,312,890 |
Denmark | 513,107 | 1,665,981 | — | 2,179,088 |
Australia | — | 2,162,450 | — | 2,162,450 |
France | 532,236 | 1,460,047 | — | 1,992,283 |
Finland | 561,437 | 949,680 | — | 1,511,117 |
Israel | — | 1,479,389 | — | 1,479,389 |
Germany | 476,186 | 833,930 | — | 1,310,116 |
Belgium | 589,457 | 472,980 | — | 1,062,437 |
Italy | — | 1,044,633 | — | 1,044,633 |
Spain | — | 996,827 | — | 996,827 |
Luxembourg | — | 972,084 | — | 972,084 |
Netherlands | — | 955,443 | — | 955,443 |
Switzerland | 375,337 | 572,269 | — | 947,606 |
Norway | — | 608,180 | — | 608,180 |
United States | 595,771 | — | — | 595,771 |
Sweden | — | 590,925 | — | 590,925 |
New Zealand | — | 544,766 | — | 544,766 |
Ireland | — | 455,595 | — | 455,595 |
Jordan | 228,079 | — | — | 228,079 |
China | — | 172,418 | — | 172,418 |
United Arab Emirates | — | — | 0 | 0 |
Short-Term Investment Fund | 412,084 | — | — | 412,084 |
Total | $8,348,042 | $31,150,869 | $0 | $39,498,911 |
Measurements Using Unobservable Inputs (Level 3) | |
Assets | Common Stocks |
Beginning balance, September 30, 2020 | $1,975 |
Transfer into Level 3 | — |
Net realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | (1,975) |
Ending balance, March 31, 2021 | $— |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at March 31, 2021 | $(1,975) |
Principal Amount | Market Value | |||
Corporate Bonds — 78.4% | ||||
Communication Services — 14.3% | ||||
$ 758,000 | Altice Financing SA (Luxembourg), 144a, 5.000%, 1/15/28 | $ 749,518 | ||
650,000 | Altice France SA (France), 144a, 7.375%, 5/1/26 | 676,000 | ||
512,000 | ANGI Group LLC, 144a, 3.875%, 8/15/28 | 512,000 | ||
351,000 | Avaya, Inc., 144a, 6.125%, 9/15/28 | 373,394 | ||
72,000 | Belo Corp., 7.250%, 9/15/27 | 83,880 | ||
175,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 175,389 | ||
634,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.500%, 8/15/30 | 646,173 | ||
460,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 5.125%, 5/1/27 | 486,365 | ||
195,000 | CommScope, Inc., 144a, 5.500%, 3/1/24 | 201,094 | ||
310,000 | CommScope, Inc., 144a, 6.000%, 3/1/26(A) | 327,351 | ||
87,000 | Consolidated Communications, Inc., 144a, 5.000%, 10/1/28 | 87,679 | ||
293,000 | Consolidated Communications, Inc., 144a, 6.500%, 10/1/28 | 316,478 | ||
430,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 422,954 | ||
575,000 | CSC Holdings LLC, 144a, 5.750%, 1/15/30 | 605,616 | ||
404,000 | Cumulus Media New Holdings, Inc., 144a, 6.750%, 7/1/26 | 411,575 | ||
500,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 144a, 5.375%, 8/15/26 | 359,880 | ||
133,000 | Digicel Group Ltd. (Jamaica), 144a, 8.250%, 9/30/21(B) | 1 | ||
250,000 | DKT Finance ApS (Denmark), 7.000%, 6/17/23 | 299,771 | ||
266,000 | Hughes Satellite Systems Corp., 5.250%, 8/1/26 | 292,730 | ||
214,000 | Lumen Technologies, Inc., 144a, 4.000%, 2/15/27 | 218,586 | ||
565,000 | Lumen Technologies, Inc., 144a, 5.125%, 12/15/26 | 595,160 | ||
128,000 | Netflix, Inc., 4.875%, 4/15/28 | 145,524 | ||
116,000 | Netflix, Inc., 144a, 4.875%, 6/15/30 | 133,579 | ||
1,267,000 | Nexstar Broadcasting, Inc., 144a, 4.750%, 11/1/28 | 1,280,348 | ||
105,000 | Nexstar Broadcasting, Inc., 144a, 5.625%, 7/15/27 | 110,380 | ||
468,000 | QualityTech LP / QTS Finance Corp., 144a, 3.875%, 10/1/28 | 465,660 | ||
152,000 | Scripps Escrow II, Inc., 144a, 3.875%, 1/15/29 | 149,340 | ||
400,000 | Sinclair Television Group, Inc., 144a, 5.125%, 2/15/27 | 390,500 | ||
934,000 | Sirius XM Radio, Inc., 144a, 4.125%, 7/1/30 | 935,074 | ||
20,000 | Sirius XM Radio, Inc., 144a, 5.000%, 8/1/27 | 20,981 | ||
240,000 | Sirius XM Radio, Inc., 144a, 5.500%, 7/1/29 | 259,500 | ||
491,000 | TEGNA, Inc., 4.625%, 3/15/28 | 499,593 | ||
800,000 | Telenet Finance Luxembourg Notes Sarl (Belgium), 144a, 5.500%, 3/1/28 | 840,000 | ||
628,000 | Telesat Canada / Telesat LLC (Canada), 144a, 6.500%, 10/15/27 | 629,080 | ||
296,000 | Townsquare Media, Inc., 144a, 6.875%, 2/1/26 | 315,240 | ||
366,000 | ViaSat, Inc., 144a, 5.625%, 9/15/25 | 372,024 | ||
170,000 | ViaSat, Inc., 144a, 6.500%, 7/15/28 | 179,020 | ||
132,000 | Virgin Media Finance PLC (United Kingdom), 144a, 5.000%, 7/15/30 | 131,835 | ||
131,000 | Virgin Media Secured Finance PLC (United Kingdom), 144a, 4.500%, 8/15/30 | 132,146 | ||
410,000 | Virgin Media Vendor Financing Notes IV DAC (Ireland), 144a, 5.000%, 7/15/28 | 417,638 | ||
15,249,056 | ||||
Industrials — 11.8% | ||||
211,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 144a, 4.125%, 8/15/26 | 216,602 | ||
343,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 144a, 5.250%, 4/30/25 | 360,488 | ||
200,000 | Berry Global, Inc., 144a, 4.500%, 2/15/26 | 205,000 |
Principal Amount | Market Value | |||
Industrials — (Continued) | ||||
$ 388,000 | Boise Cascade Co., 144a, 4.875%, 7/1/30 | $ 406,430 | ||
355,000 | Bombardier, Inc. (Canada), 144a, 6.000%, 10/15/22 | 355,000 | ||
464,000 | Bombardier, Inc. (Canada), 144a, 7.500%, 12/1/24 | 463,420 | ||
139,000 | BWX Technologies, Inc., 144a, 4.125%, 4/15/29 | 140,927 | ||
139,000 | BWX Technologies, Inc., 144a, 5.375%, 7/15/26 | 143,518 | ||
525,000 | BWX Technologies, Inc., 144a, 4.125%, 6/30/28 | 530,331 | ||
470,000 | Cargo Aircraft Management, Inc., 144a, 4.750%, 2/1/28 | 484,687 | ||
689,000 | Clark Equipment Co. (South Korea), 144a, 5.875%, 6/1/25(A) | 728,617 | ||
594,000 | Clean Harbors, Inc., 144a, 4.875%, 7/15/27 | 626,670 | ||
679,676 | CP Atlas Buyer, Inc., 144a, 7.000%, 12/1/28 | 714,373 | ||
439,000 | Crown Americas LLC / Crown Americas Capital Corp. V, 4.250%, 9/30/26 | 466,438 | ||
31,000 | Crown Americas LLC / Crown Americas Capital Corp. VI, 4.750%, 2/1/26 | 32,147 | ||
250,000 | GFL Environmental, Inc. (Canada), 144a, 3.500%, 9/1/28 | 242,500 | ||
320,000 | GFL Environmental, Inc. (Canada), 144a, 3.750%, 8/1/25 | 324,800 | ||
97,000 | GFL Environmental, Inc. (Canada), 144a, 5.125%, 12/15/26 | 102,214 | ||
18,000 | GFL Environmental, Inc. (Canada), 144a, 8.500%, 5/1/27 | 19,823 | ||
705,000 | Hillman Group, Inc. (The), 144a, 6.375%, 7/15/22 | 705,881 | ||
300,000 | Mauser Packaging Solutions Holding Co., 144a, 5.500%, 4/15/24 | 304,674 | ||
431,000 | OI European Group BV, 144a, 4.000%, 3/15/23 | 441,775 | ||
529,000 | Owens-Brockway Glass Container, Inc., 144a, 5.375%, 1/15/25 | 557,434 | ||
67,000 | Owens-Brockway Glass Container, Inc., 144a, 6.625%, 5/13/27 | 72,837 | ||
398,912 | PowerTeam Services LLC, 144a, 9.033%, 12/4/25 | 442,912 | ||
83,000 | Sensata Technologies, Inc., 144a, 3.750%, 2/15/31 | 81,833 | ||
474,000 | Sensata Technologies, Inc., 144a, 4.375%, 2/15/30 | 497,183 | ||
767,000 | Signature Aviation US Holdings, Inc., 144a, 4.000%, 3/1/28(A) | 779,978 | ||
244,000 | Tervita Corp. (Canada), 144a, 11.000%, 12/1/25 | 276,940 | ||
653,000 | TransDigm, Inc., 144a, 6.250%, 3/15/26 | 692,115 | ||
129,000 | TransDigm, Inc., 144a, 8.000%, 12/15/25 | 140,481 | ||
295,000 | Trident TPI Holdings, Inc., 144a, 9.250%, 8/1/24 | 312,700 | ||
471,000 | Tutor Perini Corp., 144a, 6.875%, 5/1/25† | 487,038 | ||
94,000 | XPO Logistics, Inc., 144a, 6.250%, 5/1/25 | 100,702 | ||
107,000 | XPO Logistics, Inc., 144a, 6.750%, 8/15/24 | 112,216 | ||
12,570,684 | ||||
Energy — 11.3% | ||||
327,000 | Apache Corp., 4.875%, 11/15/27(A) | 335,175 | ||
563,000 | Apache Corp., 5.100%, 9/1/40(A) | 550,333 | ||
530,000 | Archrock Partners LP / Archrock Partners Finance Corp., 144a, 6.250%, 4/1/28 | 538,374 | ||
190,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 7.000%, 11/1/26 | 189,881 | ||
131,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 8.250%, 12/31/28 | 136,240 | ||
171,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 9.000%, 11/1/27 | 217,170 | ||
284,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 7.625%, 12/15/25 | 306,072 | ||
239,000 | Cheniere Energy Partners LP, 144a, 4.000%, 3/1/31 | 243,183 | ||
535,000 | Cheniere Energy Partners LP, 4.500%, 10/1/29 | 556,400 | ||
481,000 | Cheniere Energy Partners LP, 5.625%, 10/1/26 | 502,982 | ||
763,000 | Citgo Holding, Inc., 144a, 9.250%, 8/1/24 | 757,277 | ||
188,000 | CITGO Petroleum Corp., 144a, 6.375%, 6/15/26 | 189,698 | ||
446,000 | CrownRock LP / CrownRock Finance, Inc., 144a, 5.625%, 10/15/25 | 455,018 |
Principal Amount | Market Value | |||
Corporate Bonds — 78.4% (Continued) | ||||
Energy — (Continued) | ||||
$ 615,000 | Enviva Partners LP / Enviva Partners Finance Corp., 144a, 6.500%, 1/15/26 | $ 644,212 | ||
752,000 | Exterran Energy Solutions LP / EES Finance Corp., 8.125%, 5/1/25(A) | 691,840 | ||
407,000 | Great Western Petroleum LLC / Great Western Finance Corp., 144a, 12.000%, 9/1/25 | 362,230 | ||
720,000 | Hess Midstream Operations LP, 144a, 5.625%, 2/15/26(A) | 744,066 | ||
165,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 5.750%, 2/1/29 | 166,444 | ||
191,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 6.000%, 2/1/31 | 193,865 | ||
16,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 6.250%, 11/1/28 | 16,480 | ||
444,000 | Laredo Petroleum, Inc., 9.500%, 1/15/25 | 427,386 | ||
142,000 | NGL Energy Operating LLC / NGL Energy Finance Corp., 144a, 7.500%, 2/1/26 | 145,701 | ||
362,000 | NGL Energy Partners LP / NGL Energy Finance Corp., 6.125%, 3/1/25 | 307,700 | ||
57,000 | Occidental Petroleum Corp., 2.700%, 2/15/23 | 56,870 | ||
214,000 | Occidental Petroleum Corp., 2.900%, 8/15/24 | 211,627 | ||
738,000 | Occidental Petroleum Corp., 3.200%, 8/15/26 | 707,004 | ||
58,000 | Occidental Petroleum Corp., 3.400%, 4/15/26 | 55,770 | ||
234,000 | Occidental Petroleum Corp., 6.450%, 9/15/36 | 258,365 | ||
85,000 | Occidental Petroleum Corp., 8.000%, 7/15/25 | 97,574 | ||
464,000 | Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 5.500%, 8/15/22 | 448,920 | ||
73,000 | Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 5.750%, 4/15/25 | 59,495 | ||
924,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 12/31/30 | 913,374 | ||
115,000 | Western Midstream Operating LP, (3M LIBOR +1.850%), 2.325%, 1/13/23(C) | 112,724 | ||
65,000 | Western Midstream Operating LP, 3.950%, 6/1/25 | 66,756 | ||
364,000 | Western Midstream Operating LP, 4.350%, 2/1/25 | 376,740 | ||
12,042,946 | ||||
Consumer Discretionary — 9.1% | ||||
365,000 | Allison Transmission, Inc., 144a, 4.750%, 10/1/27 | 387,922 | ||
200,000 | American Airlines Group, Inc., 144a, 5.000%, 6/1/22 | 196,500 | ||
239,000 | American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 144a, 5.750%, 4/20/29 | 254,726 | ||
565,000 | Asbury Automotive Group, Inc., 4.500%, 3/1/28 | 577,944 | ||
653,000 | Ashton Woods USA LLC / Ashton Woods Finance Co., 144a, 6.625%, 1/15/28 | 695,445 | ||
356,000 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp., 5.375%, 6/1/24 | 359,987 | ||
389,000 | Century Communities, Inc., 5.875%, 7/15/25 | 402,615 | ||
179,000 | Century Communities, Inc., 6.750%, 6/1/27 | 190,266 | ||
139,000 | Clarios Global LP, 144a, 6.750%, 5/15/25 | 148,688 | ||
404,000 | Clarios Global LP / Clarios US Finance Co., 144a, 6.250%, 5/15/26 | 429,064 | ||
147,000 | Dana, Inc., 5.375%, 11/15/27 | 154,350 | ||
326,000 | Dana, Inc., 5.625%, 6/15/28 | 348,820 | ||
57,000 | Ford Motor Co., 8.500%, 4/21/23 | 63,555 | ||
75,000 | Ford Motor Co., 9.000%, 4/22/25 | 90,834 | ||
90,000 | Ford Motor Credit Co. LLC, (3M LIBOR +0.880%), 1.104%, 10/12/21(C) | 89,566 | ||
185,000 | Ford Motor Credit Co. LLC, 2.979%, 8/3/22 | 187,775 | ||
9,000 | Ford Motor Credit Co. LLC, 3.087%, 1/9/23 | 9,146 | ||
57,000 | Ford Motor Credit Co. LLC, 3.096%, 5/4/23 | 57,926 | ||
240,000 | Ford Motor Credit Co. LLC, 3.470%, 4/5/21 | 240,000 | ||
11,000 | Ford Motor Credit Co. LLC, 3.810%, 1/9/24 | 11,344 |
Principal Amount | Market Value | |||
Consumer Discretionary — (Continued) | ||||
$ 307,000 | Ford Motor Credit Co. LLC, 3.813%, 10/12/21 | $ 310,259 | ||
227,000 | Ford Motor Credit Co. LLC, 4.063%, 11/1/24 | 237,476 | ||
256,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 264,320 | ||
55,000 | Ford Motor Credit Co. LLC, 5.125%, 6/16/25 | 59,344 | ||
233,000 | Hanesbrands, Inc., 144a, 4.625%, 5/15/24 | 247,191 | ||
241,000 | Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., 144a, 5.750%, 1/20/26 | 256,135 | ||
250,000 | Jaguar Land Rover Automotive PLC (United Kingdom), 3.875%, 3/1/23 | 346,408 | ||
300,000 | L Brands, Inc., 6.750%, 7/1/36 | 354,000 | ||
208,000 | L Brands, Inc., 6.875%, 11/1/35 | 247,892 | ||
92,000 | L Brands, Inc., 7.500%, 6/15/29 | 104,525 | ||
17,000 | L Brands, Inc., 144a, 6.875%, 7/1/25 | 18,890 | ||
4,000 | L Brands, Inc., 144a, 9.375%, 7/1/25 | 4,980 | ||
294,000 | Lithia Motors, Inc., 144a, 4.375%, 1/15/31 | 305,156 | ||
124,000 | Live Nation Entertainment, Inc., 144a, 4.750%, 10/15/27 | 124,930 | ||
217,000 | Live Nation Entertainment, Inc., 144a, 4.875%, 11/1/24 | 220,841 | ||
204,000 | Live Nation Entertainment, Inc., 144a, 5.625%, 3/15/26 | 211,875 | ||
277,187 | Meritage Homes Corp., 144a, 3.875%, 4/15/29 | 277,187 | ||
472,000 | Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In, 144a, 8.500%, 11/15/27 | 507,400 | ||
541,000 | Six Flags Entertainment Corp., 144a, 4.875%, 7/31/24 | 546,205 | ||
115,000 | Six Flags Theme Parks, Inc., 144a, 7.000%, 7/1/25 | 124,455 | ||
9,665,942 | ||||
Consumer Staples — 8.3% | ||||
893,000 | American Builders & Contractors Supply Co., Inc., 144a, 4.000%, 1/15/28 | 893,000 | ||
320,000 | BCPE Ulysses Intermediate, Inc., 144a, 7.750%, 4/1/27(D) | 332,000 | ||
357,000 | Bellis Acquisition Co. PLC (United Kingdom), 3.250%, 2/16/26 | 494,030 | ||
470,000 | Chobani LLC / Chobani Finance Corp., Inc., 144a, 4.625%, 11/15/28 | 479,400 | ||
226,000 | Chobani LLC / Chobani Finance Corp., Inc., 144a, 7.500%, 4/15/25 | 235,182 | ||
484,000 | Core & Main LP, 144a, 6.125%, 8/15/25 | 496,749 | ||
271,000 | Dole Food Co., Inc., 144a, 7.250%, 6/15/25 | 278,142 | ||
185,000 | eG Global Finance PLC (United Kingdom), 144a, 6.750%, 2/7/25 | 189,163 | ||
385,455 | eG Global Finance PLC (United Kingdom), 144a, 8.500%, 10/30/25 | 408,582 | ||
286,000 | GEMS MENASA Cayman Ltd. / GEMS Education Delaware LLC (United Arab Emirates), 144a, 7.125%, 7/31/26 | 297,952 | ||
663,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 5.500%, 1/15/30 | 733,772 | ||
595,000 | Korn Ferry, 144a, 4.625%, 12/15/27 | 606,156 | ||
520,000 | LBM Acquisition LLC, 144a, 6.250%, 1/15/29 | 535,600 | ||
644,000 | Legacy LifePoint Health LLC, 144a, 4.375%, 2/15/27 | 631,120 | ||
443,000 | Primo Water Holdings Inc. (Canada), 144a, 5.500%, 4/1/25 | 455,315 | ||
66,000 | Sabre GLBL, Inc., 144a, 7.375%, 9/1/25 | 71,924 | ||
256,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 144a, 4.625%, 3/1/29 | 258,245 | ||
287,000 | Specialty Building Products Holdings LLC / SBP Finance Corp., 144a, 6.375%, 9/30/26 | 296,328 | ||
352,000 | SRS Distribution, Inc., 144a, 8.250%, 7/1/26 | 370,698 | ||
355,000 | Team Health Holdings, Inc., 144a, 6.375%, 2/1/25 | 312,819 | ||
404,000 | Triton Water Holdings, Inc., 144a, 6.250%, 4/1/29 | 412,080 | ||
8,788,257 |
Principal Amount | Market Value | |||
Corporate Bonds — 78.4% (Continued) | ||||
Health Care — 5.1% | ||||
$ 892,000 | Air Methods Corp., 144a, 8.000%, 5/15/25 | $ 838,480 | ||
100,000 | Bausch Health Cos, Inc., 144a, 5.000%, 1/30/28 | 101,920 | ||
100,000 | Bausch Health Cos, Inc., 144a, 5.250%, 1/30/30 | 100,401 | ||
400,000 | Bausch Health Cos, Inc., 144a, 6.125%, 4/15/25 | 410,080 | ||
641,000 | Emergent BioSolutions, Inc., 144a, 3.875%, 8/15/28 | 626,577 | ||
246,000 | Global Medical Response, Inc., 144a, 6.500%, 10/1/25 | 254,610 | ||
525,000 | HCA, Inc., 3.500%, 9/1/30 | 531,061 | ||
244,000 | HCA, Inc., 5.625%, 9/1/28 | 280,600 | ||
325,000 | HCA, Inc., 7.690%, 6/15/25 | 391,804 | ||
210,000 | Hill-Rom Holdings, Inc., 144a, 4.375%, 9/15/27 | 216,300 | ||
222,000 | Hill-Rom Holdings, Inc., 144a, 5.000%, 2/15/25 | 227,994 | ||
200,000 | Molina Healthcare, Inc., 144a, 4.375%, 6/15/28 | 205,792 | ||
371,000 | Syneos Health, Inc., 144a, 3.625%, 1/15/29 | 360,798 | ||
354,000 | Tenet Healthcare Corp., 144a, 6.125%, 10/1/28 | 368,691 | ||
494,000 | Tenet Healthcare Corp., 144a, 4.625%, 6/15/28 | 506,340 | ||
5,421,448 | ||||
Information Technology — 4.9% | ||||
661,000 | BY Crown Parent LLC / BY Bond Finance, Inc., 144a, 4.250%, 1/31/26 | 683,309 | ||
225,000 | Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 144a, 5.750%, 3/1/25 | 229,354 | ||
241,000 | Diebold Nixdorf, Inc., 144a, 9.375%, 7/15/25 | 268,414 | ||
105,000 | Entegris, Inc., 144a, 4.375%, 4/15/28 | 108,271 | ||
596,000 | Nuance Communications, Inc., 5.625%, 12/15/26(A) | 625,055 | ||
776,000 | Open Text Holdings, Inc. (Canada), 144a, 4.125%, 2/15/30 | 786,623 | ||
608,000 | PTC, Inc., 144a, 4.000%, 2/15/28 | 617,120 | ||
787,000 | Science Applications International Corp., 144a, 4.875%, 4/1/28 | 813,561 | ||
440,000 | Seagate HDD Cayman, 144a, 3.125%, 7/15/29 | 424,963 | ||
286,000 | Seagate HDD Cayman, 144a, 3.375%, 7/15/31 | 274,974 | ||
380,000 | Synaptics, Inc., 144a, 4.000%, 6/15/29 | 377,074 | ||
5,208,718 | ||||
Materials — 4.6% | ||||
452,872 | Boart Longyear Management Pty Ltd. (14.500% PIK), 10.000%, 12/31/22(D) | 339,654 | ||
224,000 | CF Industries, Inc., 4.950%, 6/1/43 | 256,554 | ||
74,000 | CF Industries, Inc., 5.150%, 3/15/34 | 84,580 | ||
662,000 | Chemours Co. (The), 144a, 5.750%, 11/15/28 | 697,030 | ||
82,000 | Constellium SE, 144a, 3.750%, 4/15/29 | 78,399 | ||
163,000 | Constellium SE, 144a, 5.625%, 6/15/28 | 172,006 | ||
213,000 | Constellium SE, 144a, 5.750%, 5/15/24 | 215,662 | ||
330,000 | First Quantum Minerals Ltd. (Zambia), 144a, 6.500%, 3/1/24 | 334,950 | ||
129,000 | Freeport-McMoRan, Inc., 4.375%, 8/1/28 | 136,837 | ||
138,000 | Freeport-McMoRan, Inc., 4.625%, 8/1/30 | 150,175 | ||
175,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/34(A) | 208,340 | ||
63,000 | Freeport-McMoRan, Inc., 5.450%, 3/15/43(A) | 75,640 | ||
217,000 | Kraton Polymers LLC / Kraton Polymers Capital Corp., 144a, 4.250%, 12/15/25 | 217,814 | ||
200,000 | Novelis Corp., 144a, 5.875%, 9/30/26 | 209,360 | ||
320,000 | OCI NV (Netherlands), 144a, 4.625%, 10/15/25 | 330,800 | ||
658,000 | OCI NV (Netherlands), 144a, 5.250%, 11/1/24 | 684,320 | ||
427,000 | Venator Finance Sarl / Venator Materials LLC, 144a, 5.750%, 7/15/25 | 414,190 | ||
215,000 | Venator Finance Sarl / Venator Materials LLC, 144a, 9.500%, 7/1/25 | 240,262 | ||
4,846,573 |
Principal Amount | Market Value | |||
Real Estate — 3.8% | ||||
$ 586,000 | Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 144a, 5.750%, 5/15/26 | $ 602,847 | ||
233,000 | HAT Holdings I LLC / HAT Holdings II LLC REIT, 144a, 3.750%, 9/15/30 | 224,263 | ||
720,000 | HAT Holdings I LLC / HAT Holdings II LLC REIT, 144a, 6.000%, 4/15/25 | 759,600 | ||
390,000 | Iron Mountain, Inc. REIT, 144a, 4.875%, 9/15/29 | 394,855 | ||
531,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 3/15/28 | 551,576 | ||
105,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 7/15/30 | 108,339 | ||
412,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. REIT, 144a, 4.250%, 2/1/27 | 405,820 | ||
146,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. REIT, 144a, 5.250%, 10/1/25 | 146,000 | ||
427,000 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. REIT, 4.500%, 9/1/26 | 446,894 | ||
110,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 3.750%, 2/15/27 | 110,119 | ||
201,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 4.125%, 8/15/30 | 202,749 | ||
46,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 4.625%, 12/1/29 | 47,719 | ||
4,000,781 | ||||
Financials — 2.8% | ||||
607,000 | Acrisure LLC / Acrisure Finance, Inc., 144a, 4.250%, 2/15/29 | 596,954 | ||
370,000 | LD Holdings Group LLC, 144a, 6.500%, 11/1/25 | 387,686 | ||
374,000 | LPL Holdings, Inc., 144a, 4.625%, 11/15/27 | 388,025 | ||
343,000 | Nationstar Mortgage Holdings, Inc., 144a, 5.500%, 8/15/28 | 344,389 | ||
326,000 | NFP Corp., 144a, 6.875%, 8/15/28 | 338,584 | ||
415,000 | OneMain Finance Corp., 4.000%, 9/15/30 | 403,588 | ||
493,000 | United Wholesale Mortgage LLC, 144a, 5.500%, 11/15/25 | 513,952 | ||
2,973,178 | ||||
Utilities — 2.4% | ||||
789,000 | Calpine Corp., 144a, 4.500%, 2/15/28(A) | 795,627 | ||
40,000 | Calpine Corp., 144a, 5.000%, 2/1/31 | 38,992 | ||
667,000 | NRG Energy, Inc., 144a, 3.625%, 2/15/31 | 650,325 | ||
292,000 | NRG Energy, Inc., 6.625%, 1/15/27 | 303,680 | ||
268,000 | Pacific Gas and Electric Co., 3.950%, 12/1/47 | 245,837 | ||
106,000 | Pacific Gas and Electric Co., 4.300%, 3/15/45 | 102,651 | ||
91,000 | Pacific Gas and Electric Co., 4.750%, 2/15/44 | 92,332 | ||
268,000 | Vistra Operations Co. LLC, 144a, 4.300%, 7/15/29(A) | 283,059 | ||
2,512,503 | ||||
Total Corporate Bonds | $83,280,086 | |||
Asset-Backed Securities — 8.9% | ||||
250,000 | AMMC CLO 22 Ltd. (Cayman Islands), Ser 2018-22X, Class SUB, 4/25/31(C)(E) | 174,906 | ||
340,000 | Atrium XV (Cayman Islands), Ser 15A, Class SUB, 144a, 1/23/31(C)(E) | 254,140 | ||
250,000 | Bain Capital Credit CLO Ltd. (Cayman Islands), Ser 2019-4A, Class D, 144a, (3M LIBOR +4.250%), 4.468%, 1/23/33(C) | 251,481 | ||
134,615 | CBAM Ltd. (Cayman Islands), Ser 2017-3A, Class E1, 144a, (3M LIBOR +6.500%), 6.723%, 10/17/29(C) | 130,787 | ||
250,000 | Dryden 45 Senior Loan Fund (Cayman Islands), Ser 2016-45A, Class ER, 144a, (3M LIBOR +5.850%), 6.091%, 10/15/30(C) | 240,291 | ||
250,000 | Dryden 57 CLO Ltd. (Cayman Islands), Ser 2018-57A, Class E, 144a, (3M LIBOR +5.200%), 5.394%, 5/15/31(C) | 233,454 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 8.9% (Continued) | ||||
$ 250,000 | Dryden 78 CLO Ltd. (Cayman Islands), Ser 2020-78A, Class SUB, 144a, 4/17/33(C)(E) | $ 219,122 | ||
300,000 | Eaton Vance CLO Ltd. (Cayman Islands), Ser 2018-1A, Class SUB, 144a, 10/15/30(C)(E) | 201,961 | ||
250,000 | Elmwood CLO VIII Ltd. (Cayman Islands), Ser 2021-1A, Class F1, 144a, (3M LIBOR +8.000%), 8.116%, 1/20/34(C) | 249,970 | ||
500,000 | Fillmore Park CLO Ltd. (Cayman Islands), Ser 2018-1A, Class E, 144a, (3M LIBOR +5.400%), 5.641%, 7/15/30(C) | 474,193 | ||
300,000 | Madison Park Funding XII Ltd. (Cayman Islands), Ser 2014-12A, Class SUB, 144a, 7/20/26(C)(E) | 75,303 | ||
500,000 | Madison Park Funding XXII Ltd. (Cayman Islands), Ser 2016-22A, Class ER, 144a, (3M LIBOR +6.700%), 6.941%, 1/15/33(C) | 494,027 | ||
1,000,000 | Madison Park Funding XXII Ltd. (Cayman Islands), Ser 2016-22A, Class SUB, 144a, 1/15/33(C)(E) | 734,665 | ||
500,000 | Madison Park Funding XXVIII Ltd. (Cayman Islands), Ser 2018-28A, Class SUB, 144a, 7/15/30(C)(E) | 404,693 | ||
250,000 | Madison Park Funding XXXI Ltd. (Cayman Islands), Ser 2018-31A, Class SUB, 144a, 1/23/48(C)(E) | 207,468 | ||
540,000 | Madison Park Funding XXXVII Ltd. (Cayman Islands), Ser 2019-37A, Class SUB, 144a, 7/15/49(C)(E) | 494,936 | ||
500,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2018-1A, Class SUB, 144a, 10/20/30(C)(E) | 304,066 | ||
250,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2019-2A, Class D, 144a, (3M LIBOR +6.770%), 7.011%, 4/15/31(C) | 234,913 | ||
500,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2019-3A, Class E, 144a, (3M LIBOR +6.770%), 6.994%, 7/20/31(C) | 475,441 | ||
350,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2019-4A, Class E, 144a, (3M LIBOR +7.230%), 7.448%, 10/20/32(C) | 347,332 | ||
250,000 | Octagon Loan Funding Ltd. (Cayman Islands), Ser 2014-1A, Class DRR, 144a, (3M LIBOR +2.900%), 3.089%, 11/18/31(C) | 243,591 | ||
500,000 | OHA Credit Funding 3 Ltd. (Cayman Islands), Ser 2019-3A, Class E2, 144a, (3M LIBOR +5.500%), 5.724%, 7/20/32(C) | 475,488 | ||
350,000 | OHA Loan Funding Ltd. (Cayman Islands), Ser 2016-1A, Class SUB, 144a, 1/20/33(C)(E) | 273,362 | ||
500,000 | OZLM XXI Ltd. (Cayman Islands), Ser 2017-21A, Class SUB, 144a, 1/20/31(C)(E) | 269,834 | ||
250,000 | Signal Peak CLO 7 Ltd. (Cayman Islands), Ser 2019-1A, Class E, 144a, (3M LIBOR +6.890%), 7.095%, 4/30/32(C) | 250,073 | ||
500,000 | Steele Creek CLO Ltd. (Cayman Islands), Ser 2019-2A, Class E, 144a, (3M LIBOR +7.700%), 7.941%, 7/15/32(C) | 480,871 | ||
250,000 | TCI-Flatiron CLO Ltd. (Cayman Islands), Ser 2017-1A, Class D, 144a, (3M LIBOR +2.750%), 2.942%, 11/18/30(C) | 247,848 | ||
250,000 | Venture XVIII CLO Ltd. (Cayman Islands), Ser 2014-18A, Class SUB, 144a, 10/15/29(C)(E) | 61,465 | ||
500,000 | Voya CLO Ltd. (Cayman Islands), Ser 2018-1A, Class SUB, 144a, 4/19/31(C)(E) | 312,731 | ||
250,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2018-3A, Class D, 144a, (3M LIBOR +6.250%), 6.474%, 1/20/32(C) | 231,588 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 8.9% (Continued) | ||||
$ 250,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2018-3A, Class SUB, 144a, 1/20/32(C)(E) | $ 168,712 | ||
280,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2020-1A, Class SUB, 144a, 4/15/33(C)(E) | 228,592 | ||
Total Asset-Backed Securities | $9,447,304 | |||
Bank Loans — 7.9%(F) | ||||
Consumer Discretionary — 2.2% | ||||
666,231 | AI Aqua Merger Sub Inc., 2018 Tranche B-1 Term Loan, (LIBOR + 3.250%), 4.250%, 12/13/23 | 664,985 | ||
226,040 | Autokiniton US Holdings, Inc., Term Loan B, 3/29/28(G) | 226,323 | ||
193,444 | Clarios Global LP, Amendment No. 1 Dollar Term Loan (First Lien), (LIBOR + 3.250%), 3.359%, 4/30/26 | 191,267 | ||
403,000 | Enterprise Development Authority (The), Term Loan, 2/19/28(G) | 404,007 | ||
219,031 | MI Windows and Doors LLC, Initial Term Loan, (LIBOR + 3.750%), 4.500%, 12/18/27 | 219,717 | ||
254,157 | Mileage Plus Holdings, LLC, Initial Term Loan, (LIBOR + 5.250%), 6.250%, 6/21/27 | 269,765 | ||
328,292 | Wilsonart LLC, Tranche D Term Loan, (LIBOR + 3.250%), 4.250%, 12/19/23 | 327,275 | ||
2,303,339 | ||||
Health Care — 1.3% | ||||
715,217 | eResearch Technology Inc., First Lien Initial Term Loan, (LIBOR + 4.500%), 5.500%, 2/04/27(G) | 715,553 | ||
490,909 | Sotera Health Holdings LLC, Term Loan, (LIBOR + 2.750%), 3.250%, 12/13/26 | 489,068 | ||
195,566 | Team Health Holdings Inc., Initial Term Loan, (LIBOR + 2.750%), 3.750%, 2/06/24 | 181,400 | ||
1,386,021 | ||||
Information Technology — 1.1% | ||||
413,144 | Grab Holdings, Inc., Initial Term Loan, (LIBOR + 4.500%), 5.500%, 1/29/26 | 419,341 | ||
442,000 | Ivanti Software Inc., First Lien Initial Term Loan, (LIBOR + 4.750%), 5.750%, 12/01/27 | 443,291 | ||
88,000 | Ivanti Software, Inc., First Amendment Term Loan, 12/01/27(G) | 87,516 | ||
236,075 | Sabre GLBL Inc., 2020 Other Term B Loan, (LIBOR + 4.000%), 4.750%, 12/17/27 | 238,289 | ||
279 | SkillSoft Corporation, Second Out Term Loan, 4/27/25(G) | 278 | ||
1,188,715 | ||||
Energy — 1.0% | ||||
607,717 | Gulf Finance LLC, Tranche B Term Loan, (LIBOR + 5.250%), 6.250%, 8/25/23(G) | 501,798 | ||
616,027 | Woodford Express LLC, Initial Term Loan, (LIBOR + 5.000%), 6.000%, 1/27/25 | 558,736 | ||
1,060,534 | ||||
Communication Services — 0.7% | ||||
262,500 | Delta TopCo Inc., Initial Term Loan (Second Lien), (LIBOR + 7.250%), 8.000%, 12/01/28 | 268,078 | ||
323,112 | Endurance International Group Holdings, Inc., Initial Term Loan, 2/10/28(G) | 319,315 | ||
175,869 | EW Scripps Company (The), Term Loan B, (LIBOR + 3.000%), 3.750%, 1/07/28 | 175,072 | ||
762,465 | ||||
Financials — 0.7% | ||||
194,513 | Asurion LLC, New B-8 Term Loan, (LIBOR + 3.250%), 3.359%, 12/23/26 | 193,159 |
Principal Amount | Market Value | |||
Bank Loans — 7.9% (Continued) | ||||
Financials — (Continued) | ||||
$ 135,002 | Asurion LLC, Second Lien Term Loan B3, (LIBOR + 5.250%), 5.359%, 1/31/28 | $ 137,365 | ||
398,974 | HUB International Ltd., Initial Term Loan, 4/25/25(G) | 393,081 | ||
723,605 | ||||
Materials — 0.6% | ||||
302,240 | Aruba Investments Holdings LLC, Second Lien Initial Term Loan, (LIBOR + 7.750%), 8.500%, 11/24/28 | 302,995 | ||
381,767 | BWay Holding Company, Initial Term Loan, (LIBOR + 3.250%), 3.443%, 4/03/24 | 373,177 | ||
676,172 | ||||
Consumer Staples — 0.3% | ||||
358,406 | SRS Distribution, Inc., Initial Term Loan, 5/23/25(G) | 353,285 | ||
Total Bank Loans | $8,454,136 |
Shares | ||||
Common Stocks — 3.4% | ||||
Energy — 2.4% | ||||
26,764 | Extraction Oil & Gas, Inc.* | 961,889 | ||
932 | Extraction Oil & Gas, Inc.(H)* | 33,496 | ||
44,865 | FTS International, Inc. - Class A* | 1,109,960 | ||
35,000 | Vine Energy, Inc. - Class A* | 480,900 | ||
2,586,245 | ||||
Materials — 0.8% | ||||
45,555 | Tronox Holdings PLC | 833,657 | ||
Utilities — 0.2% | ||||
6,000 | FirstEnergy Corp. | 208,140 | ||
Health Care — 0.0% | ||||
3,069 | Envigo RMS Holding Corp. Class B(B)(H)* | 4,604 | ||
Information Technology — 0.0% | ||||
8,386 | Aquity Holdings, Inc. New Escrow* | 1,048 | ||
Total Common Stocks | $3,633,694 |
Number of Contracts | Notional Amount | |||
Purchased Options — 0.1% | ||||
Purchased Call Options — 0.0% | ||||
64 | Chicago Board Options Exchange Volatility Index, Strike @30.00, Exp 04/21(A) | $ 124,160 | 4,032 | |
Purchased Put Options — 0.1% | ||||
231 | Invesco CurrencyShares Japanese Yen Trust, Strike @86.00, Exp 01/22(A) | 1,967,196 | 57,750 | |
422 | Invesco Senior Loan ETF, Strike @22.00, Exp 07/21(A) | 933,886 | 14,770 | |
1,500 | Lumen Technologies, Inc., Strike @12.00, Exp 04/21(A) | 2,002,500 | 3,000 | |
Total Purchased Put Options | 75,520 | |||
Total Purchased Options | $79,552 |
Shares | ||||
Short-Term Investment Funds — 3.5% | ||||
3,269,556 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 3,269,556 | ||
484,449 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 484,449 | ||
Total Short-Term Investment Funds | $3,754,005 | |||
Total Long Positions—102.2% (Cost $105,016,869) | $108,648,777 |
Principal Amount | MarketValue | |||
Securities Sold Short — (0.5)% | ||||
Corporate Bonds — (0.5)% | ||||
Consumer Discretionary — (0.5)% | ||||
$ (500,000) | Sally Holdings LLC / Sally Capital, Inc., 5.625%, 12/01/25 | $ (515,625) | ||
Total Securities Sold Short (Proceeds $512,524) | $(515,625) |
Number of Contracts | Notional Amount | |||
Written Options — (0.0)% | ||||
�� | Written Call Options — (0.0)% | |||
(64) | Chicago Board Options Exchange Volatility Index, Strike @40.00, Exp 04/21 | $ 124,160 | (1,920) | |
(422) | Invesco Senior Loan ETF, Strike @22.00, Exp 07/21 | 933,886 | (13,504) | |
Total Written Options (Premiums received $30,884) | $(15,424) | |||
Total Investment Securities—101.7% | $108,117,728 | |||
Liabilities in Excess of Other Assets — (1.7%) | (1,855,066) | |||
Net Assets — 100.0% | $106,262,662 |
(A) | All or a portion of these securities are pledged as collateral for securities sold short and written options. The total value of the securities pledged as collateral as of March 31, 2021 was $5,307,452. |
(B) | Level 3- For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Financial Statements. |
(C) | Variable rate security - Rate reflected is the rate in effect as of March 31, 2021. |
(D) | Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amounts. |
(E) | Security has no stated coupon and is considered an equity position in the collateralized loan obligation (“CLO”).CLO equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. |
(F) | Bank loans pay interest at rates which adjust periodically unless otherwise indicated. The interest rates shown are the current interest rates as of March 31, 2021. |
(G) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(H) | Security is subject to restrictions on resale. At March 31, 2021, these securities were valued at $38,100 or 0.0% of net assets. |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2021 was $461,574. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities were valued at $75,031,076 or 70.6% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Portfolio Abbreviations: |
CLO–Collateralized Loan Obligation |
DAC–Designated Activity Company |
ETF–Exchange-Traded Fund |
EUR–Euro |
GBP–Great Britain Pound |
ICE–Intercontinental Exchange, Inc. |
LIBOR–London Interbank Offered Rate |
LLC–Limited Liability Company |
LLLP–Limited Liability Limited Partnership |
LP–Limited Partnership |
PIK–Payment In Kind |
PLC–Public Limited Company |
REIT–Real Estate Investment Trust |
USD–United States Dollar |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $83,280,085 | $1 | $83,280,086 |
Asset-Backed Securities | — | 9,447,304 | — | 9,447,304 |
Bank Loans | — | 8,454,136 | — | 8,454,136 |
Common Stocks | 3,628,042 | 1,048 | 4,604 | 3,633,694 |
Purchased Call Options | ||||
Equity contracts | 4,032 | — | — | 4,032 |
Purchased Put Options | ||||
Equity contracts | 75,520 | — | — | 75,520 |
Short-Term Investment Funds | 3,754,005 | — | — | 3,754,005 |
Other Financial Instruments* | ||||
Foreign currency exchange contracts | — | 2,485 | — | 2,485 |
Total Assets | $7,461,599 | $101,185,058 | $4,605 | $108,651,262 |
Liabilities: | ||||
Securities Sold Short | ||||
Corporate Bonds | $— | $(515,625) | $— | $(515,625) |
Written Options | ||||
Equity contracts | (15,424) | — | — | (15,424) |
Other Financial Instruments* | ||||
Swap Agreements | ||||
Credit contracts | — | (123,565) | — | (123,565) |
Foreign currency exchange contracts | — | (693) | — | (693) |
Total Liabilities | $(15,424) | $(639,883) | $— | $(655,307) |
Total | $7,446,175 | $100,545,175 | $4,605 | $107,995,955 |
* | Other Financial Instruments are derivative instruments not reflected in total investments. Amounts shown represent unrealized appreciation (depreciation) on swaps and forward foreign currency contracts on the Statement of Assets and Liabilities. |
Measurements Using Unobservable Inputs (Level 3) | |||
Assets | Common Stocks | Corporate Bonds | |
Beginning balance, September 30, 2020 | $— | $— | |
Transfer into Level 3 | — | 1 | |
Net realized gain (loss) | — | — | |
Change in unrealized appreciation (depreciation) | 4,604 | — | |
Ending balance, March 31, 2021 | $4,604 | $1 | |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at March 31, 2021 | $4,604 | $— |
Fair Value | Valuation Technique | Unobservable Input | |
Corporate Bond | |||
Digicel Group Ltd. | $1 | Discounted Market Value | 99.9% Discount Rate |
Common Stock | |||
Envigo RMS Holding Corp. Class B | $4,604 | Market Value | N/A |
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums Paid/ (Received) | Unrealized Depreciation |
Wells Fargo | 12/20/24 | $333,750 | 5.000% | ICE | Markit CDX North America High Yield Series 33 5Y Index | $(31,401) | $18,075 | $(49,476) |
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums Paid/ (Received) | Unrealized Depreciation |
Wells Fargo | 12/20/25 | $250,000 | 1.000% | ICE | Kohls Corp. USD SR 5Y D14 | $764 | $25,330 | $(24,566) |
Wells Fargo | 6/20/25 | $500,000 | 5.000% | ICE | American Axle & Manufacturing Inc. USD SR 5Y D14 | $(31,274) | $(3,535) | $(27,739) |
Wells Fargo | 6/20/25 | $460,000 | 5.000% | ICE | Markit CDX North America High Yield Series 34 5Y Index | $(42,068) | $(20,284) | $(21,784) |
$(123,565) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond 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 derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) 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. |
Contract to | ||||||
Counterparty | Expiration Date | Receive | Deliver | Unrealized Appreciation/ (Depreciation) | ||
Wells Fargo | 4/26/2021 | USD | 312,747 | EUR | 264,428 | $2,485 |
Wells Fargo | 4/26/2021 | USD | 851,321 | GBP | 617,974 | (693) |
$1,792 |
Principal Amount | Market Value | |||
Corporate Bonds — 97.9% | ||||
Communication Services — 17.9% | ||||
$ 483,000 | Altice Financing SA (Luxembourg), 144a, 5.000%, 1/15/28 | $ 477,595 | ||
1,068,000 | Altice Financing SA (Luxembourg), 144a, 7.500%, 5/15/26 | 1,116,060 | ||
634,000 | Altice France SA (France), 144a, 7.375%, 5/1/26 | 659,360 | ||
635,000 | Altice France SA (France), 144a, 8.125%, 2/1/27 | 696,023 | ||
735,000 | Belo Corp., 7.250%, 9/15/27 | 856,275 | ||
337,000 | C&W Senior Financing DAC (Ireland), 144a, 6.875%, 9/15/27 | 359,326 | ||
565,000 | C&W Senior Financing DAC (Ireland), 144a, 7.500%, 10/15/26 | 598,194 | ||
519,000 | Cars.com, Inc., 144a, 6.375%, 11/1/28 | 540,409 | ||
148,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 148,329 | ||
211,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.500%, 5/1/32 | 213,638 | ||
1,333,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.750%, 3/1/30 | 1,381,321 | ||
741,000 | CommScope Technologies LLC, 144a, 5.000%, 3/15/27 | 734,057 | ||
467,000 | CommScope, Inc., 144a, 7.125%, 7/1/28 | 495,991 | ||
1,022,000 | Connect Finco SARL / Connect US Finco LLC (United Kingdom), 144a, 6.750%, 10/1/26 | 1,088,164 | ||
682,000 | CSC Holdings LLC, 144a, 3.375%, 2/15/31 | 642,785 | ||
1,854,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 1,823,622 | ||
1,053,000 | CSC Holdings LLC, 144a, 5.750%, 1/15/30 | 1,109,067 | ||
485,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 144a, 5.375%, 8/15/26 | 349,084 | ||
1,191,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 144a, 6.625%, 8/15/27 | 625,275 | ||
351,000 | Frontier Communications Corp., 144a, 5.875%, 10/15/27 | 372,060 | ||
750,000 | Frontier Communications Corp., 144a, 6.750%, 5/1/29 | 791,025 | ||
210,000 | GCI LLC, 144a, 4.750%, 10/15/28 | 214,988 | ||
540,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., 144a, 3.500%, 3/1/29 | 531,468 | ||
545,000 | LCPR Senior Secured Financing DAC, 144a, 5.125%, 7/15/29 | 554,603 | ||
444,000 | LCPR Senior Secured Financing DAC (Ireland), 144a, 6.750%, 10/15/27 | 473,371 | ||
906,000 | Level 3 Financing, Inc., 144a, 3.625%, 1/15/29 | 877,687 | ||
1,589,000 | LogMeIn, Inc., 144a, 5.500%, 9/1/27 | 1,663,492 | ||
567,000 | Lumen Technologies, Inc., 144a, 4.000%, 2/15/27 | 579,151 | ||
1,105,000 | MDC Partners, Inc. (Canada), 144a, 7.500%, 5/1/24 | 1,116,050 | ||
1,078,000 | Meredith Corp., 144a, 6.500%, 7/1/25 | 1,156,565 | ||
148,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., 144a, 4.250%, 1/15/29 | 142,483 | ||
1,841,000 | Photo Holdings Merger Sub, Inc., 144a, 8.500%, 10/1/26 | 1,995,184 | ||
474,000 | QualityTech LP / QTS Finance Corp., 144a, 3.875%, 10/1/28 | 471,630 | ||
346,000 | Sinclair Television Group, Inc., 144a, 4.125%, 12/1/30 | 333,025 | ||
205,000 | Sinclair Television Group, Inc., 144a, 5.125%, 2/15/27 | 200,131 | ||
1,450,000 | Spanish Broadcasting System, Inc., 144a, 9.750%, 3/1/26 | 1,424,625 | ||
1,385,000 | Sprint Capital Corp, 6.875%, 11/15/28 | 1,746,443 | ||
326,000 | TEGNA, Inc., 4.625%, 3/15/28 | 331,705 | ||
721,000 | TEGNA, Inc., 5.000%, 9/15/29 | 748,225 | ||
353,000 | Telecom Italia Capital SA (Italy), 6.000%, 9/30/34 | 400,355 | ||
865,000 | Telecom Italia Capital SA (Italy), 6.375%, 11/15/33 | 1,025,025 | ||
1,090,000 | T-Mobile USA, Inc., 3.375%, 4/15/29 | 1,101,227 | ||
263,000 | Univision Communications, Inc., 144a, 5.125%, 2/15/25 | 265,630 | ||
294,000 | Virgin Media Finance PLC (United Kingdom), 144a, 5.000%, 7/15/30 | 293,632 | ||
200,000 | Virgin Media Secured Finance PLC (United Kingdom), 144a, 5.500%, 5/15/29 | 212,250 |
Principal Amount | Market Value | |||
Communication Services — (Continued) | ||||
$ 515,000 | Zayo Group Holdings, Inc., 144a, 4.000%, 3/1/27 | $ 506,760 | ||
480,000 | Ziggo Bond Co. BV (Netherlands), 144a, 5.125%, 2/28/30 | 490,800 | ||
33,934,165 | ||||
Energy — 14.1% | ||||
1,383,000 | Apache Corp., 4.875%, 11/15/27 | 1,417,575 | ||
915,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 7.000%, 11/1/26 | 914,428 | ||
1,176,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 6.625%, 7/15/26 | 1,208,340 | ||
704,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 7.625%, 12/15/25 | 758,715 | ||
456,000 | Bristow Group, Inc., 144a, 6.875%, 3/1/28 | 454,523 | ||
998,000 | California Resources Corp., 144a, 7.125%, 2/1/26 | 1,015,675 | ||
867,000 | Cheniere Energy Partners LP, 144a, 4.000%, 3/1/31 | 882,172 | ||
1,050,000 | Cheniere Energy Partners LP, 4.500%, 10/1/29 | 1,092,000 | ||
461,000 | Cheniere Energy, Inc., 144a, 4.625%, 10/15/28 | 479,518 | ||
400,000 | Continental Resources, Inc., 4.375%, 1/15/28 | 422,420 | ||
295,000 | Continental Resources, Inc., 4.900%, 6/1/44 | 295,006 | ||
258,000 | Continental Resources, Inc., 144a, 5.750%, 1/15/31 | 291,504 | ||
719,000 | CVR Energy, Inc., 144a, 5.250%, 2/15/25 | 704,045 | ||
797,000 | Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 779,068 | ||
312,000 | Genesis Energy LP / Genesis Energy Finance Corp., 8.000%, 1/15/27 | 315,906 | ||
298,000 | Global Partners LP / GLP Finance Corp., 6.875%, 1/15/29 | 319,829 | ||
225,000 | Global Partners LP / GLP Finance Corp., 7.000%, 8/1/27 | 237,375 | ||
435,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 5.750%, 2/1/29 | 438,806 | ||
345,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 5.750%, 10/1/25 | 345,863 | ||
435,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 6.250%, 11/1/28 | 448,050 | ||
491,000 | MEG Energy Corp. (Canada), 144a, 6.500%, 1/15/25 | 507,178 | ||
735,000 | MEG Energy Corp. (Canada), 144a, 7.125%, 2/1/27 | 769,913 | ||
1,193,000 | Murphy Oil Corp., 6.375%, 12/1/42 | 1,085,630 | ||
1,072,000 | NuStar Logistics LP, 5.625%, 4/28/27 | 1,121,414 | ||
531,000 | NuStar Logistics LP, 6.000%, 6/1/26 | 572,463 | ||
1,011,000 | Occidental Petroleum Corp., 4.200%, 3/15/48 | 813,855 | ||
437,000 | Occidental Petroleum Corp., 6.125%, 1/1/31 | 482,535 | ||
674,000 | Occidental Petroleum Corp., 6.375%, 9/1/28 | 739,786 | ||
918,000 | Occidental Petroleum Corp., 6.625%, 9/1/30 | 1,031,648 | ||
772,000 | Occidental Petroleum Corp., 8.500%, 7/15/27 | 914,820 | ||
909,000 | Parkland Corp. (Canada), 144a, 4.500%, 10/1/29 | 912,136 | ||
469,000 | PDC Energy, Inc., 6.125%, 9/15/24 | 481,253 | ||
897,000 | Precision Drilling Corp. (Canada), 7.750%, 12/15/23 | 899,242 | ||
844,462 | Ruby Pipeline LLC, 144a, 8.000%, 4/1/22 | 692,641 | ||
898,000 | Southwestern Energy Co., 8.375%, 9/15/28 | 985,555 | ||
253,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 5.500%, 1/15/28 | 247,092 | ||
1,409,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 12/31/30 | 1,392,796 | ||
279,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 5.500%, 9/15/24 | 283,185 | ||
26,753,960 | ||||
Consumer Discretionary — 12.2% | ||||
308,000 | Allison Transmission, Inc., 144a, 3.750%, 1/30/31 | 298,375 | ||
768,000 | American Axle & Manufacturing, Inc., 6.250%, 4/1/25 | 791,040 | ||
249,000 | Brookfield Residential Properties Inc. (Canada), 144a, 6.375%, 5/15/25 | 254,914 | ||
428,000 | Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), 144a, 6.250%, 9/15/27 | 446,725 |
Principal Amount | Market Value | |||
Corporate Bonds — 97.9% (Continued) | ||||
Consumer Discretionary — (Continued) | ||||
$ 128,000 | Carnival Corp., 144a, 7.625%, 3/1/26 | $ 137,510 | ||
819,000 | Carnival Corp., 144a, 9.875%, 8/1/27 | 964,282 | ||
911,000 | Carriage Services, Inc., 144a, 6.625%, 6/1/26 | 956,550 | ||
1,153,000 | Churchill Downs, Inc., 144a, 4.750%, 1/15/28 | 1,192,473 | ||
289,000 | Dana, Inc., 5.625%, 6/15/28 | 309,230 | ||
130,828 | Delta Air Lines 2002-1 Class G-1 Pass Through Trust, Ser 02G1, 6.718%, 1/2/23 | 133,763 | ||
280,000 | Ford Motor Co., 4.750%, 1/15/43 | 282,072 | ||
109,000 | Ford Motor Co., 9.625%, 4/22/30 | 152,114 | ||
270,000 | Ford Motor Credit Co. LLC, 2.900%, 2/16/28 | 259,403 | ||
367,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 378,928 | ||
1,298,000 | Ford Motor Credit Co. LLC, 4.271%, 1/9/27 | 1,346,675 | ||
672,000 | Ford Motor Credit Co. LLC, 5.125%, 6/16/25 | 725,075 | ||
712,000 | Ford Motor Credit Co. LLC, MTN, 4.389%, 1/8/26 | 748,362 | ||
642,000 | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/27 | 660,457 | ||
516,000 | Goodyear Tire & Rubber Co. (The), 5.250%, 4/30/31 | 516,000 | ||
772,000 | Group 1 Automotive, Inc., 144a, 4.000%, 8/15/28 | 767,175 | ||
572,000 | Hilton Domestic Operating Co., Inc., 144a, 3.625%, 2/15/32 | 555,183 | ||
200,000 | International Game Technology PLC, 144a, 4.125%, 4/15/26 | 205,516 | ||
445,000 | International Game Technology PLC (United Kingdom), 144a, 6.250%, 1/15/27 | 493,036 | ||
1,065,000 | JB Poindexter & Co., Inc., 144a, 7.125%, 4/15/26 | 1,124,906 | ||
384,000 | L Brands, Inc., 5.250%, 2/1/28 | 411,840 | ||
183,000 | Mattel, Inc., 144a, 3.375%, 4/1/26 | 188,937 | ||
1,155,000 | Meritage Homes Corp., 144a, 3.875%, 4/15/29 | 1,155,000 | ||
172,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/27 | 193,930 | ||
1,081,000 | Royal Caribbean Cruises Ltd., 144a, 11.500%, 6/1/25 | 1,260,716 | ||
1,319,000 | Sonic Automotive, Inc., 6.125%, 3/15/27 | 1,371,760 | ||
874,000 | Speedway Motorsports LLC / Speedway Funding II, Inc., 144a, 4.875%, 11/1/27 | 874,000 | ||
829,000 | Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 144a, 5.625%, 3/1/24 | 889,102 | ||
228,000 | Tri Pointe Homes, Inc., 5.700%, 6/15/28 | 251,988 | ||
844,000 | Twin River Worldwide Holdings Inc., 144a, 6.750%, 6/1/27 | 905,194 | ||
280,000 | Viking Ocean Cruises Ship VII Ltd., 144a, 5.625%, 2/15/29 | 282,884 | ||
866,000 | Wyndham Hotels & Resorts, Inc., 144a, 4.375%, 8/15/28 | 875,959 | ||
292,000 | Wyndham Hotels & Resorts, Inc., 144a, 5.375%, 4/15/26 | 298,570 | ||
309,000 | Yum! Brands, Inc., 144a, 4.750%, 1/15/30 | 326,706 | ||
22,986,350 | ||||
Consumer Staples — 11.7% | ||||
893,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.000%, 10/15/30 | 861,745 | ||
122,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.375%, 1/15/28 | 122,576 | ||
1,269,000 | Ahern Rentals Inc., 144a, 7.375%, 5/15/23 | 1,142,100 | ||
505,000 | Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144a, 5.750%, 7/15/27 | 527,346 | ||
1,000,000 | CHS/Community Health Systems, Inc., 144a, 4.750%, 2/15/31 | 976,900 | ||
811,000 | CHS/Community Health Systems, Inc., 144a, 6.875%, 4/15/29 | 847,698 | ||
257,000 | JBS USA LUX SA / JBS USA Finance, Inc., 144a, 6.750%, 2/15/28 | 282,456 | ||
586,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 5.500%, 1/15/30 | 648,552 | ||
82,000 | Macy's Retail Holdings LLC, 3.625%, 6/1/24† | 82,000 | ||
1,897,000 | Macy's Retail Holdings LLC, 144a, 5.875%, 4/1/29† | 1,945,288 | ||
1,828,000 | NESCO Holdings II, Inc., 144a, 5.500%, 4/15/29 | 1,874,614 |
Principal Amount | Market Value | |||
Consumer Staples — (Continued) | ||||
$ 124,000 | Performance Food Group, Inc., 144a, 6.875%, 5/1/25 | $ 132,370 | ||
295,000 | PetSmart, Inc. / PetSmart Finance Corp., 144a, 4.750%, 2/15/28 | 302,319 | ||
250,000 | PetSmart, Inc. / PetSmart Finance Corp., 144a, 7.750%, 2/15/29 | 271,650 | ||
458,000 | Pilgrim's Pride Corp., 144a, 4.250%, 4/15/31 | 456,273 | ||
728,000 | Post Holdings, Inc., 144a, 4.500%, 9/15/31 | 719,992 | ||
483,000 | Post Holdings, Inc., 144a, 4.625%, 4/15/30 | 483,918 | ||
1,325,000 | QVC, Inc., 4.375%, 9/1/28 | 1,335,501 | ||
1,146,000 | QVC, Inc., 4.750%, 2/15/27 | 1,186,110 | ||
1,790,000 | SEG Holding LLC / SEG Finance Corp., 144a, 5.625%, 10/15/28 | 1,875,025 | ||
1,000,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 144a, 4.625%, 3/1/29 | 1,008,770 | ||
915,000 | Staples, Inc., 144a, 7.500%, 4/15/26 | 965,325 | ||
609,000 | Superior Plus LP / Superior General Partner, Inc. (Canada), 144a, 4.500%, 3/15/29 | 615,212 | ||
500,000 | Triton Water Holdings, Inc., 144a, 6.250%, 4/1/29 | 510,000 | ||
1,000,000 | Turning Point Brands, Inc., 144a, 5.625%, 2/15/26 | 1,037,500 | ||
2,000,000 | US Foods, Inc., 144a, 4.750%, 2/15/29 | 2,000,000 | ||
22,211,240 | ||||
Industrials — 11.0% | ||||
953,000 | BWX Technologies, Inc., 144a, 4.125%, 6/30/28 | 962,678 | ||
483,000 | Cascades, Inc./Cascades USA, Inc. (Canada), 144a, 5.375%, 1/15/28 | 507,150 | ||
1,362,000 | Cimpress PLC (Ireland), 144a, 7.000%, 6/15/26 | 1,437,863 | ||
1,000,000 | Danaos Corp. (Greece), 144a, 8.500%, 3/1/28 | 1,068,750 | ||
517,000 | Delta Air Lines, Inc., 3.750%, 10/28/29 | 503,767 | ||
275,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 6.750%, 3/15/22 | 275,344 | ||
535,000 | GFL Environmental, Inc. (Canada), 144a, 3.500%, 9/1/28 | 518,950 | ||
1,000,000 | Granite US Holdings Corp., 144a, 11.000%, 10/1/27 | 1,127,500 | ||
1,443,000 | H&E Equipment Services, Inc., 144a, 3.875%, 12/15/28 | 1,403,317 | ||
503,000 | Herc Holdings, Inc., 144a, 5.500%, 7/15/27 | 535,293 | ||
132,000 | Howmet Aerospace, Inc., 5.950%, 2/1/37 | 159,595 | ||
329,000 | Howmet Aerospace, Inc., 6.750%, 1/15/28 | 388,220 | ||
273,000 | Meritor, Inc., 144a, 4.500%, 12/15/28 | 273,819 | ||
510,000 | Meritor, Inc., 144a, 6.250%, 6/1/25 | 543,150 | ||
749,000 | Moog, Inc., 144a, 4.250%, 12/15/27 | 763,980 | ||
682,000 | Owens-Brockway Glass Container, Inc., 144a, 5.875%, 8/15/23 | 730,592 | ||
747,000 | Owens-Brockway Glass Container, Inc., 144a, 6.625%, 5/13/27 | 812,082 | ||
808,000 | Plastipak Holdings, Inc., 144a, 6.250%, 10/15/25 | 831,230 | ||
705,000 | Quad/Graphics, Inc., 7.000%, 5/1/22† | 696,519 | ||
335,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 144a, 4.000%, 10/15/27 | 328,300 | ||
643,000 | Signature Aviation US Holdings, Inc., 144a, 4.000%, 3/1/28 | 653,880 | ||
347,000 | Spirit AeroSystems, Inc., 144a, 7.500%, 4/15/25 | 373,025 | ||
634,000 | Standard Industries, Inc., 144a, 3.375%, 1/15/31 | 600,715 | ||
203,000 | Standard Industries, Inc., 144a, 5.000%, 2/15/27 | 211,627 | ||
805,000 | Summit Materials LLC / Summit Materials Finance Corp., 144a, 5.250%, 1/15/29 | 842,022 | ||
1,000,000 | TransDigm, Inc., 144a, 4.625%, 1/15/29 | 984,790 | ||
405,000 | TransDigm, Inc., 6.375%, 6/15/26 | 418,669 | ||
144,000 | TransDigm, Inc., 6.500%, 5/15/25 | 146,700 | ||
768,000 | TransDigm, Inc., 144a, 6.250%, 3/15/26 | 814,003 | ||
144,000 | TransDigm, Inc., 144a, 8.000%, 12/15/25 | 156,816 |
Principal Amount | Market Value | |||
Corporate Bonds — 97.9% (Continued) | ||||
Industrials — (Continued) | ||||
$1,000,000 | TriMas Corp., 144a, 4.125%, 4/15/29 | $ 1,000,000 | ||
700,000 | WESCO Distribution, Inc., 144a, 7.250%, 6/15/28 | 783,300 | ||
20,853,646 | ||||
Financials — 8.4% | ||||
175,000 | Ally Financial, Inc., 8.000%, 11/1/31 | 243,550 | ||
645,000 | Ally Financial, Inc., 8.000%, 11/1/31 | 868,634 | ||
2,012,000 | Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc. (Canada), 144a, 8.500%, 12/15/22 | 2,067,330 | ||
1,008,000 | Credit Acceptance Corp., 144a, 5.125%, 12/31/24 | 1,028,160 | ||
528,000 | Credit Acceptance Corp., 6.625%, 3/15/26 | 555,720 | ||
1,087,000 | FirstCash, Inc., 144a, 4.625%, 9/1/28 | 1,113,631 | ||
328,000 | goeasy Ltd. (Canada), 144a, 5.375%, 12/1/24 | 339,890 | ||
615,000 | MGIC Investment Corp., 5.250%, 8/15/28 | 640,369 | ||
730,000 | Navient Corp., 5.500%, 1/25/23 | 757,375 | ||
1,462,000 | Navient Corp., 5.875%, 10/25/24 | 1,535,261 | ||
350,000 | OneMain Finance Corp., 4.000%, 9/15/30 | 340,375 | ||
391,000 | OneMain Finance Corp., 8.875%, 6/1/25 | 433,150 | ||
136,000 | PennyMac Financial Services, Inc., 144a, 4.250%, 2/15/29 | 130,050 | ||
419,000 | PennyMac Financial Services, Inc., 144a, 5.375%, 10/15/25 | 434,314 | ||
960,000 | PRA Group, Inc., 144a, 7.375%, 9/1/25 | 1,027,200 | ||
317,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144a, 3.375%, 8/31/27 | 307,490 | ||
1,140,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144a, 5.750%, 4/15/26 | 1,230,316 | ||
441,000 | Quicken Loans LLC, 144a, 5.250%, 1/15/28 | 464,153 | ||
1,017,000 | Quicken Loans LLC / Quicken Loans Co.-Issuer, Inc., 144a, 3.875%, 3/1/31 | 981,405 | ||
430,000 | Radian Group Inc., 4.500%, 10/1/24 | 447,329 | ||
614,000 | Springleaf Finance Corp., 6.625%, 1/15/28 | 695,852 | ||
172,000 | Springleaf Finance Corp., 7.125%, 3/15/26 | 198,376 | ||
15,839,930 | ||||
Health Care — 7.6% | ||||
1,124,000 | AdaptHealth LLC, 144a, 4.625%, 8/1/29 | 1,118,380 | ||
162,000 | Bausch Health Cos, Inc., 144a, 5.000%, 1/30/28 | 165,110 | ||
573,000 | Bausch Health Cos, Inc., 144a, 5.250%, 2/15/31 | 570,261 | ||
560,000 | Bausch Health Cos, Inc., 144a, 6.250%, 2/15/29 | 594,300 | ||
287,000 | Bausch Health Cos, Inc., 144a, 7.000%, 1/15/28 | 311,553 | ||
208,000 | Charles River Laboratories International, Inc., 144a, 3.750%, 3/15/29 | 208,329 | ||
679,000 | DaVita, Inc., 144a, 3.750%, 2/15/31 | 650,618 | ||
717,000 | DaVita, Inc., 144a, 4.625%, 6/1/30 | 729,297 | ||
1,000,000 | Endo Luxembourg Finance Co. I Sarl / Endo US, Inc., 144a, 6.125%, 4/1/29 | 1,010,220 | ||
286,000 | Herbalife Nutrition Ltd. / HLF Financing, Inc., 144a, 7.875%, 9/1/25 | 311,025 | ||
1,059,000 | HLF Financing Sarl LLC / Herbalife International, Inc., 144a, 7.250%, 8/15/26 | 1,109,302 | ||
683,000 | Horizon Therapeutics USA, Inc., 144a, 5.500%, 8/1/27 | 729,102 | ||
1,000,000 | LifePoint Health, Inc., 144a, 5.375%, 1/15/29 | 985,000 | ||
1,292,000 | MEDNAX, Inc., 144a, 6.250%, 1/15/27 | 1,381,536 | ||
903,000 | ModivCare, Inc., 144a, 5.875%, 11/15/25 | 950,407 | ||
958,000 | Tenet Healthcare Corp., 144a, 6.125%, 10/1/28 | 997,757 | ||
238,000 | Tenet Healthcare Corp., 144a, 6.250%, 2/1/27 | 251,296 | ||
1,433,000 | Teva Pharmaceutical Finance Netherlands III BV (Israel), 3.150%, 10/1/26 | 1,370,306 | ||
91,000 | US Acute Care Solutions LLC, 144a, 6.375%, 3/1/26 | 94,413 | ||
714,000 | Valeant Pharmaceuticals International, 144a, 8.500%, 1/31/27 | 792,094 | ||
14,330,306 |
Principal Amount | Market Value | |||
Information Technology — 4.2% | ||||
$ 667,000 | Booz Allen Hamilton, Inc., 144a, 3.875%, 9/1/28 | $ 670,502 | ||
368,000 | Boxer Parent Co., Inc., 144a, 7.125%, 10/2/25 | 394,680 | ||
364,000 | Camelot Finance SA, 144a, 4.500%, 11/1/26 | 376,347 | ||
471,000 | CDK Global, Inc., 4.875%, 6/1/27 | 492,077 | ||
555,000 | J2 Global, Inc., 144a, 4.625%, 10/15/30 | 562,440 | ||
406,000 | NCR Corp., 144a, 5.125%, 4/15/29 | 410,600 | ||
460,000 | NCR Corp., 144a, 5.750%, 9/1/27 | 486,737 | ||
862,000 | Open Text Corp. (Canada), 144a, 3.875%, 2/15/28 | 866,310 | ||
1,016,000 | SS&C Technologies, Inc., 144a, 5.500%, 9/30/27 | 1,081,024 | ||
1,500,000 | TTM Technologies, Inc., 144a, 4.000%, 3/1/29 | 1,479,375 | ||
1,047,000 | Xerox Corp., 4.800%, 3/1/35 | 1,047,482 | ||
7,867,574 | ||||
Materials — 3.7% | ||||
386,000 | Alcoa Nederland Holding BV, 144a, 4.125%, 3/31/29 | 389,296 | ||
503,000 | Alcoa Nederland Holding BV (Netherlands), 144a, 6.125%, 5/15/28 | 547,868 | ||
546,000 | Arconic Corp., 144a, 6.125%, 2/15/28 | 583,237 | ||
336,000 | Clearwater Paper Corp., 144a, 5.375%, 2/1/25 | 356,160 | ||
1,000,000 | Cleveland-Cliffs, Inc., 144a, 4.875%, 3/1/31 | 982,800 | ||
380,000 | CVR Partners LP / CVR Nitrogen Finance Corp., 144a, 9.250%, 6/15/23 | 383,325 | ||
358,000 | Hudbay Minerals, Inc. (Peru), 144a, 4.500%, 4/1/26 | 372,073 | ||
265,000 | Hudbay Minerals, Inc. (Peru), 144a, 6.125%, 4/1/29 | 282,888 | ||
275,000 | INEOS Quattro Finance 2 PLC (United Kingdom), 144a, 3.375%, 1/15/26 | 275,000 | ||
456,000 | Mercer International, Inc. (Germany), 144a, 5.125%, 2/1/29 | 472,416 | ||
347,000 | Mineral Resources Ltd. (Australia), 144a, 8.125%, 5/1/27 | 383,612 | ||
1,073,000 | Novelis Corp., 144a, 5.875%, 9/30/26 | 1,123,216 | ||
889,000 | Nufarm Australia Ltd. / Nufarm Americas, Inc. (Australia), 144a, 5.750%, 4/30/26 | 909,340 | ||
7,061,231 | ||||
Real Estate — 3.6% | ||||
1,087,000 | CoreCivic, Inc. REIT, 4.625%, 5/1/23 | 1,070,695 | ||
130,000 | Diversified Healthcare Trust REIT, 4.750%, 5/1/24 | 133,575 | ||
810,000 | Diversified Healthcare Trust REIT, 4.750%, 2/15/28 | 798,863 | ||
663,000 | Diversified Healthcare Trust REIT, 9.750%, 6/15/25 | 750,516 | ||
499,000 | Howard Hughes Corp. (The), 144a, 4.375%, 2/1/31 | 488,708 | ||
203,000 | Iron Mountain, Inc. REIT, 144a, 4.500%, 2/15/31 | 200,686 | ||
463,000 | Iron Mountain, Inc. REIT, 144a, 4.875%, 9/15/29 | 468,764 | ||
171,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 3/15/28 | 177,626 | ||
1,016,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 7/15/30 | 1,048,309 | ||
227,000 | RHP Hotel Properties LP / RHP Finance Corp. REIT, 144a, 4.500%, 2/15/29 | 227,901 | ||
646,000 | Service Properties Trust REIT, 4.650%, 3/15/24 | 646,000 | ||
168,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 3.750%, 2/15/27 | 168,181 | ||
519,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 4.250%, 12/1/26 | 530,981 | ||
6,710,805 | ||||
Utilities — 3.5% | ||||
653,000 | Calpine Corp., 144a, 4.500%, 2/15/28 | 658,485 | ||
363,000 | Calpine Corp., 144a, 5.000%, 2/1/31 | 353,852 | ||
145,000 | Clearway Energy Operating LLC, 144a, 3.750%, 2/15/31 | 139,068 | ||
389,000 | Clearway Energy Operating LLC, 5.000%, 9/15/26 | 401,876 | ||
212,000 | Clearway Energy Operating LLC, 144a, 4.750%, 3/15/28 | 220,563 | ||
552,000 | FirstEnergy Transmission LLC, 144a, 4.550%, 4/1/49 | 580,500 | ||
262,000 | FirstEnergy Transmission LLC, 144a, 5.450%, 7/15/44 | 301,983 | ||
739,000 | PG&E Corp., 5.000%, 7/1/28 | 780,735 | ||
193,000 | PG&E Corp., 5.250%, 7/1/30 | 204,879 |
Principal Amount | Market Value | |||
Corporate Bonds — 97.9% (Continued) | ||||
Utilities — (Continued) | ||||
$1,269,000 | Rockpoint Gas Storage Canada Ltd. (Canada), 144a, 7.000%, 3/31/23 | $ 1,278,518 | ||
1,710,000 | Talen Energy Supply LLC, 144a, 7.625%, 6/1/28 | 1,731,375 | ||
6,651,834 | ||||
Total Corporate Bonds | $185,201,041 |
Shares | ||||
Common Stocks — 0.3% | ||||
Energy — 0.3% | ||||
38,886 | Unit Corp.* | 475,187 | ||
Short-Term Investment Funds — 3.5% | ||||
3,725,697 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 3,725,697 | ||
3,011,579 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 3,011,579 | ||
Total Short-Term Investment Funds | $6,737,276 | |||
Total Investment Securities—101.7% (Cost $188,998,953) | $192,413,504 | |||
Liabilities in Excess of Other Assets — (1.7%) | (3,262,023) | |||
Net Assets — 100.0% | $189,151,481 |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2021 was $2,697,396. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
DAC – Designated Activity Company |
LLC – Limited Liability Company |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities were valued at $137,121,693 or 72.5% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $— | $185,201,041 | $— | $185,201,041 |
Common Stocks | 475,187 | — | — | 475,187 |
Short-Term Investment Funds | 6,737,276 | — | — | 6,737,276 |
Total | $7,212,463 | $185,201,041 | $— | $192,413,504 |
Principal Amount | Market Value | |||
Corporate Bonds — 30.0% | ||||
Financials — 8.0% | ||||
$ 2,444,000 | Aflac, Inc., 3.250%, 3/17/25 | $ 2,630,985 | ||
2,600,000 | American Express Co., 2.650%, 12/2/22 | 2,696,821 | ||
1,524,806 | Fishers Lane Associates LLC, 144a, 3.666%, 8/5/30 | 1,666,277 | ||
545,000 | Fishers Lane Associates LLC, 144a, 5.477%, 8/5/40 | 647,376 | ||
1,398,000 | Globe Life, Inc., 3.800%, 9/15/22 | 1,452,961 | ||
691,000 | Globe Life, Inc., 4.550%, 9/15/28 | 793,911 | ||
1,000,000 | KeyBank NA/Cleveland OH, 2.300%, 9/14/22 | 1,027,170 | ||
1,950,000 | KeyBank NA/Cleveland OH, 3.350%, 6/15/21 | 1,961,758 | ||
2,333,828 | Logistics 1 MI TN VA Senior Notes CTL Pass-Through Trust, 144a, 2.654%, 10/10/42(A) | 2,333,828 | ||
2,000,000 | MassMutual Global Funding II, 144a, 0.850%, 6/9/23 | 2,016,587 | ||
2,386,000 | National Rural Utilities Cooperative Finance Corp., 3.400%, 11/15/23 | 2,541,523 | ||
708,000 | Nationwide Mutual Insurance Co., 144a, 9.375%, 8/15/39 | 1,154,811 | ||
1,000,000 | Northwestern Mutual Global Funding, 144a, 0.600%, 3/25/24 | 999,222 | ||
1,280,000 | Northwestern Mutual Life Insurance Co. (The), 144a, 3.625%, 9/30/59 | 1,285,809 | ||
2,000,000 | PNC Bank NA, 2.700%, 10/22/29 | 2,035,097 | ||
1,500,000 | Progressive Corp. (The), 4.200%, 3/15/48 | 1,741,648 | ||
2,040,000 | Reliance Standard Life Global Funding II, 144a, 2.750%, 1/21/27 | 2,133,809 | ||
792,000 | Unum Group, 7.250%, 3/15/28 | 1,002,835 | ||
2,000,000 | USB Capital IX, (3M LIBOR +1.020%), 3.500%(B)(C) | 1,920,000 | ||
32,042,428 | ||||
Industrials — 7.0% | ||||
26,617 | Burlington Northern and Santa Fe Railway Co. 2005-3 Pass Through Trust, 4.830%, 1/15/23 | 26,549 | ||
554,496 | Burlington Northern and Santa Fe Railway Co. 2005-4 Pass Through Trust, 4.967%, 4/1/23 | 572,706 | ||
2,355,000 | Burlington Northern Santa Fe LLC, 6.700%, 8/1/28 | 3,055,318 | ||
1,559,067 | CSX Transportation, Inc., 6.251%, 1/15/23 | 1,699,564 | ||
116,361 | Federal Express Corp. 1999 Pass Through Trust, 7.650%, 1/15/23 | 124,185 | ||
2,135,000 | FedEx Corp., 4.000%, 1/15/24 | 2,320,258 | ||
958,665 | FedEx Corp. 2020-1 Class AA Pass Through Trust, 1.875%, 2/20/34 | 927,766 | ||
2,823,000 | GATX Corp., 3.250%, 3/30/25 | 3,001,028 | ||
2,000,000 | John Deere Capital Corp., MTN, 2.800%, 9/8/27 | 2,129,076 | ||
1,180,000 | Kansas City Southern, 3.000%, 5/15/23 | 1,230,303 | ||
1,475,000 | Kansas City Southern, 3.125%, 6/1/26 | 1,576,817 | ||
1,941,000 | Norfolk Southern Corp., 2.903%, 2/15/23 | 2,014,547 | ||
705,000 | TOTE Maritime Alaska LLC, 6.365%, 4/15/28 | 828,522 | ||
2,579,000 | Tote Shipholdings LLC, 3.400%, 10/16/40 | 2,756,314 | ||
1,960,000 | Union Pacific Corp., 3.950%, 9/10/28 | 2,194,765 | ||
150,519 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 1/2/24 | 155,230 | ||
510,343 | Union Pacific Railroad Co. 2006 Pass Through Trust, 5.866%, 7/2/30 | 600,614 | ||
1,071,363 | Union Pacific Railroad Co. 2014-1 Pass Through Trust, 3.227%, 5/14/26 | 1,159,196 | ||
1,631,000 | Waste Management, Inc., 2.400%, 5/15/23 | 1,691,021 | ||
28,063,779 | ||||
Utilities — 5.5% | ||||
2,104,000 | American Water Capital Corp., 2.950%, 9/1/27 | 2,239,447 | ||
1,623,000 | California Water Service Co., 5.500%, 12/1/40 | 2,045,005 | ||
2,008,000 | Commonwealth Edison Co., 5.900%, 3/15/36 | 2,670,282 | ||
2,163,000 | Dominion Energy South Carolina, Inc., 4.600%, 6/15/43 | 2,566,152 | ||
2,080,000 | Duke Energy Progress LLC, 6.300%, 4/1/38 | 2,879,629 | ||
2,532,000 | Entergy Louisiana LLC, 4.440%, 1/15/26 | 2,834,556 |
Principal Amount | Market Value | |||
Utilities — (Continued) | ||||
$ 1,642,000 | Georgia Power Co., 4.750%, 9/1/40 | $ 1,906,356 | ||
2,000,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +2.067%), 2.269%, 10/1/66(C) | 1,850,000 | ||
2,926,000 | PacifiCorp., 8.050%, 9/1/22 | 3,205,475 | ||
22,196,902 | ||||
Consumer Discretionary — 3.3% | ||||
2,543,645 | American Airlines 2016-3 Class AA Pass Through Trust, 3.000%, 10/15/28 | 2,562,994 | ||
200,882 | Continental Airlines 2000-2 Class A-1 Pass Through Trust, 7.707%, 4/2/21 | 200,828 | ||
1,224,312 | Continental Airlines 2007-1 Class A Pass Through Trust, 5.983%, 4/19/22 | 1,249,651 | ||
658,128 | Continental Airlines 2012-2 Class A Pass Through Trust, 4.000%, 10/29/24 | 679,592 | ||
353,959 | Delta Air Lines 2007-1 Class B Pass Through Trust, 8.021%, 8/10/22 | 369,373 | ||
2,400,000 | Delta Air Lines 2019-1 Class AA Pass Through Trust, 3.204%, 4/25/24 | 2,486,012 | ||
2,347,000 | Ford Motor Credit Co. LLC, 4.375%, 8/6/23 | 2,456,605 | ||
990,000 | PulteGroup, Inc., 7.875%, 6/15/32 | 1,392,861 | ||
1,300,000 | Royal Caribbean Cruises Ltd., 5.250%, 11/15/22 | 1,339,000 | ||
534,337 | Southwest Airlines Co. 2007-1 Pass Through Trust, 6.150%, 8/1/22 | 559,026 | ||
13,295,942 | ||||
Real Estate — 1.8% | ||||
1,800,000 | American Tower Corp. REIT, 3.125%, 1/15/27 | 1,911,649 | ||
1,350,000 | American Tower Trust #1 REIT, 144a, 3.070%, 3/15/23 | 1,365,732 | ||
1,750,000 | Crown Castle International Corp. REIT, 4.300%, 2/15/29 | 1,957,323 | ||
1,855,000 | SBA Tower Trust REIT, 144a, 3.168%, 4/11/22 | 1,858,253 | ||
7,092,957 | ||||
Health Care — 1.5% | ||||
2,462,160 | CVS Pass-Through Trust, 6.036%, 12/10/28 | 2,872,130 | ||
2,605,000 | HCA, Inc., 5.250%, 4/15/25 | 2,973,118 | ||
5,845,248 | ||||
Consumer Staples — 1.1% | ||||
1,000,000 | Kroger Co. (The), 4.500%, 1/15/29 | 1,158,447 | ||
1,265,000 | Kroger Co. (The), 7.700%, 6/1/29 | 1,719,761 | ||
1,600,000 | United Rentals North America, Inc., 4.875%, 1/15/28 | 1,685,392 | ||
4,563,600 | ||||
Communication Services — 0.7% | ||||
755,000 | Verizon Communications, Inc., 2.100%, 3/22/28 | 758,917 | ||
2,084,000 | Verizon Communications, Inc., 144a, 2.987%, 10/30/56 | 1,832,973 | ||
195,000 | Verizon Communications, Inc., 5.012%, 4/15/49 | 240,013 | ||
2,831,903 | ||||
Energy — 0.6% | ||||
592,000 | Spectra Energy Partners LP, 3.500%, 3/15/25 | 633,572 | ||
1,405,000 | Texas Eastern Transmission LP, 7.000%, 7/15/32 | 1,888,930 | ||
2,522,502 | ||||
Information Technology — 0.5% | ||||
1,900,000 | Lam Research Corp., 1.900%, 6/15/30 | 1,840,054 | ||
Total Corporate Bonds | $120,295,315 | |||
U.S. Government Agency Obligations — 25.3% | ||||
1,173,000 | Canal Barge Co., Inc., 4.500%, 11/12/34 | 1,324,736 | ||
2,489,395 | Helios Leasing I LLC, 1.734%, 7/24/24 | 2,538,488 | ||
979,000 | Matson Navigation Co., Inc., 5.337%, 9/4/28 | 1,118,272 | ||
1,650,000 | Petroleos Mexicanos (Mexico), 2.290%, 2/15/24 | 1,696,779 | ||
2,503,684 | Reliance Industries Ltd. (India), 1.870%, 1/15/26 | 2,580,430 |
Principal Amount | Market Value | |||
U.S. Government Agency Obligations — 25.3% (Continued) | ||||
$ 2,116,243 | SBA Small Business Investment Cos, Ser 2017-10A, Class 1, 2.845%, 3/10/27 | $ 2,217,881 | ||
2,727,472 | SBA Small Business Investment Cos, Ser 2017-10B, Class 1, 2.518%, 9/10/27 | 2,828,266 | ||
16,322 | Small Business Administration Participation Certificates, Ser 2002-20H, Class 1, 5.310%, 8/1/22 | 16,746 | ||
9,826 | Small Business Administration Participation Certificates, Ser 2003-20D, Class 1, 4.760%, 4/1/23 | 10,097 | ||
40,053 | Small Business Administration Participation Certificates, Ser 2004-20D, Class 1, 4.770%, 4/1/24 | 41,629 | ||
87,690 | Small Business Administration Participation Certificates, Ser 2004-20K, Class 1, 4.880%, 11/1/24 | 92,269 | ||
77,566 | Small Business Administration Participation Certificates, Ser 2005-20H, Class 1, 5.110%, 8/1/25 | 82,371 | ||
132,244 | Small Business Administration Participation Certificates, Ser 2006-20H, Class 1, 5.700%, 8/1/26 | 142,566 | ||
163,185 | Small Business Administration Participation Certificates, Ser 2006-20K, Class 1, 5.360%, 11/1/26 | 174,899 | ||
287,360 | Small Business Administration Participation Certificates, Ser 2006-20L, Class 1, 5.120%, 12/1/26 | 307,037 | ||
234,341 | Small Business Administration Participation Certificates, Ser 2007-20A, Class 1, 5.320%, 1/1/27 | 250,619 | ||
430,392 | Small Business Administration Participation Certificates, Ser 2007-20E, Class 1, 5.310%, 5/1/27 | 463,586 | ||
212,768 | Small Business Administration Participation Certificates, Ser 2007-20F, Class 1, 5.710%, 6/1/27 | 229,647 | ||
633,763 | Small Business Administration Participation Certificates, Ser 2007-20L, Class 1, 5.290%, 12/1/27 | 677,766 | ||
287,415 | Small Business Administration Participation Certificates, Ser 2008-20A, Class 1, 5.170%, 1/1/28 | 313,806 | ||
336,216 | Small Business Administration Participation Certificates, Ser 2008-20K, Class 1, 6.770%, 11/1/28 | 375,354 | ||
637,281 | Small Business Administration Participation Certificates, Ser 2009-20C, Class 1, 4.660%, 3/1/29 | 686,170 | ||
377,165 | Small Business Administration Participation Certificates, Ser 2009-20D, Class 1, 4.310%, 4/1/29 | 407,975 | ||
460,454 | Small Business Administration Participation Certificates, Ser 2009-20E, Class 1, 4.430%, 5/1/29 | 502,403 | ||
228,437 | Small Business Administration Participation Certificates, Ser 2009-20F, Class 1, 4.950%, 6/1/29 | 248,046 | ||
783,962 | Small Business Administration Participation Certificates, Ser 2009-20J, Class 1, 3.920%, 10/1/29 | 829,226 | ||
1,400,820 | Small Business Administration Participation Certificates, Ser 2010-20F, Class 1, 3.880%, 6/1/30 | 1,501,766 | ||
2,577,312 | Small Business Administration Participation Certificates, Ser 2010-20I, Class 1, 3.210%, 9/1/30 | 2,721,118 | ||
184,858 | Small Business Administration Participation Certificates, Ser 2012-10C, Class 1, 1.240%, 5/1/22 | 185,896 | ||
4,612,313 | Small Business Administration Participation Certificates, Ser 2013-20C, Class 1, 2.220%, 3/1/33 | 4,661,840 | ||
4,333,332 | Small Business Administration Participation Certificates, Ser 2013-20E, Class 1, 2.070%, 5/1/33 | 4,426,336 | ||
2,423,867 | Small Business Administration Participation Certificates, Ser 2013-20G, Class 1, 3.150%, 7/1/33 | 2,523,103 | ||
2,494,041 | Small Business Administration Participation Certificates, Ser 2014-20H, Class 1, 2.880%, 8/1/34 | 2,598,371 | ||
3,801,417 | Small Business Administration Participation Certificates, Ser 2014-20I, Class 1, 2.920%, 9/1/34 | 3,959,821 |
Principal Amount | Market Value | |||
U.S. Government Agency Obligations — 25.3% (Continued) | ||||
$ 3,774,917 | Small Business Administration Participation Certificates, Ser 2014-20K, Class 1, 2.800%, 11/1/34 | $ 3,937,547 | ||
1,982,276 | Small Business Administration Participation Certificates, Ser 2015-20I, Class 1, 2.820%, 9/1/35 | 2,065,174 | ||
2,670,231 | Small Business Administration Participation Certificates, Ser 2016-20A, Class 1, 2.780%, 1/1/36 | 2,755,307 | ||
4,051,748 | Small Business Administration Participation Certificates, Ser 2016-20B, Class 1, 2.270%, 2/1/36 | 4,166,253 | ||
5,098,188 | Small Business Administration Participation Certificates, Ser 2016-20F, Class 1, 2.180%, 6/1/36 | 5,164,268 | ||
5,186,180 | Small Business Administration Participation Certificates, Ser 2017-20E, Class 1, 2.880%, 5/1/37 | 5,439,271 | ||
4,002,986 | Small Business Administration Participation Certificates, Ser 2017-20F, Class 1, 2.810%, 6/1/37 | 4,273,728 | ||
4,769,219 | Small Business Administration Participation Certificates, Ser 2017-20K, Class 1, 2.790%, 11/1/37 | 5,000,701 | ||
2,603,547 | Small Business Administration Participation Certificates, Ser 2017-20L, Class 1, 2.780%, 12/1/37 | 2,705,694 | ||
3,378,874 | Small Business Administration Participation Certificates, Ser 2018-20C, Class 1, 3.200%, 3/1/38 | 3,571,091 | ||
2,200,858 | Small Business Administration Participation Certificates, Ser 2018-25D, Class 1, 3.890%, 10/1/43 | 2,400,854 | ||
2,468,549 | Small Business Administration Participation Certificates, Ser 2019-25B, Class 1, 3.450%, 2/1/44 | 2,640,255 | ||
2,926,193 | Small Business Administration Participation Certificates, Ser 2019-25E, Class 1, 3.070%, 5/1/44 | 3,086,548 | ||
3,779,779 | Small Business Administration Participation Certificates, Ser 2020-25I, Class 1, 1.150%, 9/1/45 | 3,658,667 | ||
888,106 | Tagua Leasing LLC, 1.581%, 11/16/24 | 904,470 | ||
2,482,000 | Tennessee Valley Auth., 4.650%, 6/15/35 | 3,183,675 | ||
2,344,514 | United States Small Business Administration, Ser 2019-20A, Class 1, 3.370%, 1/1/39 | 2,484,126 | ||
1,095,000 | Vessel Management Services, Inc., 5.125%, 4/16/35 | 1,282,871 | ||
Total U.S. Government Agency Obligations | $101,455,815 | |||
Agency Collateralized Mortgage Obligations — 18.7% | ||||
2,350,000 | Fannie Mae-Aces, Ser 2017-M15, Class ATS2, 3.136%, 11/25/27(C)(D) | 2,480,100 | ||
3,061,422 | Fannie Mae-Aces, Ser 2019-M6, Class A1, 3.300%, 8/1/28 | 3,318,648 | ||
3,075,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1511, Class A3, 3.542%, 3/25/34 | 3,456,628 | ||
3,512,146 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG01, Class A7, 2.875%, 4/25/26 | 3,769,644 | ||
3,570,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG02, Class A2, 2.412%, 8/25/29 | 3,720,752 | ||
3,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG03, Class A1, 0.704%, 4/25/29(C)(D) | 2,895,035 | ||
2,500,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KSG1, Class A2, 1.503%, 9/25/30 | 2,418,069 | ||
3,239,337 | FHLMC Multifamily Structured Pass Through Certificates, Ser KW03, Class A1, 2.617%, 12/25/26 | 3,408,581 | ||
3,060,000 | FHLMC Multifamily Structured Pass-Through Certificates, Ser K-1513, Class A3, 2.797%, 8/25/34 | 3,207,517 | ||
2,000,000 | FREMF Mortgage Trust, Ser 2011-K16, Class B, 144a, 4.609%, 11/25/46(C)(D) | 2,038,532 | ||
1,395,037 | FREMF Mortgage Trust, Ser 2012-K19, Class B, 144a, 4.018%, 5/25/45(C)(D) | 1,436,463 |
Principal Amount | Market Value | |||
Agency Collateralized Mortgage Obligations — 18.7% (Continued) | ||||
$ 3,000,000 | FREMF Mortgage Trust, Ser 2012-K23, Class B, 144a, 3.657%, 10/25/45(C)(D) | $ 3,112,359 | ||
1,475,000 | FREMF Mortgage Trust, Ser 2013-K30, Class B, 144a, 3.556%, 6/25/45(C)(D) | 1,560,271 | ||
1,715,000 | FREMF Mortgage Trust, Ser 2014-K40, Class B, 144a, 4.072%, 11/25/47(C)(D) | 1,860,327 | ||
1,120,000 | FREMF Mortgage Trust, Ser 2014-K41, Class B, 144a, 3.834%, 11/25/47(C)(D) | 1,215,920 | ||
1,578,000 | FREMF Mortgage Trust, Ser 2014-K716, Class B, 144a, 3.903%, 8/25/47(C)(D) | 1,585,651 | ||
1,091,803 | FRESB Mortgage Trust, Ser 2015-SB9, Class A5, (1M LIBOR +0.700%), 0.819%, 11/25/35(C) | 1,090,891 | ||
832,472 | FRESB Mortgage Trust, Ser 2016-SB17, Class A5H, 2.160%, 5/25/36(C)(D) | 832,363 | ||
1,184,364 | FRESB Mortgage Trust, Ser 2017-SB27, Class A10F, 3.090%, 1/25/27(C)(D) | 1,226,573 | ||
2,390,851 | FRESB Mortgage Trust, Ser 2018-SB46, Class A10F, 3.300%, 12/25/27(C)(D) | 2,477,290 | ||
1,578,291 | GNMA, Ser 2011-142, Class B, 3.429%, 2/16/44(C)(D) | 1,607,578 | ||
2,355,320 | GNMA, Ser 2012-46, Class C, 3.176%, 5/16/50(C)(D) | 2,431,226 | ||
326,236 | GNMA, Ser 2012-53, Class AC, 2.381%, 12/16/43 | 331,057 | ||
1,667,992 | GNMA, Ser 2013-121, Class AB, 2.543%, 8/16/44(C)(D) | 1,731,727 | ||
540,867 | GNMA, Ser 2013-40, Class AC, 1.584%, 1/16/46 | 545,468 | ||
2,540,000 | GNMA, Ser 2015-32, Class HG, 3.000%, 9/16/49(C)(D) | 2,536,461 | ||
1,491,442 | GNMA, Ser 2015-37, Class AD, 2.600%, 11/16/55 | 1,539,119 | ||
3,512,000 | GNMA, Ser 2015-73, Class B, 2.700%, 10/16/55(C)(D) | 3,612,641 | ||
1,654,004 | GNMA, Ser 2017-46, Class AB, 2.600%, 1/16/52 | 1,708,335 | ||
1,440,004 | GNMA, Ser 2017-H11, Class FV, (1M LIBOR +0.500%), 0.620%, 5/20/67(C) | 1,448,921 | ||
4,245,720 | GNMA, Ser 2020-113, Class AF, 2.000%, 10/16/62 | 4,117,181 | ||
2,494,474 | GNMA, Ser 2021-21, Class AF, 1.750%, 6/16/63 | 2,409,413 | ||
3,990,404 | GNMA, Ser 2021-22, Class AD, 1.350%, 10/16/62 | 3,926,947 | ||
Total Agency Collateralized Mortgage Obligations | $75,057,688 | |||
U.S. Government Mortgage-Backed Obligations — 9.8% | ||||
1,137,827 | FHLMC, Pool #W30008, 7.645%, 5/1/25 | 1,283,745 | ||
4,568,476 | FHLMC REMIC, Pool #QB4551, 2.000%, 10/1/50 | 4,560,990 | ||
182,098 | FNMA, Pool #465711, 4.680%, 8/1/28 | 206,316 | ||
97,432 | FNMA, Pool #874210, 5.260%, 1/1/25 | 100,352 | ||
594,098 | FNMA, Pool #888829, 5.888%, 6/1/37(C)(D) | 619,237 | ||
1,148,781 | FNMA, Pool #AH8854, 4.500%, 4/1/41 | 1,295,137 | ||
2,843,690 | FNMA, Pool #AN0897, 3.440%, 2/1/32 | 3,079,925 | ||
3,359,000 | FNMA, Pool #AN3613, 2.680%, 12/1/26 | 3,566,929 | ||
2,860,786 | FNMA, Pool #AN5183, 3.250%, 4/1/27 | 3,134,677 | ||
2,409,964 | FNMA, Pool #AS8650, 3.000%, 1/1/47 | 2,530,887 | ||
537,315 | FNMA, Pool #AT0924, 2.000%, 3/1/28 | 550,056 | ||
961,041 | FNMA, Pool #BC0153, 4.000%, 1/1/46 | 1,049,103 | ||
3,642,545 | FNMA, Pool #BL3622, 2.600%, 8/1/26 | 3,834,575 | ||
2,730,877 | FNMA, Pool #FM3442, 3.000%, 6/1/50 | 2,849,679 | ||
4,783,337 | FNMA, Pool #MA4178, 1.500%, 11/1/35 | 4,807,949 | ||
5,685,593 | FNMA, Pool #MA4269, 2.500%, 2/1/41 | 5,862,819 | ||
Total U.S. Government Mortgage-Backed Obligations | $39,332,376 | |||
Municipal Bonds — 9.0% | ||||
California — 3.5% | ||||
1,000,000 | California Health Facilities Financing Authority, 2.704%, 6/1/30 | 1,037,690 | ||
2,000,000 | California Health Facilities Financing Authority, 2.229%, 6/1/32 | 1,963,808 | ||
1,625,000 | California Municipal Finance Authority, Revenue, 2.519%, 10/1/35 | 1,520,062 |
Principal Amount | Market Value | |||
California — (Continued) | ||||
$ 1,465,000 | City of San Francisco Public Utilities Commission Water Revenue, Build America Bonds, 6.950%, 11/1/50 | $ 2,351,257 | ||
2,345,000 | East Bay Municipal Utility District Water System Revenue, Build America Bonds Sub, 5.874%, 6/1/40 | 3,223,682 | ||
2,700,000 | Los Angeles Unified School District, Build America Bonds Ser RY, UTGO, 6.758%, 7/1/34 | 3,813,807 | ||
13,910,306 | ||||
Texas — 1.4% | ||||
1,770,000 | Dallas Area Rapid Transit, Revenue, Build America Bonds, 5.999%, 12/1/44 | 2,552,311 | ||
2,640,000 | Texas State Transportation Commission Highway Authority, Build America Bonds, 5.178%, 4/1/30 | 3,219,476 | ||
5,771,787 | ||||
Minnesota — 1.0% | ||||
4,000,000 | Minnesota Housing Finance Agency, Revenue, 1.580%, 2/1/51 | 3,919,960 | ||
New York — 0.8% | ||||
1,135,000 | Port Authority of New York & New Jersey, 4.960%, 8/1/46 | 1,461,807 | ||
1,400,000 | Port Authority of New York and New Jersey, Cons One Hundred Sixty-Eight, 4.926%, 10/1/51 | 1,825,661 | ||
3,287,468 | ||||
Nevada — 0.8% | ||||
3,107,724 | Nevada Housing Division, Revenue, 1.900%, 11/1/44 | 3,086,669 | ||
Washington — 0.5% | ||||
1,515,000 | State of Washington, Build America Bonds, UTGO, 5.481%, 8/1/39 | 2,050,491 | ||
Indiana — 0.4% | ||||
1,200,000 | Indianapolis Local Public Improvement Bond Bank, Build America Bonds, 6.116%, 1/15/40 | 1,651,451 | ||
Ohio — 0.3% | ||||
1,105,000 | Ohio State HFA, Revenue, 2.650%, 11/1/41 | 1,130,227 | ||
Louisiana — 0.3% | ||||
1,090,568 | Louisiana Housing Corp., 2.875%, 11/1/38 | 1,127,255 | ||
Total Municipal Bonds | $35,935,614 | |||
U.S. Treasury Obligations — 3.4% | ||||
2,240,000 | U.S. Treasury Bond, 1.875%, 2/15/51 | 1,979,600 | ||
10,429,000 | U.S. Treasury Strip, Principal, 5/15/43(E) | 6,092,199 | ||
5,379,000 | U.S. Treasury Strip, Principal, 5/15/45(E) | 2,952,063 | ||
4,862,000 | U.S. Treasury Strip, Principal, 5/15/48(E) | 2,471,737 | ||
Total U.S. Treasury Obligations | $13,495,599 | |||
Asset-Backed Securities — 1.6% | ||||
1,036,105 | 321 Henderson Receivables I LLC, Ser 2012-1A, Class A, 144a, 4.210%, 2/16/65 | 1,151,685 | ||
962,588 | 321 Henderson Receivables I LLC, Ser 2012-2A, Class A, 144a, 3.840%, 10/15/59 | 1,043,798 | ||
1,277,814 | 321 Henderson Receivables I LLC, Ser 2015-2A, Class A, 144a, 3.870%, 3/15/58 | 1,390,500 | ||
1,000,000 | CF Hippolyta LLC, Ser 2021-1A, Class A1, 144a, 1.530%, 3/15/61 | 996,566 | ||
171,326 | JCP&L Transition Funding II LLC, Ser 2006-A, Class A4, 5.610%, 6/5/23 | 172,419 | ||
1,750,000 | Tesla Auto Lease Trust, Ser 2021-A, Class A2, 144a, 0.360%, 3/20/25 | 1,749,665 | ||
Total Asset-Backed Securities | $6,504,633 |
Principal Amount | Market Value | |||
Non-Agency Collateralized Mortgage Obligations — 0.6% | ||||
$ 641,401 | Virginia Housing Development Authority, Ser 2013-B, Class A, 2.750%, 4/25/42 | $ 655,856 | ||
1,808,934 | Virginia Housing Development Authority, Ser 2019-A, Class A, 2.950%, 10/25/49 | 1,869,786 | ||
Total Non-Agency Collateralized Mortgage Obligations | $2,525,642 | |||
Commercial Mortgage-Backed Securities — 0.0% | ||||
328,479 | CD Mortgage Trust, Ser 2006-CD3, Class AJ, 5.688%, 10/15/48 | 177,194 |
Shares | ||||
Short-Term Investment Fund — 1.9% | ||||
7,721,700 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 7,721,700 | ||
Total Investment Securities—100.3% (Cost $393,703,125) | $402,501,576 | |||
Liabilities in Excess of Other Assets — (0.3%) | (1,017,488) | |||
Net Assets — 100.0% | $401,484,088 |
(A) | Level 3- For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Financial Statements. |
(B) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(C) | Variable rate security - Rate reflected is the rate in effect as of March 31, 2021. |
(D) | 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. |
(E) | Strip Security- Separate trading of Registered Interest and Principal. Holders of a principal strip security are entitled to the portion of the payment representing principal only. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
FREMF – Freddie Mac Multifamily Securitization |
FRESB – Freddie Mac Multifamily Securitization Small Balance Loan |
GNMA – Government National Mortgage Association |
HFA – Housing Finance Authority/Agency |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LP – Limited Partnership |
MTN – Medium Term Note |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
UTGO – Unlimited Tax General Obligation |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities were valued at $36,436,414 or 9.1% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $— | $117,961,487 | $2,333,828 | $120,295,315 |
U.S. Government Agency Obligations | — | 101,455,815 | — | 101,455,815 |
Agency Collateralized Mortgage Obligations | — | 75,057,688 | — | 75,057,688 |
U.S. Government Mortgage-Backed Obligations | — | 39,332,376 | — | 39,332,376 |
Municipal Bonds | — | 35,935,614 | — | 35,935,614 |
U.S. Treasury Obligations | — | 13,495,599 | — | 13,495,599 |
Asset-Backed Securities | — | 6,504,633 | — | 6,504,633 |
Non-Agency Collateralized Mortgage Obligations | — | 2,525,642 | — | 2,525,642 |
Commercial Mortgage-Backed Securities | — | 177,194 | — | 177,194 |
Short-Term Investment Fund | 7,721,700 | — | — | 7,721,700 |
Total | $7,721,700 | $392,446,048 | $2,333,828 | $402,501,576 |
Measurements Using Unobservable Inputs (Level 3) | |
Assets | Corporate Bonds |
Beginning balance, September 30, 2020 | $— |
Transfer into Level 3 | 2,333,828 |
Net realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | — |
Ending balance, March 31, 2021 | $2,333,828 |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at March 31, 2021 | $— |
Corporate Bonds | Fair Value | Valuation Technique | Unobservable Input |
Logistics 1 MI TN VA Senior Notes CTL Pass-Through Trust, 144a, 2.654%, 10/10/42 | $2,333,828 | Cost | N/A |
Shares | Market Value | |||
Common Stocks — 96.2% | ||||
Japan — 14.3% | ||||
Communication Services — 2.3% | ||||
4,800 | KDDI Corp. | $ 147,891 | ||
1,000 | Nintendo Co. Ltd. | 563,636 | ||
Consumer Discretionary — 7.7% | ||||
5,500 | Denso Corp. | 366,653 | ||
74,900 | Panasonic Corp. | 969,914 | ||
10,500 | Sony Group Corp. | 1,111,251 | ||
Industrials — 1.3% | ||||
18,200 | Kubota Corp. | 415,178 | ||
Information Technology — 3.0% | ||||
12,800 | Hitachi Ltd. | 580,203 | ||
400 | Kyocera Corp. | 25,452 | ||
800 | Tokyo Electron, Ltd. | 347,707 | ||
Total Japan | 4,527,885 | |||
Germany — 13.4% | ||||
Consumer Discretionary — 2.4% | ||||
5,861 | Continental AG* | 775,847 | ||
Industrials — 5.0% | ||||
21,827 | Deutsche Post AG | 1,197,448 | ||
3,958 | KION Group AG | 391,073 | ||
Materials — 2.9% | ||||
9,989 | HeidelbergCement AG | 907,580 | ||
Real Estate — 3.1% | ||||
14,794 | Vonovia SE | 966,777 | ||
Total Germany | 4,238,725 | |||
France — 12.7% | ||||
Financials — 3.4% | ||||
31,774 | SCOR SE* | 1,082,317 | ||
Industrials — 7.7% | ||||
20,822 | Cie de Saint-Gobain* | 1,229,571 | ||
7,986 | Schneider Electric SE | 1,216,549 | ||
Materials — 1.6% | ||||
3,111 | Air Liquide SA | 507,952 | ||
Total France | 4,036,389 | |||
Sweden — 9.8% | ||||
Communication Services — 2.3% | ||||
52,425 | Tele2 AB - Class B | 707,211 | ||
Financials — 4.7% | ||||
77,231 | Svenska Handelsbanken AB - Class A | 839,594 | ||
36,940 | Swedbank AB - Class A | 651,321 | ||
Industrials — 2.8% | ||||
39,495 | Epiroc AB | 894,727 | ||
Total Sweden | 3,092,853 | |||
United Kingdom — 5.7% | ||||
Financials — 3.5% | ||||
1,859,495 | Lloyds Banking Group PLC* | 1,090,825 | ||
Industrials — 1.5% | ||||
8,094 | Ashtead Group PLC | 483,177 | ||
Utilities — 0.7% | ||||
17,309 | Pennon Group PLC | 232,594 | ||
Total United Kingdom | 1,806,596 |
Shares | Market Value | |||
Taiwan — 5.3% | ||||
Information Technology — 5.3% | ||||
14,107 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | $ 1,668,576 | ||
Switzerland — 5.1% | ||||
Health Care — 2.6% | ||||
2,579 | Roche Holding AG | 835,450 | ||
Industrials — 2.5% | ||||
25,957 | ABB Ltd. ADR | 790,910 | ||
Total Switzerland | 1,626,360 | |||
South Korea — 4.5% | ||||
Communication Services — 1.8% | ||||
25,507 | KT Corp. ADR* | 317,307 | ||
10,118 | KT Corp. | 253,018 | ||
Financials — 1.9% | ||||
12,283 | KB Financial Group, Inc. | 605,399 | ||
Information Technology — 0.8% | ||||
423 | Samsung SDI Co. Ltd. | 248,734 | ||
Total South Korea | 1,424,458 | |||
China — 4.3% | ||||
Consumer Discretionary — 4.3% | ||||
4,343 | Alibaba Group Holding Ltd. ADR* | 984,688 | ||
17,974 | Shenzhou International Group Holdings Ltd. | 375,954 | ||
Total China | 1,360,642 | |||
Canada — 4.0% | ||||
Financials — 2.5% | ||||
6,417 | Intact Financial Corp. | 786,359 | ||
Materials — 1.5% | ||||
8,068 | Agnico Eagle Mines Ltd. | 466,411 | ||
Total Canada | 1,252,770 | |||
Denmark — 3.6% | ||||
Health Care — 1.0% | ||||
4,423 | Novo Nordisk A/S ADR | 298,199 | ||
Industrials — 0.9% | ||||
1,431 | Vestas Wind Systems A/S | 295,196 | ||
Materials — 1.7% | ||||
8,528 | Novozymes A/S | 545,679 | ||
Total Denmark | 1,139,074 | |||
Italy — 3.5% | ||||
Utilities — 3.5% | ||||
112,211 | Enel SpA | 1,116,203 | ||
Singapore — 3.1% | ||||
Financials — 1.5% | ||||
54,000 | Oversea-Chinese Banking Corp. Ltd. | 472,446 | ||
Real Estate — 1.6% | ||||
320,400 | CapitaLand Integrated Commercial Trust REIT | 518,439 | ||
Total Singapore | 990,885 | |||
India — 3.0% | ||||
Financials — 3.0% | ||||
59,457 | ICICI Bank Ltd. ADR* | 953,096 | ||
Netherlands — 2.4% | ||||
Health Care — 2.4% | ||||
13,070 | Koninklijke Philips NV* | 745,322 |
Shares | Market Value | |||
Common Stocks — 96.2% (Continued) | ||||
Thailand — 1.5% | ||||
Industrials — 1.5% | ||||
219,400 | Airports of Thailand PCL | $ 485,998 | ||
Total Common Stocks | $30,465,832 | |||
Exchange-Traded Funds — 1.3% | ||||
4,338 | iShares Core MSCI EAFE ETF | 312,553 | ||
1,373 | iShares Core MSCI Emerging Markets ETF | 88,366 | ||
Total Exchange-Traded Funds | $400,919 | |||
Short-Term Investment Fund — 1.8% | ||||
563,203 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞,Ω | 563,204 | ||
Total Investment Securities — 99.3% (Cost $23,460,978) | $31,429,955 | |||
Other Assets in Excess of Liabilities — 0.7% | 219,311 | |||
Net Assets — 100.0% | $31,649,266 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
ETF – Exchange-Traded Fund |
PCL – Public Company Limited |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Japan | $— | $4,527,885 | $— | $4,527,885 |
Germany | — | 4,238,725 | — | 4,238,725 |
France | — | 4,036,389 | — | 4,036,389 |
Sweden | — | 3,092,853 | — | 3,092,853 |
United Kingdom | — | 1,806,596 | — | 1,806,596 |
Taiwan | 1,668,576 | — | — | 1,668,576 |
Switzerland | 790,910 | 835,450 | — | 1,626,360 |
South Korea | 317,307 | 1,107,151 | — | 1,424,458 |
China | 984,688 | 375,954 | — | 1,360,642 |
Canada | 1,252,770 | — | — | 1,252,770 |
Denmark | 298,199 | 840,875 | — | 1,139,074 |
Italy | — | 1,116,203 | — | 1,116,203 |
Singapore | — | 990,885 | — | 990,885 |
India | 953,096 | — | — | 953,096 |
Netherlands | — | 745,322 | — | 745,322 |
Thailand | — | 485,998 | — | 485,998 |
Exchange-Traded Funds | 400,919 | — | — | 400,919 |
Short-Term Investment Fund | 563,204 | — | — | 563,204 |
Total | $7,229,669 | $24,200,286 | $— | $31,429,955 |
Shares | Market Value | |||
Common Stocks — 94.9% | ||||
Industrials — 22.7% | ||||
2,638,405 | Allison Transmission Holdings, Inc. | $ 107,726,076 | ||
1,858,761 | Armstrong World Industries, Inc. | 167,455,778 | ||
305,376 | Cintas Corp. | 104,227,883 | ||
1,813,908 | Copart, Inc. * | 197,008,548 | ||
778,542 | Old Dominion Freight Line, Inc. | 187,169,282 | ||
2,306,513 | Otis Worldwide Corp. | 157,880,815 | ||
1,843,310 | Sensata Technologies Holding PLC* | 106,819,814 | ||
479,884 | UniFirst Corp. | 107,354,850 | ||
1,135,643,046 | ||||
Information Technology — 21.8% | ||||
1,634,442 | Amphenol Corp. - Class A | 107,824,139 | ||
1,951,619 | Black Knight, Inc.* | 144,400,290 | ||
1,487,213 | CDK Global, Inc. | 80,398,735 | ||
1,232,911 | Citrix Systems, Inc. | 173,051,388 | ||
2,860,893 | Entegris, Inc. | 319,847,837 | ||
1,420,763 | Skyworks Solutions, Inc. | 260,681,595 | ||
1,086,203,984 | ||||
Financials — 12.5% | ||||
216,399 | Alleghany Corp.* | 135,528,530 | ||
1,818,249 | Cincinnati Financial Corp. | 187,443,290 | ||
1,002,907 | M&T Bank Corp. | 152,050,730 | ||
2,706,974 | Moelis & Co. - Class A | 148,558,733 | ||
623,581,283 | ||||
Materials — 10.3% | ||||
768,947 | AptarGroup, Inc. | 108,936,721 | ||
941,226 | Ball Corp. | 79,759,491 | ||
337,197 | NewMarket Corp. | 128,188,812 | ||
1,166,692 | Vulcan Materials Co. | 196,879,275 | ||
513,764,299 | ||||
Consumer Discretionary — 9.5% | ||||
1,638,349 | CarMax, Inc.* | 217,343,378 | ||
1,374,290 | Dollar Tree, Inc.* | 157,301,234 | ||
1,059,360 | Hasbro, Inc. | 101,825,683 | ||
476,470,295 | ||||
Consumer Staples — 9.0% | ||||
1,499,939 | Brown-Forman Corp. - Class B | 103,450,793 | ||
1,820,775 | Lamb Weston Holdings, Inc. | 141,073,647 | ||
1,914,948 | Post Holdings, Inc.* | 202,448,302 | ||
446,972,742 |
Shares | Market Value | |||
Health Care — 6.6% | ||||
798,681 | Haemonetics Corp.* | $ 88,661,578 | ||
2,470,972 | Perrigo Co. PLC | 100,000,237 | ||
737,180 | STERIS PLC | 140,418,046 | ||
329,079,861 | ||||
Real Estate — 2.5% | ||||
3,792,102 | STORE Capital Corp. REIT | 127,035,417 | ||
Total Common Stocks | $4,738,750,927 | |||
Short-Term Investment Fund — 5.1% | ||||
253,030,610 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 253,030,610 | ||
Total Investment Securities—100.0% (Cost $3,833,717,659) | $4,991,781,537 | |||
Liabilities in Excess of Other Assets — (0.0%) | (981,779) | |||
Net Assets — 100.0% | $4,990,799,758 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $4,738,750,927 | $— | $— | $4,738,750,927 |
Short-Term Investment Fund | 253,030,610 | — | — | 253,030,610 |
Total | $4,991,781,537 | $— | $— | $4,991,781,537 |
Shares | Market Value | |||
Common Stocks — 97.0% | ||||
Financials — 16.0% | ||||
253,250 | American International Group, Inc. | $ 11,702,683 | ||
74,941 | Ameriprise Financial, Inc. | 17,420,035 | ||
377,455 | Arch Capital Group Ltd.* | 14,482,948 | ||
309,903 | Chimera Investment Corp. REIT | 3,935,768 | ||
189,752 | Hartford Financial Services Group, Inc. (The) | 12,673,536 | ||
58,779 | M&T Bank Corp. | 8,911,484 | ||
266,155 | PacWest Bancorp | 10,153,813 | ||
165,178 | Pinnacle Financial Partners, Inc. | 14,644,682 | ||
147,405 | Reinsurance Group of America, Inc. | 18,580,400 | ||
65,599 | Signature Bank | 14,831,934 | ||
511,984 | Sterling Bancorp. | 11,785,872 | ||
139,123,155 | ||||
Industrials — 13.2% | ||||
187,760 | AerCap Holdings N.V. (Ireland)* | 11,029,022 | ||
184,534 | Clean Harbors, Inc. * | 15,511,928 | ||
99,451 | Dover Corp. | 13,637,716 | ||
186,147 | Hexcel Corp. | 10,424,232 | ||
27,100 | Huntington Ingalls Industries, Inc. | 5,578,535 | ||
34,520 | Parker-Hannifin Corp. | 10,888,643 | ||
151,148 | Regal-Beloit Corp. | 21,565,797 | ||
55,489 | Snap-on, Inc. | 12,803,532 | ||
166,543 | Westinghouse Air Brake Technologies Corp. | 13,183,544 | ||
114,622,949 | ||||
Consumer Staples — 12.2% | ||||
42,585 | Constellation Brands, Inc. - Class A | 9,709,380 | ||
237,207 | Darling Ingredients, Inc.* | 17,453,691 | ||
203,890 | Hain Celestial Group, Inc. (The)* | 8,889,604 | ||
207,439 | Ingredion, Inc. | 18,652,915 | ||
128,722 | Lamb Weston Holdings, Inc. | 9,973,380 | ||
357,453 | TreeHouse Foods, Inc.* | 18,673,345 | ||
296,514 | Tyson Foods, Inc. - Class A | 22,030,990 | ||
105,383,305 | ||||
Consumer Discretionary — 11.6% | ||||
7,098 | AutoZone, Inc.* | 9,967,721 | ||
306,480 | BorgWarner, Inc. | 14,208,413 | ||
83,880 | Carter's, Inc. | 7,459,448 | ||
136,444 | Columbia Sportswear Co. | 14,412,580 | ||
33,229 | Dollar General Corp. | 6,732,860 | ||
124,528 | Dollar Tree, Inc.* | 14,253,475 | ||
107,108 | Hasbro, Inc. | 10,295,221 | ||
544,568 | LKQ Corp.* | 23,051,564 | ||
100,381,282 | ||||
Health Care — 10.3% | ||||
52,908 | AmerisourceBergen Corp. | 6,246,848 | ||
344,871 | Centene Corp.* | 22,040,706 | ||
35,488 | Charles River Laboratories International, Inc.* | 10,285,487 | ||
176,469 | Encompass Health Corp. | 14,452,811 | ||
313,823 | Envista Holdings Corp.* | 12,803,978 | ||
50,006 | Laboratory Corp. of America Holdings* | 12,753,030 | ||
65,168 | Zimmer Biomet Holdings, Inc. | 10,432,093 | ||
89,014,953 | ||||
Utilities — 10.2% | ||||
701,034 | CenterPoint Energy, Inc. | 15,878,420 | ||
101,945 | DTE Energy Co. | 13,572,957 | ||
177,712 | Entergy Corp. | 17,677,013 | ||
218,085 | Evergy, Inc. | 12,982,600 | ||
496,176 | NiSource, Inc. | 11,962,803 |
Shares | Market Value | |||
Utilities — (Continued) | ||||
88,718 | Pinnacle West Capital Corp. | $ 7,217,209 | ||
126,787 | Spire, Inc. | 9,368,292 | ||
88,659,294 | ||||
Information Technology — 7.1% | ||||
128,224 | Akamai Technologies, Inc.* | 13,066,026 | ||
112,269 | Leidos Holdings, Inc. | 10,809,259 | ||
83,792 | PTC, Inc.* | 11,533,969 | ||
83,052 | Qorvo, Inc.* | 15,173,600 | ||
451,024 | Rackspace Technology, Inc.* | 10,725,351 | ||
61,308,205 | ||||
Real Estate — 6.6% | ||||
87,105 | Alexandria Real Estate Equities, Inc. REIT | 14,311,351 | ||
230,022 | American Campus Communities, Inc. REIT | 9,930,050 | ||
76,782 | Boston Properties, Inc. REIT | 7,774,945 | ||
55,489 | Digital Realty Trust, Inc. REIT | 7,815,071 | ||
39,909 | Essex Property Trust, Inc. REIT | 10,848,863 | ||
405,523 | Host Hotels & Resorts, Inc. REIT | 6,833,063 | ||
57,513,343 | ||||
Materials — 6.1% | ||||
240,991 | Berry Global Group, Inc.* | 14,796,848 | ||
100,977 | FMC Corp. | 11,169,066 | ||
557,473 | Livent Corp.* | 9,655,432 | ||
193,889 | Olin Corp. | 7,361,965 | ||
391,650 | Valvoline, Inc. | 10,210,316 | ||
53,193,627 | ||||
Energy — 3.7% | ||||
120,657 | Cimarex Energy Co. | 7,165,819 | ||
97,107 | Pioneer Natural Resources | 15,422,534 | ||
127,109 | Valero Energy Corp. | 9,101,004 | ||
31,689,357 | ||||
Total Common Stocks | $840,889,470 | |||
Short-Term Investment Fund — 1.3% | ||||
11,229,147 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 11,229,147 | ||
Total Investment Securities—98.3% (Cost $610,389,169) | $852,118,617 | |||
Other Assets in Excess of Liabilities — 1.7% | 14,984,525 | |||
Net Assets — 100.0% | $867,103,142 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $840,889,470 | $— | $— | $840,889,470 |
Short-Term Investment Fund | 11,229,147 | — | — | 11,229,147 |
Total | $852,118,617 | $— | $— | $852,118,617 |
Shares | Market Value | |||
Common Stocks — 97.0% | ||||
Information Technology — 33.6% | ||||
490,762 | Atlassian Corp. PLC - Class A* | $ 103,432,999 | ||
265,673 | Coupa Software, Inc.* | 67,608,465 | ||
404,076 | Intuit, Inc. | 154,785,353 | ||
538,165 | ServiceNow, Inc.* | 269,141,698 | ||
84,462 | Shopify, Inc. (Canada) - Class A* | 93,457,203 | ||
370,406 | Snowflake, Inc. - Class A* | 84,926,688 | ||
1,557,419 | Square, Inc. - Class A* | 353,611,984 | ||
673,562 | Twilio, Inc. - Class A* | 229,522,987 | ||
1,521,169 | Visa, Inc. - Class A | 322,077,112 | ||
1,678,564,489 | ||||
Communication Services — 33.1% | ||||
208,389 | Charter Communications, Inc. - Class A* | 128,580,181 | ||
679,262 | Facebook, Inc. - Class A* | 200,063,037 | ||
1,704,176 | Match Group, Inc.* | 234,119,699 | ||
715,393 | Netflix, Inc.* | 373,191,912 | ||
2,155,887 | Sea Ltd. (Taiwan) ADR* | 481,258,655 | ||
3,143,202 | Warner Music Group Corp. - Class A | 107,906,125 | ||
976,541 | Zillow Group, Inc. - Class C* | 126,598,775 | ||
1,651,718,384 | ||||
Health Care — 11.6% | ||||
308,532 | Align Technology, Inc.* | 167,079,334 | ||
220,391 | DexCom, Inc.* | 79,206,321 | ||
936,953 | Edwards Lifesciences Corp.* | 78,366,749 | ||
276,186 | Illumina, Inc.* | 106,071,995 | ||
656,760 | Sarepta Therapeutics, Inc.* | 48,948,323 | ||
627,435 | Zoetis, Inc. | 98,808,464 | ||
578,481,186 | ||||
Consumer Discretionary — 10.1% | ||||
287,150 | Airbnb, Inc. - Class A* | 53,966,971 | ||
64,677 | Amazon.com, Inc.* | 200,115,812 | ||
366,521 | DoorDash, Inc. - Class A*† | 48,061,899 | ||
370,942 | Fiverr International Ltd. (Israel)* | 80,561,183 | ||
1,287,141 | Floor & Decor Holdings, Inc. - Class A* | 122,896,223 | ||
505,602,088 | ||||
Industrials — 7.3% | ||||
156,183 | CoStar Group, Inc.* | 128,365,246 | ||
4,375,078 | Uber Technologies, Inc.* | 238,485,502 | ||
366,850,748 |
Shares | Market Value | |||
Consumer Staples — 1.3% | ||||
1,786,912 | Grocery Outlet Holding Corp.* | $ 65,919,184 | ||
Total Common Stocks | $4,847,136,079 | |||
Short-Term Investment Funds — 3.9% | ||||
150,022,004 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 150,022,004 | ||
43,620,534 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 43,620,534 | ||
Total Short-Term Investment Funds | $193,642,538 | |||
Total Investment Securities—100.9% (Cost $2,544,070,210) | $5,040,778,617 | |||
Liabilities in Excess of Other Assets — (0.9%) | (43,629,842) | |||
Net Assets — 100.0% | $4,997,148,775 |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2021 was $42,931,700. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $4,847,136,079 | $— | $— | $4,847,136,079 |
Short-Term Investment Funds | 193,642,538 | — | — | 193,642,538 |
Total | $5,040,778,617 | $— | $— | $5,040,778,617 |
Shares | Market Value | |||
Common Stocks — 94.7% | ||||
Industrials — 25.7% | ||||
32,679 | Armstrong World Industries, Inc. | $ 2,944,051 | ||
19,634 | GATX Corp. | 1,820,857 | ||
46,526 | Kaman Corp. | 2,386,319 | ||
37,014 | Landstar System, Inc. | 6,109,531 | ||
26,459 | ManTech International Corp. - Class A | 2,300,610 | ||
32,135 | Masonite International Corp. * | 3,703,237 | ||
44,216 | Matson, Inc. | 2,949,207 | ||
11,618 | UniFirst Corp. | 2,599,063 | ||
24,812,875 | ||||
Consumer Discretionary — 18.1% | ||||
16,656 | Churchill Downs, Inc. | 3,787,907 | ||
3,502 | Graham Holdings Co. - Class B | 1,969,665 | ||
58,686 | Penske Automotive Group, Inc. | 4,708,965 | ||
190,375 | Tempur Sealy International, Inc. | 6,960,110 | ||
17,426,647 | ||||
Financials — 14.7% | ||||
66,701 | Atlantic Union Bankshares Corp. | 2,558,650 | ||
85,035 | Cannae Holdings, Inc.* | 3,369,087 | ||
78,325 | Moelis & Co. - Class A | 4,298,476 | ||
3,562 | White Mountains Insurance Group Ltd. | 3,971,274 | ||
14,197,487 | ||||
Materials — 10.7% | ||||
93,478 | GCP Applied Technologies, Inc.* | 2,293,950 | ||
50,940 | Ingevity Corp.* | 3,847,498 | ||
9,542 | NewMarket Corp. | 3,627,487 | ||
39,535 | Tredegar Corp. | 593,420 | ||
10,362,355 | ||||
Real Estate — 7.6% | ||||
114,975 | Alexander & Baldwin, Inc. REIT | 1,930,430 | ||
64,092 | First Industrial Realty Trust, Inc. REIT | 2,934,773 | ||
58,796 | STORE Capital Corp. REIT | 1,969,666 | ||
30,538 | Tejon Ranch Co.* | 511,206 | ||
7,346,075 | ||||
Health Care — 6.4% | ||||
20,032 | Bruker Corp. | 1,287,657 | ||
23,580 | Haemonetics Corp.* | 2,617,616 | ||
31,288 | LivaNova PLC* | 2,306,864 | ||
6,212,137 |
Shares | Market Value | |||
Information Technology — 5.7% | ||||
74,383 | ACI Worldwide, Inc.* | $ 2,830,273 | ||
25,580 | Qualys, Inc.* | 2,680,273 | ||
5,510,546 | ||||
Consumer Staples — 4.4% | ||||
32,104 | Energizer Holdings, Inc. | 1,523,656 | ||
27,590 | PriceSmart, Inc. | 2,669,332 | ||
4,192,988 | ||||
Energy — 1.4% | ||||
40,812 | Dril-Quip, Inc. * | 1,356,183 | ||
Total Common Stocks | $91,417,293 | |||
Short-Term Investment Fund — 5.4% | ||||
5,179,211 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 5,179,211 | ||
Total Investment Securities—100.1% (Cost $63,858,359) | $96,596,504 | |||
Liabilities in Excess of Other Assets — (0.1%) | (119,129) | |||
Net Assets — 100.0% | $96,477,375 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $91,417,293 | $— | $— | $91,417,293 |
Short-Term Investment Fund | 5,179,211 | — | — | 5,179,211 |
Total | $96,596,504 | $— | $— | $96,596,504 |
Shares | Market Value | |||
Common Stocks — 97.2% | ||||
Financials — 23.0% | ||||
35,615 | Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | $ 1,361,205 | ||
39,919 | BankUnited, Inc. | 1,754,440 | ||
3,150 | Blackstone Mortgage Trust, Inc. - Class A REIT | 97,650 | ||
29,119 | Chimera Investment Corp. REIT | 369,811 | ||
24,373 | Dynex Capital, Inc. REIT | 461,381 | ||
117,691 | FNB Corp. | 1,494,676 | ||
9,322 | Hanover Insurance Group, Inc. (The) | 1,206,826 | ||
8,275 | Kemper Corp. | 659,683 | ||
100,601 | MGIC Investment Corp. | 1,393,324 | ||
26,784 | PacWest Bancorp | 1,021,810 | ||
21,831 | Pinnacle Financial Partners, Inc. | 1,935,536 | ||
72,770 | Sterling Bancorp. | 1,675,165 | ||
73,418 | Umpqua Holdings Corp. | 1,288,486 | ||
27,096 | Univest Financial Corp. | 774,675 | ||
18,159 | Western Alliance Bancorp | 1,714,936 | ||
17,209,604 | ||||
Industrials — 22.3% | ||||
18,388 | Altra Industrial Motion Corp. | 1,017,224 | ||
14,927 | BWX Technologies, Inc. | 984,286 | ||
3,389 | CACI International, Inc. - Class A* | 835,931 | ||
13,718 | CIRCOR International, Inc. * | 477,661 | ||
13,606 | Clean Harbors, Inc. * | 1,143,720 | ||
4,806 | EMCOR Group, Inc. | 539,041 | ||
20,092 | Enerpac Tool Group Corp. | 524,803 | ||
8,942 | EnPro Industries, Inc. | 762,484 | ||
31,421 | Harsco Corp.* | 538,870 | ||
13,108 | Hexcel Corp. | 734,048 | ||
8,707 | Hillenbrand, Inc. | 415,411 | ||
14,337 | Huron Consulting Group, Inc.* | 722,298 | ||
14,868 | ITT, Inc. | 1,351,650 | ||
16,110 | Kelly Services, Inc. - Class A | 358,770 | ||
19,729 | Korn/Ferry International | 1,230,498 | ||
9,794 | Masonite International Corp. * | 1,128,661 | ||
10,601 | Regal-Beloit Corp. | 1,512,551 | ||
11,246 | Rexnord Corp. | 529,574 | ||
6,708 | SPX FLOW, Inc. | 424,818 | ||
8,832 | Standex International Corp. | 844,074 | ||
47,678 | Team, Inc.* | 549,727 | ||
16,626,100 | ||||
Consumer Staples — 8.5% | ||||
11,446 | Cal-Maine Foods, Inc.* | 439,755 | ||
8,968 | Energizer Holdings, Inc. | 425,621 | ||
8,637 | Hain Celestial Group, Inc. (The)* | 376,573 | ||
49,016 | Hostess Brands, Inc.* | 702,890 | ||
13,795 | Ingredion, Inc. | 1,240,446 | ||
8,738 | MGP Ingredients, Inc. | 516,853 | ||
4,448 | Sanderson Farms, Inc. | 692,909 | ||
5,415 | Spectrum Brands Holdings, Inc. | 460,275 | ||
28,623 | TreeHouse Foods, Inc.* | 1,495,266 | ||
6,350,588 | ||||
Materials — 8.0% | ||||
10,038 | Cabot Corp. | 526,393 | ||
6,835 | Ingevity Corp.* | 516,248 | ||
5,802 | Innospec, Inc. | 595,807 | ||
42,494 | Livent Corp.* | 735,996 | ||
49,285 | O-I Glass, Inc. | 726,461 | ||
16,790 | Olin Corp. | 637,516 | ||
12,549 | Silgan Holdings, Inc. | 527,434 |
Shares | Market Value | |||
Materials — (Continued) | ||||
29,994 | Valvoline, Inc. | $ 781,944 | ||
15,452 | WR Grace & Co. | 924,957 | ||
5,972,756 | ||||
Consumer Discretionary — 7.9% | ||||
28,260 | American Eagle Outfitters, Inc. | 826,322 | ||
13,059 | Callaway Golf Co. | 349,328 | ||
4,150 | Carter's, Inc. | 369,060 | ||
31,419 | Goodyear Tire & Rubber Co. (The)* | 552,032 | ||
9,231 | Murphy USA, Inc. | 1,334,433 | ||
6,980 | Oxford Industries, Inc. | 610,192 | ||
14,596 | Steven Madden Ltd. | 543,847 | ||
3,360 | Texas Roadhouse, Inc. | 322,358 | ||
11,284 | Urban Outfitters, Inc.* | 419,652 | ||
17,414 | Vista Outdoor, Inc.* | 558,467 | ||
5,885,691 | ||||
Information Technology — 7.2% | ||||
6,022 | Belden, Inc. | 267,196 | ||
7,701 | ExlService Holdings, Inc.* | 694,322 | ||
84,277 | Harmonic, Inc.* | 660,732 | ||
10,163 | MACOM Technology Solutions Holdings, Inc.* | 589,657 | ||
34,822 | Rackspace Technology, Inc.*† | 828,067 | ||
6,187 | Rogers Corp.* | 1,164,456 | ||
72,850 | Viavi Solutions, Inc.* | 1,143,745 | ||
5,348,175 | ||||
Utilities — 5.9% | ||||
11,371 | Black Hills Corp. | 759,242 | ||
9,151 | IDACORP, Inc. | 914,826 | ||
44,722 | Portland General Electric Co. | 2,122,953 | ||
8,269 | Spire, Inc. | 610,996 | ||
4,408,017 | ||||
Health Care — 4.7% | ||||
26,891 | Envista Holdings Corp.* | 1,097,153 | ||
12,357 | Integra LifeSciences Holdings Corp.* | 853,745 | ||
9,470 | NuVasive, Inc.* | 620,853 | ||
21,029 | Prestige Consumer Healthcare, Inc.* | 926,958 | ||
3,498,709 | ||||
Real Estate — 4.4% | ||||
16,210 | American Campus Communities, Inc. REIT | 699,786 | ||
41,706 | Columbia Property Trust, Inc. REIT | 713,173 | ||
18,832 | Corporate Office Properties Trust REIT | 495,846 | ||
40,633 | Lexington Realty Trust REIT | 451,433 | ||
96,596 | Newmark Group, Inc. - Class A | 966,443 | ||
3,326,681 | ||||
Energy — 3.2% | ||||
26,237 | Cactus, Inc. - Class A | 803,377 | ||
6,236 | DMC Global, Inc. | 338,365 | ||
17,907 | Helmerich & Payne, Inc. | 482,773 | ||
18,489 | PDC Energy, Inc.* | 636,022 | ||
23,988 | Select Energy Services, Inc. - Class A* | 119,460 | ||
2,379,997 | ||||
Communication Services — 2.1% | ||||
6,780 | Cogent Communications Holdings, Inc. | 466,193 | ||
57,151 | TEGNA, Inc. | 1,076,153 | ||
1,542,346 | ||||
Total Common Stocks | $72,548,664 | |||
Exchange-Traded Fund — 1.5% | ||||
6,910 | iShares Russell 2000 Value ETF | 1,101,937 |
Shares | Market Value | |||
Short-Term Investment Funds — 1.8% | ||||
555,358 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | $ 555,358 | ||
827,352 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 827,352 | ||
Total Short-Term Investment Funds | $1,382,710 | |||
Total Investment Securities—100.5% (Cost $54,687,440) | $75,033,311 | |||
Liabilities in Excess of Other Assets — (0.5%) | (378,076) | |||
Net Assets — 100.0% | $74,655,235 |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of March 31, 2021 was $819,768. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
ETF – Exchange-Traded Fund |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $72,548,664 | $— | $— | $72,548,664 |
Exchange-Traded Fund | 1,101,937 | — | — | 1,101,937 |
Short-Term Investment Funds | 1,382,710 | — | — | 1,382,710 |
Total | $75,033,311 | $— | $— | $75,033,311 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 42.7% | ||||
$ 712,853 | Accredited Mortgage Loan Trust, Ser 2005-1, Class M1, (1M LIBOR +0.705%), 0.814%, 4/25/35(A) | $ 712,961 | ||
1,298,840 | Aegis Asset Backed Securities Trust Mortgage Pass-Through Certificate, Ser 2005-4, Class M1, (1M LIBOR +0.675%), 0.784%, 10/25/35(A) | 1,297,594 | ||
7,250,000 | AGL CLO 6 Ltd. (Cayman Islands), Ser 2020-6A, Class A1, 144a, (3M LIBOR +1.950%), 2.174%, 7/20/31(A) | 7,276,064 | ||
3,640,000 | American Credit Acceptance Receivables Trust, 144a, 3.170%, 6/12/25 | 3,688,031 | ||
1,975,557 | American Credit Acceptance Receivables Trust, Ser 2018-1, Class D, 144a, 3.930%, 4/10/24 | 1,998,147 | ||
21,723 | American Credit Acceptance Receivables Trust, Ser 2018-2, Class C, 144a, 3.700%, 7/10/24 | 21,741 | ||
1,842,919 | American Credit Acceptance Receivables Trust, Ser 2019-3, Class B, 144a, 2.590%, 8/14/23 | 1,846,844 | ||
4,672,915 | American Credit Acceptance Receivables Trust, Ser 2020-3, Class A, 144a, 0.620%, 10/13/23 | 4,677,133 | ||
6,502,566 | American Credit Acceptance Receivables Trust, Ser 2020-4, Class A, 144a, 0.530%, 3/13/24 | 6,505,759 | ||
5,102,080 | American Credit Acceptance Receivables Trust, Ser 2021-1, Class A, 144a, 0.350%, 5/13/24 | 5,102,495 | ||
3,725,000 | AmeriCredit Automobile Receivables Trust, Ser 2016-4, Class D, 2.740%, 12/8/22 | 3,739,581 | ||
5,812,000 | AmeriCredit Automobile Receivables Trust, Ser 2017-2, Class D, 3.420%, 4/18/23 | 5,935,815 | ||
11,546,493 | AmeriCredit Automobile Receivables Trust, Ser 2017-3, Class C, 2.690%, 6/19/23 | 11,655,503 | ||
1,068,230 | AmeriCredit Automobile Receivables Trust, Ser 2017-4, Class B, 2.360%, 12/19/22 | 1,070,431 | ||
3,000,000 | Avery Point IV CLO Ltd. (Cayman Islands), Ser 2014-1A, Class BR, 144a, (3M LIBOR +1.600%), 1.818%, 4/25/26(A) | 3,000,942 | ||
970,612 | Avid Automobile Receivables Trust, Ser 2019-1, Class A, 144a, 2.620%, 2/15/24 | 977,886 | ||
6,048,000 | BDS Ltd. (Cayman Islands), Ser 2020-FL5, Class B, 144a, (1M LIBOR +1.800%), 1.908%, 2/16/37(A) | 6,044,240 | ||
9,830,049 | BSPRT Issuer Ltd. (Cayman Islands), Ser 2018-FL4, Class A, 144a, (1M LIBOR +1.050%), 1.156%, 9/15/35(A) | 9,833,044 | ||
7,590,000 | Cedar Funding II CLO Ltd. (Cayman Islands), Ser 2013-1A, Class AFR, 144a, 3.020%, 6/9/30 | 7,613,468 | ||
4,213,395 | CIFC Funding Ltd. (Cayman Islands), Ser 2012-2RA, Class A1, 144a, (3M LIBOR +0.800%), 1.024%, 1/20/28(A) | 4,208,419 | ||
4,232,997 | CPS Auto Receivables Trust, Ser 2018-D, Class C, 144a, 3.830%, 9/15/23 | 4,278,947 | ||
2,345,000 | CPS Auto Receivables Trust, Ser 2019-A, Class C, 144a, 3.890%, 12/16/24 | 2,386,777 | ||
2,627,985 | CPS Auto Receivables Trust, Ser 2019-C, Class B, 144a, 2.630%, 8/15/23 | 2,640,219 | ||
7,425,686 | CPS Auto Receivables Trust, Ser 2020-C, Class A, 144a, 0.630%, 3/15/24 | 7,433,520 | ||
4,256,049 | CPS Auto Trust, Ser 2016-D, Class D, 144a, 4.530%, 1/17/23 | 4,287,740 | ||
3,408,908 | Crossroads Asset Trust, Ser 2021-A, Class A1, 144a, 0.374%, 12/20/21 | 3,409,136 | ||
5,090,000 | Crossroads Asset Trust, Ser 2021-A, Class A2, 144a, 0.820%, 3/20/24 | 5,089,298 | ||
4,555,000 | Dell Equipment Finance Trust, Ser 2018-1, Class D, 144a, 3.850%, 6/24/24 | 4,573,612 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 42.7% (Continued) | ||||
$ 12,532,400 | Domino's Pizza Master Issuer LLC, Ser 2017-1A, Class A2I, 144a, (3M LIBOR +1.250%), 1.468%, 7/25/47(A) | $ 12,531,648 | ||
3,366,417 | Drive Auto Receivables Trust, Ser 2016-CA, Class D, 144a, 4.180%, 3/15/24 | 3,380,460 | ||
3,683,585 | Drive Auto Receivables Trust, Ser 2017-3, Class D, 144a, 3.530%, 12/15/23 | 3,732,452 | ||
11,381,019 | Drive Auto Receivables Trust, Ser 2017-BA, Class E, 144a, 5.300%, 7/15/24 | 11,440,530 | ||
8,553,532 | Drive Auto Receivables Trust, Ser 2018-2, Class D, 4.140%, 8/15/24 | 8,763,046 | ||
5,116,331 | DT Auto Owner Trust, Ser 2017-2A, Class E, 144a, 6.030%, 1/15/24 | 5,173,690 | ||
538,569 | DT Auto Owner Trust, Ser 2017-3A, Class D, 144a, 3.580%, 5/15/23 | 539,670 | ||
5,678,632 | DT Auto Owner Trust, Ser 2018-1A, Class D, 144a, 3.810%, 12/15/23 | 5,734,173 | ||
62,955 | DT Auto Owner Trust, Ser 2018-2A, Class C, 144a, 3.670%, 3/15/24 | 63,033 | ||
3,028,222 | DT Auto Owner Trust, Ser 2018-3A, Class C, 144a, 3.790%, 7/15/24 | 3,051,756 | ||
7,907,000 | DT Auto Owner Trust, Ser 2019-1A, Class C, 144a, 3.610%, 11/15/24 | 8,003,813 | ||
2,724,935 | DT Auto Owner Trust, Ser 2020-2A, Class A, 144a, 1.140%, 1/16/24 | 2,734,867 | ||
5,453,024 | DT Auto Owner Trust, Ser 2020-3A, Class A, 144a, 0.540%, 4/15/24 | 5,459,777 | ||
3,335,675 | DT Auto Owner Trust, Ser 2021-1A, Class A, 144a, 0.350%, 1/15/25 | 3,335,823 | ||
124,427 | Elara HGV Timeshare Issuer LLC, Ser 2014-A, Class A, 144a, 2.530%, 2/25/27 | 124,505 | ||
3,074,239 | Elara HGV Timeshare Issuer LLC, Ser 2016-A, Class A, 144a, 2.730%, 4/25/28 | 3,136,405 | ||
2,077,052 | Exeter Automobile Receivables Trust, Ser 2018-4A, Class C, 144a, 3.970%, 9/15/23 | 2,094,939 | ||
2,339,845 | Exeter Automobile Receivables Trust, Ser 2020-2A, Class A, 144a, 1.130%, 8/15/23 | 2,344,834 | ||
7,229,880 | Exeter Automobile Receivables Trust, Ser 2020-3A, Class A2, 0.460%, 10/17/22 | 7,232,049 | ||
951,142 | First Frankin Mortgage Loan Trust, Ser 2006-FF3, Class A2B, (1M LIBOR +0.400%), 0.509%, 2/25/36(A) | 950,592 | ||
4,181,155 | Flagship Credit Auto Trust, 144a, 2.910%, 9/15/23 | 4,215,413 | ||
4,739,565 | Flagship Credit Auto Trust, Ser 2016-3, Class D, 144a, 3.890%, 11/15/22 | 4,787,466 | ||
4,972,993 | Flagship Credit Auto Trust, Ser 2016-4, Class D, 144a, 3.890%, 11/15/22 | 5,032,165 | ||
3,670,788 | Flagship Credit Auto Trust, Ser 2017-1, Class D, 144a, 4.230%, 5/15/23 | 3,728,513 | ||
1,016,211 | Flagship Credit Auto Trust, Ser 2018-2, Class B, 144a, 3.560%, 5/15/23 | 1,023,502 | ||
1,125,000 | Flagship Credit Auto Trust, Ser 2018-3, Class B, 144a, 3.590%, 12/16/24 | 1,137,479 | ||
383,934 | Flagship Credit Auto Trust, Ser 2018-4, Class A, 144a, 3.410%, 5/15/23 | 385,794 | ||
3,580,573 | Flagship Credit Auto Trust, Ser 2019-3, Class A, 144a, 2.330%, 2/15/24 | 3,617,010 | ||
2,075,413 | Flatiron CLO Ltd. (Cayman Islands), Ser 2015-1A, Class AR, 144a, (3M LIBOR +0.890%), 1.131%, 4/15/27(A) | 2,075,575 | ||
4,165,538 | FNA VI LLC, Ser 2021-1A, Class A, 144a, 1.350%, 1/10/32 | 4,158,699 | ||
142,031 | FNMA REMIC Trust, Ser 2001-W4, Class AF5, 5.614%, 2/25/32(A)(B) | 170,360 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 42.7% (Continued) | ||||
$ 26,556 | GLS Auto Receivables Issuer Trust, Ser 2019-1A, Class A, 144a, 3.370%, 1/17/23 | $ 26,585 | ||
712,727 | GLS Auto Receivables Issuer Trust, Ser 2019-2A, Class A, 144a, 3.060%, 4/17/23 | 715,217 | ||
1,796,337 | GLS Auto Receivables Issuer Trust, Ser 2019-3A, Class A, 144a, 2.580%, 7/17/23 | 1,807,162 | ||
2,516,270 | GLS Auto Receivables Issuer Trust, Ser 2019-4A, Class A, 144a, 2.470%, 11/15/23 | 2,537,034 | ||
2,412,277 | GLS Auto Receivables Issuer Trust, Ser 2020-1A, Class A, 144a, 2.170%, 2/15/24 | 2,432,360 | ||
4,159,710 | GLS Auto Receivables Issuer Trust, Ser 2020-4A, Class A, 144a, 0.520%, 2/15/24 | 4,161,408 | ||
2,475,515 | GLS Auto Receivables Trust, Ser 2018-3A, Class B, 144a, 3.780%, 8/15/23 | 2,505,552 | ||
2,221,091 | Grand Avenue CRE, Ser 2019-FL1, Class A, 144a, (1M LIBOR +1.120%), 1.226%, 6/15/37(A) | 2,221,108 | ||
1,341,559 | Home Equity Asset Trust, Ser 2005-3, Class M4, (1M LIBOR +0.640%), 1.069%, 8/25/35(A) | 1,342,448 | ||
695,173 | Home Equity Asset Trust, Ser 2005-8, Class M1, (1M LIBOR +0.430%), 0.754%, 2/25/36(A) | 694,474 | ||
3,174,983 | Magnetite XVI Ltd. (Cayman Islands), Ser 2015-16A, Class AR, 144a, (3M LIBOR +0.800%), 1.023%, 1/18/28(A) | 3,171,542 | ||
465,629 | Mid-State Capital Trust, Ser 2010-1, Class M, 144a, 5.250%, 12/15/45 | 477,901 | ||
2,521,378 | Mill City Mortgage Loan Trust, Ser 2017-1, Class A1, 144a, 2.750%, 11/25/58(A)(B) | 2,549,220 | ||
271,145 | New Century Home Equity Loan Trust, Ser 2005-B, Class A2D, (1M LIBOR +0.800%), 0.909%, 10/25/35(A) | 271,023 | ||
6,550,000 | NMEF Funding LLC, Ser 2021-A, Class A1, 144a, 0.341%, 3/15/22 | 6,542,984 | ||
2,126,129 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2018-4A, Class A1, 144a, (3M LIBOR +0.900%), 1.094%, 11/15/26(A) | 2,126,707 | ||
3,967,571 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2019-1A, Class A1, 144a, (3M LIBOR +1.050%), 1.274%, 4/20/27(A) | 3,968,226 | ||
5,955,736 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2019-3A, Class A1, 144a, (3M LIBOR +0.850%), 1.032%, 8/20/27(A) | 5,956,635 | ||
4,275,968 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2020-1A, Class A1, 144a, (3M LIBOR +1.025%), 0.982%, 2/20/28(A) | 4,273,266 | ||
849,000 | Progress Residential Trust, 144a, 3.017%, 8/17/34 | 854,088 | ||
2,500,000 | Progress Residential Trust, 144a, 3.841%, 8/17/35 | 2,511,995 | ||
14,097,609 | Progress Residential Trust, Ser 2017-SFR1, Class A, 144a, 2.768%, 8/17/34 | 14,183,677 | ||
1,850,000 | Progress Residential Trust, Ser 2017-SFR1, Class C, 144a, 3.316%, 8/17/34 | 1,862,096 | ||
11,480,313 | Progress Residential Trust, Ser 2018-SFR3, Class A, 144a, 3.880%, 10/17/35 | 11,643,832 | ||
512,202 | RAAC Trust, Ser 2006-SP4, Class M1, (1M LIBOR +0.340%), 0.619%, 11/25/36(A) | 511,845 | ||
5,373,389 | RAMP Series Trust, Ser 2006-NC3, Class A3, (1M LIBOR +0.540%), 0.649%, 3/25/36(A) | 5,357,516 | ||
2,640,756 | RAMP Series Trust, Ser 2006-RZ5, Class A3, (1M LIBOR +0.250%), 0.359%, 8/25/46(A) | 2,636,497 | ||
3,863,000 | RAMP Trust, Ser 2005-RS5, Class M4, (1M LIBOR +0.640%), 1.069%, 5/25/35(A) | 3,838,645 | ||
8,711,385 | Santander Consumer Auto Receivables Trust, Ser 2020-BA, Class A2, 144a, 0.380%, 2/15/23 | 8,715,022 | ||
9,300,000 | Santander Drive Auto Receivables Trust, Ser 2017-1, Class E, 144a, 5.050%, 7/15/24 | 9,358,856 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 42.7% (Continued) | ||||
$ 4,900,000 | Santander Drive Auto Receivables Trust, Ser 2017-3, Class E, 4.970%, 1/15/25 | $ 5,033,914 | ||
2,732,000 | Santander Drive Auto Receivables Trust, Ser 2018-1, Class D, 3.320%, 3/15/24 | 2,781,652 | ||
5,609,930 | Santander Drive Auto Receivables Trust, Ser 2020-3, Class A2, 0.460%, 9/15/23 | 5,612,976 | ||
1,383,550 | Sierra Timeshare Receivables Funding LLC, Ser 2016-3A, Class B, 144a, 2.630%, 10/20/33 | 1,388,897 | ||
710,445 | Sierra Timeshare Receivables Funding LLC, Ser 2019-1A, Class B, 144a, 3.420%, 1/20/36 | 733,799 | ||
1,401,396 | Structured Asset Investment Loan Trust, Ser 2005-1, Class M2, 144a, (1M LIBOR +0.720%), 0.829%, 2/25/35(A) | 1,406,817 | ||
5,819,294 | Symphony CLO XIV Ltd. (Cayman Islands), Ser 2014-14A, Class AR, 144a, (3M LIBOR +0.950%), 1.184%, 7/14/26(A) | 5,819,533 | ||
3,750,000 | TICP CLO I Ltd. (Cayman Islands), Ser 2015-1A, Class BR, 144a, (3M LIBOR +1.300%), 1.524%, 7/20/27(A) | 3,739,102 | ||
100,071 | TLF National Tax Lien Trust, Ser 2017-1A, Class A, 144a, 3.090%, 12/15/29 | 100,705 | ||
3,645,588 | Towd Point Mortgage Trust, 144a, 2.250%, 4/25/56(A)(B) | 3,672,557 | ||
210,293 | Towd Point Mortgage Trust, Ser 2015-3, Class A1B, 144a, 3.000%, 3/25/54(A)(B) | 210,233 | ||
119,423 | Towd Point Mortgage Trust, Ser 2015-4, Class A1B, 144a, 2.750%, 4/25/55(A)(B) | 119,423 | ||
5,000,000 | Towd Point Mortgage Trust, Ser 2015-4, Class A2, 144a, 3.750%, 4/25/55(A)(B) | 5,079,704 | ||
9,241,895 | Towd Point Mortgage Trust, Ser 2017-1, Class A1, 144a, 2.750%, 10/25/56(A)(B) | 9,399,452 | ||
7,948,301 | Towd Point Mortgage Trust, Ser 2017-5, Class A1, 144a, (1M LIBOR +0.600%), 0.709%, 2/25/57(A) | 7,948,300 | ||
861,028 | Towd Point Mortgage Trust, Ser 2018-SJ1, Class A1, 144a, 4.000%, 10/25/58(A)(B) | 860,859 | ||
4,782,846 | Towd Point Mortgage Trust, Ser 2019-HY1, Class A1, 144a, (1M LIBOR +1.000%), 1.109%, 10/25/48(A) | 4,818,556 | ||
3,246,474 | Towd Point Mortgage Trust, Ser 2019-MH1, Class A1, 144a, 3.000%, 11/25/58(A)(B) | 3,324,016 | ||
657,635 | Towd Point Mortgage Trust, Ser 2019-SJ1, Class A1, 144a, 3.750%, 11/25/58(A)(B) | 658,261 | ||
7,116,043 | Towd Point Mortgage Trust, Ser 2019-SJ3, Class A1, 144a, 3.000%, 11/25/59(A)(B) | 7,194,307 | ||
2,500,000 | United Auto Credit Securitization Trust, Ser 2018-2, Class E, 144a, 5.260%, 5/10/23 | 2,501,785 | ||
1,922,749 | United Auto Credit Securitization Trust, Ser 2020-1, Class A, 144a, 0.850%, 5/10/22 | 1,923,560 | ||
417,977 | Welk Resorts LLC, Ser 2013-AA, Class A, 144a, 3.100%, 3/15/29 | 418,433 | ||
8,315,243 | Westlake Automobile Receivables Trust, 144a, 3.610%, 10/16/23 | 8,366,742 | ||
3,255,000 | Westlake Automobile Receivables Trust, 144a, 4.000%, 10/16/23 | 3,340,573 | ||
7,410,000 | Westlake Automobile Receivables Trust, Ser 2018-1A, Class E, 144a, 4.530%, 5/15/23 | 7,511,567 | ||
80,112 | Westlake Automobile Receivables Trust, Ser 2018-2A, Class C, 144a, 3.500%, 1/16/24 | 80,210 | ||
3,415,000 | Westlake Automobile Receivables Trust, Ser 2018-2A, Class D, 144a, 4.000%, 1/16/24 | 3,459,088 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 42.7% (Continued) | ||||
$ 11,320,000 | Westlake Automobile Receivables Trust, Ser 2019-1A, Class C, 144a, 3.450%, 3/15/24 | $ 11,481,425 | ||
9,425,000 | Westlake Automobile Receivables Trust, Ser 2020-3A, Class A2, 144a, 0.560%, 5/15/24 | 9,439,172 | ||
Total Asset-Backed Securities | $469,145,924 | |||
Corporate Bonds — 26.2% | ||||
Utilities — 7.2% | ||||
5,000,000 | Atmos Energy Corp., 0.565%, 3/9/23(A) | 5,000,545 | ||
8,000,000 | CenterPoint Energy Resources Corp., 0.684%, 3/2/23(A) | 8,002,272 | ||
7,225,000 | Dominion Energy, Inc., (3M LIBOR +0.530%), 0.714%, 9/15/23(A) | 7,234,340 | ||
6,000,000 | Florida Power & Light Co., (3M LIBOR +0.380%), 0.599%, 7/28/23(A) | 6,000,130 | ||
10,000,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +0.270%), 0.452%, 2/22/23(A) | 10,001,543 | ||
1,192,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +0.550%), 0.740%, 8/28/21(A) | 1,192,351 | ||
2,500,000 | NextEra Energy Capital Holdings, Inc., 2.403%, 9/1/21 | 2,521,434 | ||
15,000,000 | ONE Gas, Inc., 0.787%, 3/11/23(A) | 15,000,225 | ||
7,000,000 | Pacific Gas & Electric Co., (1M LIBOR +1.200%), 1.573%, 11/15/21(A) | 7,013,381 | ||
7,500,000 | Pacific Gas and Electric Co., 1.750%, 6/16/22 | 7,511,354 | ||
7,000,000 | Southern California Edison Co., (3M LIBOR +0.270%), 0.454%, 12/3/21(A) | 7,003,695 | ||
3,000,000 | Southern California Gas Co., (3M LIBOR +0.350%), 0.534%, 9/14/23(A) | 3,000,402 | ||
79,481,672 | ||||
Financials — 5.5% | ||||
4,367,000 | Comerica, Inc., 3.700%, 7/31/23 | 4,669,229 | ||
2,000,000 | Credit Agricole Corporate and Investment Bank (France), (3M LIBOR +0.480%), 0.662%, 9/17/21(A) | 2,004,344 | ||
7,200,000 | Fifth Third Bancorp, 3.650%, 1/25/24 | 7,756,830 | ||
4,000,000 | FNB Corp., 2.200%, 2/24/23 | 4,077,915 | ||
2,000,000 | Intercontinental Exchange, Inc., 0.700%, 6/15/23 | 2,005,273 | ||
5,910,000 | Intercontinental Exchange, Inc., (3M LIBOR +0.650%), 0.834%, 6/15/23(A) | 5,919,839 | ||
3,800,000 | Mitsubishi UFJ Financial Group, Inc. (Japan), (1 Year CMT Rate +0.680%), 0.848%, 9/15/24 | 3,803,678 | ||
7,000,000 | National Bank of Canada (Canada), (1 Year CMT Rate +0.770%), 0.900%, 8/15/23 | 7,031,798 | ||
10,233,000 | Societe Generale SA (France), 144a, 5.200%, 4/15/21 | 10,247,009 | ||
2,800,000 | Sumitomo Mitsui Trust Bank Ltd. (Japan), 144a, 0.800%, 9/12/23 | 2,807,071 | ||
4,000,000 | UBS Group AG (Switzerland), 144a, (1 Year CMT Rate +0.830%), 1.008%, 7/30/24 | 4,023,076 | ||
1,700,000 | Wells Fargo & Co., (3M LIBOR +1.025%), 1.240%, 7/26/21(A) | 1,704,978 | ||
4,550,000 | Zions Bancorp NA, 3.500%, 8/27/21 | 4,604,254 | ||
60,655,294 | ||||
Information Technology — 2.5% | ||||
7,800,000 | Hewlett Packard Enterprise Co., 1.450%, 4/1/24 | 7,928,442 | ||
9,500,000 | International Business Machines Corp., (3M LIBOR +0.400%), 0.594%, 5/13/21(A) | 9,504,156 | ||
10,000,000 | SK Hynix, Inc. (South Korea), 144a, 1.000%, 1/19/24 | 9,983,400 | ||
27,415,998 | ||||
Health Care — 2.0% | ||||
11,500,000 | AbbVie, Inc., 3.450%, 3/15/22 | 11,765,017 |
Principal Amount | Market Value | |||
Health Care — (Continued) | ||||
$ 7,225,000 | Dignity Health, 3.125%, 11/1/22 | $ 7,468,718 | ||
2,500,000 | Upjohn, Inc., 144a, 1.125%, 6/22/22 | 2,513,517 | ||
21,747,252 | ||||
Consumer Staples — 1.9% | ||||
6,700,000 | 7-Eleven, Inc., 144a, 0.645%, 8/10/22(A) | 6,706,873 | ||
3,925,000 | General Mills, Inc., (3M LIBOR +0.600%), 0.763%, 4/16/21(A) | 3,925,532 | ||
2,800,000 | Mondelez International, Inc., 0.625%, 7/1/22 | 2,808,404 | ||
5,500,000 | Nestle Holdings, Inc., 144a, 0.375%, 1/15/24 | 5,476,546 | ||
1,570,000 | Reckitt Benckiser Treasury Services PLC (United Kingdom), 144a, (3M LIBOR +0.560%), 0.750%, 6/24/22(A) | 1,578,825 | ||
20,496,180 | ||||
Industrials — 1.6% | ||||
5,000,000 | CNH Industrial Capital LLC, 4.875%, 4/1/21 | 5,000,000 | ||
12,500,000 | Otis Worldwide Corp., (3M LIBOR +0.650%), 0.644%, 4/5/23(A) | 12,500,651 | ||
17,500,651 | ||||
Consumer Discretionary — 1.5% | ||||
3,500,000 | American Honda Finance Corp., MTN, 0.875%, 7/7/23 | 3,524,274 | ||
5,000,000 | Hyundai Capital America, 144a, 0.800%, 1/8/24 | 4,956,116 | ||
2,500,000 | Hyundai Capital America, 144a, 2.375%, 2/10/23 | 2,566,158 | ||
5,000,000 | Toyota Motor Corp. (Japan), 0.681%, 3/25/24 | 4,996,158 | ||
16,042,706 | ||||
Real Estate — 1.3% | ||||
5,800,000 | SBA Tower Trust REIT, 144a, 3.722%, 4/11/23 | 5,901,247 | ||
8,300,000 | SL Green Operating Partnership LP, (3M LIBOR +0.980%), 1.174%, 8/16/21(A) | 8,300,226 | ||
14,201,473 | ||||
Energy — 1.2% | ||||
5,000,000 | Energy Transfer Partners LP / Regency Energy Finance Corp., 4.500%, 11/1/23 | 5,381,834 | ||
8,450,000 | Shell International Finance BV (Netherlands), 0.375%, 9/15/23 | 8,451,397 | ||
13,833,231 | ||||
Materials — 1.1% | ||||
7,000,000 | LYB International Finance III LLC, (3M LIBOR +1.000%), 1.202%, 10/1/23(A) | 7,020,505 | ||
5,000,000 | Nutrien Ltd. (Canada), 1.900%, 5/13/23 | 5,127,721 | ||
12,148,226 | ||||
Communication Services — 0.4% | ||||
4,040,000 | Crown Castle Towers LLC, 144a, 3.222%, 5/15/22 | 4,064,068 | ||
Total Corporate Bonds | $287,586,751 | |||
Commercial Mortgage-Backed Securities — 17.8% | ||||
4,800,000 | Austin Fairmont Hotel Trust, Ser 2019-FAIR, Class C, 144a, (1M LIBOR +1.450%), 1.556%, 9/15/32(A) | 4,775,917 | ||
8,145,000 | BHMS, Ser 2018-ATLS, Class A, 144a, (1M LIBOR +1.250%), 1.356%, 7/15/35(A) | 8,139,950 | ||
8,900,000 | BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 2.056%, 2/15/29(A) | 8,899,993 | ||
6,464,065 | BX Commercial Mortgage Trust, Ser 2018-IND, Class A, 144a, (1M LIBOR +0.750%), 0.856%, 11/15/35(A) | 6,464,064 | ||
7,058,537 | BX Commercial Mortgage Trust, Ser 2019-XL, Class A, 144a, (1M LIBOR +0.970%), 1.026%, 10/15/36(A) | 7,062,965 |
Principal Amount | Market Value | |||
Commercial Mortgage-Backed Securities — 17.8% (Continued) | ||||
$ 7,200,000 | BXP Trust, Ser 2017-CQHP, Class A, 144a, (1M LIBOR +0.850%), 0.956%, 11/15/34(A) | $ 7,101,593 | ||
1,393,449 | CD Mortgage Trust, Ser 2006-CD3, Class AM, 5.648%, 10/15/48 | 1,430,193 | ||
2,100,000 | CGRBS Commercial Mortgage Trust, Ser 2013-VN05, Class C, 144a, 3.584%, 3/13/35(A)(B) | 2,195,303 | ||
2,987,137 | Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Class AAB, 2.690%, 4/10/46 | 3,041,181 | ||
3,624,499 | Citigroup Commercial Mortgage Trust, Ser 2015-GC35, Class A2, 3.063%, 11/10/48 | 3,623,957 | ||
68,780,000 | Citigroup Commercial Mortgage Trust, Ser 2019-SST2, Class XCP, 144a, 12/15/36(A)(B)(C) | 54,157 | ||
951,619 | COMM Mortgage Trust, Ser 2012-LC4, Class A4, 3.288%, 12/10/44 | 961,022 | ||
66,166 | COMM Mortgage Trust, Ser 2014-LC17, Class A2, 3.164%, 10/10/47 | 66,131 | ||
35,158,694 | COMM Mortgage Trust, Ser 2014-UBS3, Class XA, 1.071%, 6/10/47(A)(B)(C) | 993,223 | ||
2,680,000 | CSMC Trust, Ser 2017-CHOP, Class A, 144a, (1M LIBOR +0.750%), 0.856%, 7/15/32(A) | 2,669,743 | ||
6,080,000 | CSMC Trust, Ser 2017-PFHP, Class A, 144a, (1M LIBOR +0.950%), 1.056%, 12/15/30(A) | 6,038,446 | ||
306,156 | DBRR Trust, Ser 2011-LC2, Class A4A, 144a, 4.537%, 7/12/44(A)(B) | 306,093 | ||
118,906,000 | GS Mortgage Securities Corp. II, Ser 2017-SLP, Class XA, 144a, 1.172%, 10/10/32(A)(B)(C) | 1,693,388 | ||
15,744,710 | GS Mortgage Securities Trust, 3.482%, 1/10/45 | 15,884,346 | ||
7,353,648 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Ser 2017-FL11, Class A, 144a, (1M LIBOR +0.850%), 0.956%, 10/15/32(A) | 7,279,386 | ||
350,235 | JP Morgan Chase Commercial Mortgage Securities Trust, 144a, 1.407%, 6/15/45(A) | 350,707 | ||
10,041,906 | JP Morgan Chase Commercial Mortgage Securities Trust, 3.483%, 6/15/45 | 10,172,241 | ||
3,961,907 | JPMBB Commercial Mortgage Securities Trust, Ser 2014-C24, Class A2, 2.940%, 11/15/47 | 3,960,083 | ||
13,700,000 | LCCM Mortgage Trust, 144a, 3.388%, 5/15/31 | 13,689,351 | ||
4,790,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Class E, 144a, 4.675%, 8/15/45(A)(B) | 4,846,829 | ||
3,694,362 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C8, Class ASB, 2.699%, 12/15/48 | 3,740,658 | ||
10,073,000 | Morgan Stanley Capital I Trust, 144a, 3.350%, 7/13/29 | 10,072,032 | ||
600,000 | Morgan Stanley Capital I Trust, 144a, 3.401%, 7/13/29(A)(B) | 599,931 | ||
186,189 | Morgan Stanley Capital I Trust, Ser 2007-IQ15, Class B, 144a, 6.163%, 6/11/49(A)(B) | 185,831 | ||
1,995,117 | Morgan Stanley Capital I Trust, Ser 2012-C4, Class A4, 3.244%, 3/15/45 | 2,022,175 | ||
700,000 | Morgan Stanley Capital I Trust, Ser 2014-CPT, Class B, 144a, 3.446%, 7/13/29(A)(B) | 699,920 | ||
2,100,000 | Morgan Stanley Capital I Trust, Ser 2014-CPT, Class D, 144a, 3.446%, 7/13/29(A)(B) | 2,099,730 | ||
8,425,000 | Morgan Stanley Capital I Trust, Ser 2017-CLS, Class B, 144a, (1M LIBOR +0.850%), 0.956%, 11/15/34(A) | 8,427,657 | ||
8,328,881 | Morgan Stanley Capital I Trust, Ser 2018-BOP, Class A, 144a, (1M LIBOR +0.850%), 0.956%, 8/15/33(A) | 8,308,105 |
Principal Amount | Market Value | |||
Commercial Mortgage-Backed Securities — 17.8% (Continued) | ||||
$ 4,646,726 | Ready Captial Mortgage Financing, Ser 2019-FL3, Class A, 144a, (1M LIBOR +1.000%), 1.109%, 3/25/34(A) | $ 4,609,605 | ||
1,252,526 | ReadyCap Commercial Mortgage Trust, Ser 2018-4, Class A, 144a, 3.390%, 2/27/51 | 1,287,895 | ||
1,960,574 | ReadyCap Mortgage Trust, Ser 2016-3, Class B, 144a, 3.752%, 11/20/38 | 1,964,081 | ||
3,442,841 | Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Class A, 144a, (1M LIBOR +0.750%), 1.004%, 11/11/34(A) | 3,438,804 | ||
11,881,143 | UBS-Citigroup Commercial Mortgage Trust, Ser 2011-C1, Class XA, 144a, 2.128%, 1/10/45(A)(B)(C) | 33,133 | ||
3,250,000 | WFRBS Commercial Mortgage Trust, Ser 2011-C3, Class B, 144a, 4.740%, 3/15/44 | 3,244,999 | ||
12,139,274 | WFRBS Commercial Mortgage Trust, Ser 2012-C7, Class AFL, 144a, (1M LIBOR +1.200%), 1.308%, 6/15/45(A) | 12,115,161 | ||
10,450,000 | WFRBS Commercial Mortgage Trust, Ser 2013-C12, Class D, 144a, 4.391%, 3/15/48(A)(B) | 10,146,852 | ||
456,223 | WFRBS Commercial Mortgage Trust, Ser 2014-C19, Class A3, 3.660%, 3/15/47 | 458,087 | ||
Total Commercial Mortgage-Backed Securities | $195,154,918 | |||
Commercial Paper — 5.9% | ||||
11,500,000 | AT&T, Inc., 0.422%, 12/15/21(D) | 11,474,434 | ||
5,450,000 | BAT International Finance PLC, 0.330%, 4/26/21(D) | 5,449,311 | ||
10,000,000 | Intercontinental Exchange, Inc., 0.120%, 4/1/21(D) | 9,999,930 | ||
2,900,000 | Liberty Utilities Co., 0.110%, 4/5/21(D) | 2,899,940 | ||
7,000,000 | Marathon Petroleum Corp., 0.270%, 5/10/21(D) | 6,998,312 | ||
3,400,000 | Motiva Enterprises LLC, 0.500%, 5/3/21(D) | 3,399,361 | ||
10,000,000 | PPL Electric Utilities Corp., 0.150%, 4/1/21(D) | 9,999,958 | ||
15,000,000 | Suncor Energy, Inc., 0.280%, 4/8/21(D) | 14,999,497 | ||
Total Commercial Paper | $65,220,743 | |||
Non-Agency Collateralized Mortgage Obligations — 2.4% | ||||
1,167,985 | Bear Stearns ARM Trust, Ser 2003-1, Class 5A1, 2.215%, 4/25/33(A)(B)†† | 1,224,199 | ||
184,426 | Bear Stearns ARM Trust, Ser 2004-1, Class 13A3, 3.011%, 4/25/34(A)(B)†† | 184,595 | ||
140,790 | Bear Stearns Asset Backed Securities Trust, Ser 2003-AC7, Class A2, 5.750%, 1/25/34(A)(B)†† | 143,171 | ||
6,940,665 | CFMT LLC, Ser 2020-HB4, Class A, 144a, 0.946%, 12/26/30(A)(B) | 6,942,413 | ||
18,141 | Community Program Loan Trust, Ser 1987-A, Class A5, 4.500%, 4/1/29 | 18,169 | ||
2,026,335 | GSR Mortgage Loan Trust, Ser 2003-13, Class 1A1, 2.823%, 10/25/33(A)(B) | 2,144,672 | ||
75,350 | JP Morgan Mortgage Trust, Ser 2006-A4, Class 2A2, 2.749%, 6/25/36(A)(B) | 63,773 | ||
61,592 | Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Class 1A, 2.056%, 12/25/34(A)(B) | 62,762 | ||
17,748 | Merrill Lynch Mortgage Investors Trust, Ser 2003-A1, Class 2A, (12M LIBOR +1.625%), 1.905%, 12/25/32(A) | 17,660 | ||
824,928 | Morgan Stanley Mortgage Loan Trust, Ser 2005-6AR, Class 1M1, (1M LIBOR +0.460%), 0.799%, 11/25/35(A) | 823,959 | ||
1,151,913 | Provident Funding Mortgage Trust, 144a, 3.000%, 12/25/49(A)(B) | 1,155,100 | ||
1,461,614 | Provident Funding Mortgage Trust, Ser 2020-1, Class A3, 144a, 3.000%, 2/25/50(A)(B) | 1,466,385 |
Principal Amount | Market Value | |||
Non-Agency Collateralized Mortgage Obligations — 2.4% (Continued) | ||||
$ 548,164 | RFMSI Trust, Ser 2007-SA1, Class 1A1, 3.379%, 2/25/37(A)(B) | $ 484,146 | ||
11,575,329 | Towd Point HE Trust 2021- HE1, Ser 2021-HE1, Class A1, 144a, 0.918%, 2/25/63(A)(B) | 11,570,161 | ||
Total Non-Agency Collateralized Mortgage Obligations | $26,301,165 | |||
U.S. Government Agency Obligations — 2.0% | ||||
2,372 | Small Business Administration Participation Certificates, 6.140%, 1/1/22 | 2,415 | ||
7,100 | Small Business Administration Participation Certificates, Ser 2003-20E, Class 1, 4.640%, 5/1/23 | 7,330 | ||
71,024 | Small Business Administration Pools, (Prime Rate -2.500%), Pool #508374, (Prime Rate +(2.500)%), 0.750%, 4/25/28(A) | 70,894 | ||
2,200,000 | United States International Development Finance Corp., 0.015%, 5/15/26(A) | 2,200,000 | ||
10,000,000 | United States International Development Finance Corp., 0.090%, 9/30/27(A) | 10,000,000 | ||
4,300,000 | United States International Development Finance Corp., 0.090%, 7/5/38(A) | 4,300,000 | ||
5,944,800 | United States International Development Finance Corp., 0.100%, 4/20/35(A) | 5,944,800 | ||
Total U.S. Government Agency Obligations | $22,525,439 | |||
Municipal Bonds — 1.5% | ||||
Other Territory — 1.0% | ||||
9,900,000 | Taxable Municipal Funding Trust, Txbl Floaters Ser 2020 11, (LOC - Barclays Bank PLC), 144a, 0.360%, 9/1/30(A)(B) | 9,900,000 | ||
1,100,000 | Taxable Municipal Funding Trust, Txbl Muni Fltrs Btmft 2020-003, (LOC - Barclays Bank PLC), 144a, 0.360%, 1/16/25(A)(B) | 1,100,000 | ||
11,000,000 | ||||
Wisconsin — 0.4% | ||||
4,000,000 | Public Finance Authority, Txbl Affinity Living Group 5 A, (LOC - Citizens Bank of MA), 3.750%, 2/1/22 | 4,003,068 | ||
California — 0.1% | ||||
1,250,000 | CA St Enterprise Dev Authority, Txbl Variable J Harris Indl Wt, (LOC - City National Bank), 144a, 0.470%, 9/1/41(A)(B) | 1,250,000 | ||
Total Municipal Bonds | $16,253,068 | |||
U.S. Government Mortgage-Backed Obligations — 0.8% | ||||
150,105 | FHLMC, Pool #1B7189, (12M LIBOR +2.470%), 3.077%, 3/1/36(A) | 160,583 | ||
197,850 | FHLMC, Pool #1H1354, (1 Year CMT Rate +2.250%), 2.442%, 11/1/36(A) | 211,218 | ||
107,678 | FHLMC, Pool #1J1813, (12M LIBOR +1.925%), 2.631%, 8/1/37(A) | 114,566 | ||
92,768 | FHLMC, Pool #1L0147, (1 Year CMT Rate +2.290%), 2.665%, 7/1/35(A) | 92,492 | ||
60,569 | FHLMC, Pool #1Q0080, (12M LIBOR +1.663%), 2.496%, 1/1/36(A) | 63,837 | ||
149,553 | FHLMC, Pool #1Q0119, (12M LIBOR +1.840%), 2.680%, 9/1/36(A) | 158,930 | ||
125,539 | FHLMC, Pool #1Q0187, (12M LIBOR +1.796%), 2.314%, 12/1/36(A) | 130,769 | ||
100,117 | FHLMC, Pool #1Q0339, (12M LIBOR +1.894%), 2.952%, 4/1/37(A) | 106,771 | ||
141,715 | FHLMC, Pool #1Q1303, (1 Year CMT Rate +2.250%), 2.539%, 11/1/36(A) | 149,320 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 0.8% (Continued) | ||||
$ 218,201 | FHLMC, Pool #781515, (1 Year CMT Rate +2.250%), 3.678%, 4/1/34(A) | $ 232,526 | ||
98,781 | FHLMC, Pool #782760, (1 Year CMT Rate +2.250%), 2.493%, 11/1/36(A) | 105,382 | ||
86,699 | FHLMC, Pool #847795, (1 Year CMT Rate +2.277%), 2.581%, 4/1/35(A) | 87,517 | ||
236,728 | FHLMC, Pool #848539, (1 Year CMT Rate +2.270%), 2.841%, 4/1/37(A) | 249,421 | ||
499,318 | FHLMC, Pool #848583, (1 Year CMT Rate +2.318%), 3.111%, 1/1/36(A) | 533,009 | ||
8,284 | FHLMC, Pool #A92646, 5.500%, 6/1/40 | 9,693 | ||
8,575 | FHLMC, Pool #C03505, 5.500%, 6/1/40 | 9,954 | ||
464 | FHLMC, Pool #G00100, 8.000%, 2/1/23 | 485 | ||
24,620 | FHLMC, Pool #G01840, 5.000%, 7/1/35 | 28,653 | ||
10,892 | FNMA, Pool #175123, 7.450%, 8/1/22 | 10,941 | ||
536 | FNMA, Pool #207530, 8.250%, 4/1/22 | 537 | ||
75,727 | FNMA, Pool #254868, 5.000%, 9/1/33 | 86,031 | ||
31,227 | FNMA, Pool #256272, 5.500%, 6/1/26 | 34,814 | ||
56,478 | FNMA, Pool #256852, 6.000%, 8/1/27 | 63,432 | ||
13,716 | FNMA, Pool #323832, 7.500%, 7/1/29 | 15,901 | ||
683 | FNMA, Pool #334593, 7.000%, 5/1/24 | 716 | ||
23,552 | FNMA, Pool #665773, 7.500%, 6/1/31 | 23,639 | ||
84,422 | FNMA, Pool #679742, (1 Year CMT Rate +2.582%), 3.962%, 1/1/40(A) | 84,367 | ||
89,635 | FNMA, Pool #725424, 5.500%, 4/1/34 | 103,643 | ||
354,626 | FNMA, Pool #725490, (12M LIBOR +1.621%), 3.082%, 4/1/34(A) | 365,455 | ||
14,681 | FNMA, Pool #735484, 5.000%, 5/1/35 | 17,040 | ||
61,786 | FNMA, Pool #791978, (6M LIBOR +1.518%), 2.268%, 9/1/34(A) | 61,812 | ||
96,097 | FNMA, Pool #813170, (12M LIBOR +1.575%), 1.950%, 1/1/35(A) | 99,412 | ||
332,858 | FNMA, Pool #815323, (6M LIBOR +1.532%), 1.782%, 1/1/35(A) | 345,635 | ||
108,791 | FNMA, Pool #820364, (12M LIBOR +0.827%), 2.577%, 4/1/35(A) | 109,481 | ||
141,446 | FNMA, Pool #827787, (6M LIBOR +1.550%), 1.800%, 5/1/35(A) | 147,025 | ||
48,396 | FNMA, Pool #889060, 6.000%, 1/1/38 | 57,498 | ||
53,471 | FNMA, Pool #889061, 6.000%, 1/1/38 | 63,798 | ||
3,419 | FNMA, Pool #889382, 5.500%, 4/1/38 | 4,020 | ||
121,516 | FNMA, Pool #922674, (12M LIBOR +1.905%), 2.885%, 4/1/36(A) | 129,019 | ||
28,560 | FNMA, Pool #960376, 5.500%, 12/1/37 | 33,571 | ||
14,052 | FNMA, Pool #985670, 6.500%, 10/1/21 | 14,094 | ||
520,702 | FNMA, Pool #995405, 5.500%, 10/1/23 | 540,407 | ||
39,700 | FNMA, Pool #AA1150, 4.000%, 4/1/23 | 42,220 | ||
5,626 | FNMA, Pool #AD0941, 5.500%, 4/1/40 | 6,559 | ||
39,403 | FNMA, Pool #AE0363, 5.000%, 7/1/37 | 45,692 | ||
51,032 | FNMA, Pool #AE5441, 5.000%, 10/1/40 | 59,345 | ||
66,896 | FNMA, Pool #AI6588, 4.000%, 7/1/26 | 71,416 | ||
75,617 | FNMA, Pool #AI8506, 4.000%, 8/1/26 | 80,744 | ||
71,993 | FNMA, Pool #AL0211, 5.000%, 4/1/41 | 83,112 | ||
5,610 | FNMA, Pool #AL0302, 5.000%, 4/1/24 | 5,891 | ||
393,328 | FNMA, Pool #AL0478, (12M LIBOR +1.773%), 2.512%, 4/1/36(A) | 415,771 | ||
148,670 | FNMA, Pool #AL0543, 5.000%, 7/1/41 | 172,952 | ||
71,571 | FNMA, Pool #AL1105, 4.500%, 12/1/40 | 80,676 | ||
17,136 | FNMA, Pool #AL2591, 5.500%, 5/1/38 | 18,742 | ||
272,812 | FNMA, Pool #AL5275, (6M LIBOR +1.511%), 1.830%, 9/1/37(A) | 283,422 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 0.8% (Continued) | ||||
$ 1,052,536 | FNMA, Pool #AL7396, (6M LIBOR +1.535%), 1.785%, 2/1/37(A) | $ 1,092,935 | ||
2,558 | GNMA, Pool #344233, 8.000%, 2/15/23 | 2,591 | ||
8,438 | GNMA, Pool #345123, 8.000%, 12/15/23 | 8,558 | ||
234 | GNMA, Pool #569337, 6.500%, 4/15/22 | 235 | ||
904 | GNMA, Pool #780322, 8.000%, 11/15/22 | 907 | ||
246,346 | GNMA, Pool #80826, (1 Year CMT Rate +1.500%), 3.000%, 2/20/34(A) | 257,558 | ||
101,752 | GNMA, Pool #80889, (1 Year CMT Rate +1.500%), 2.875%, 4/20/34(A) | 106,597 | ||
191,067 | GNMA, Pool #81016, (1 Year CMT Rate +1.500%), 2.250%, 8/20/34(A) | 199,474 | ||
250,247 | GNMA, Pool #82760, (1 Year CMT Rate +1.500%), 3.000%, 3/20/41(A) | 262,206 | ||
95,244 | GNMA, Pool #MA2392, (1 Year CMT Rate +1.500%), 2.125%, 11/20/44(A) | 98,618 | ||
468,954 | GNMA, Pool #MA2466, (1 Year CMT Rate +1.500%), 2.125%, 12/20/44(A) | 486,403 | ||
Total U.S. Government Mortgage-Backed Obligations | $8,740,038 | |||
Agency Collateralized Mortgage Obligations — 0.6% | ||||
62,443,421 | FHLMC Multifamily Structured Pass Through Certificates, 0.711%, 9/25/24(A)(B)(C) | 1,348,435 | ||
71,929,535 | FHLMC Multifamily Structured Pass Through Certificates, Ser KAIV, Class X1, 1.132%, 6/25/21(A)(B)(C) | 719 | ||
198,282 | FHLMC REMIC, Ser 2770, Class FH, (1M LIBOR +0.400%), 0.506%, 3/15/34(A) | 199,729 | ||
5,475 | FHLMC REMIC, Ser 3874, Class BD, 3.000%, 6/15/21 | 5,477 | ||
1,408,267 | FHLMC REMIC, Ser 4238, Class TL, 1.250%, 8/15/27 | 1,404,364 | ||
68,729 | FNMA REMIC, Ser 2003-119, Class PU, 4.000%, 11/25/33 | 71,083 | ||
39,765 | FNMA REMIC, Ser 2003-33, Class AM, 4.250%, 5/25/33 | 43,632 | ||
29,234 | FNMA REMIC, Ser 2003-42, Class CA, 4.000%, 5/25/33 | 31,372 | ||
145,523 | FNMA REMIC, Ser 2003-81, Class FE, (1M LIBOR +0.500%), 0.609%, 9/25/33(A) | 147,282 | ||
316,180 | FNMA REMIC, Ser 2009-32, Class BH, 5.250%, 5/25/39 | 343,011 | ||
221 | FNMA REMIC, Ser 2010-13, Class WD, 4.250%, 3/25/25 | 223 | ||
12,539 | FNMA REMIC, Ser 2011-15, Class HC, 2.500%, 3/25/26 | 12,573 | ||
94,175 | FNMA REMIC, Ser 2012-102, Class NA, 1.500%, 9/25/27 | 95,739 | ||
292,117 | FNMA REMIC, Ser 2012-47, Class AI, 3.000%, 5/25/22(C) | 3,340 | ||
61,418 | GNMA, Ser 2002-72, Class AB, 4.500%, 10/20/32 | 61,417 | ||
34,193 | GNMA, Ser 2011-57, Class BA, 3.000%, 5/20/40 | 35,654 | ||
137,750 | GNMA, Ser 2012-27, Class A, 1.614%, 7/16/39 | 139,095 | ||
2,897,405 | GNMA, Ser 2016-95, Class F, (1M LIBOR +0.450%), 0.556%, 1/16/58(A) | 2,840,671 | ||
Total Agency Collateralized Mortgage Obligations | $6,783,816 |
Shares | MarketValue | |||
Short-Term Investment Fund — 1.7% | ||||
18,764,811 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | $ 18,764,811 | ||
Total Investment Securities—101.6% (Cost $1,117,326,469) | $1,116,476,673 | |||
Liabilities in Excess of Other Assets — (1.6%) | (17,146,014) | |||
Net Assets — 100.0% | $1,099,330,659 |
(A) | Variable rate security - Rate reflected is the rate in effect as of March 31, 2021. |
(B) | 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. |
(C) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
(D) | Rate reflects yield at the time of purchase. |
†† | The issuers and/or sponsors of certain mortgage-backed securities may no longer exist; however, the securities held by the Fund are separate legal entities organized as trusts and publicly traded. The Fund receives principal and interest payments directly from these trusts. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of March 31, 2021. |
Portfolio Abbreviations: |
ARM – Adjustable Rate Mortgage |
CLO – Collateralized Loan Obligation |
CMT – Constant Maturity Treasury |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
GNMA – Government National Mortgage Association |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LOC – Letter of Credit |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, these securities were valued at $642,546,588 or 58.4% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $— | $469,145,924 | $— | $469,145,924 |
Corporate Bonds | — | 287,586,751 | — | 287,586,751 |
Commercial Mortgage-Backed Securities | — | 195,154,918 | — | 195,154,918 |
Commercial Paper | — | 65,220,743 | — | 65,220,743 |
Non-Agency Collateralized Mortgage Obligations | — | 26,301,165 | — | 26,301,165 |
U.S. Government Agency Obligations | — | 22,525,439 | — | 22,525,439 |
Municipal Bonds | — | 16,253,068 | — | 16,253,068 |
U.S. Government Mortgage-Backed Obligations | — | 8,740,038 | — | 8,740,038 |
Agency Collateralized Mortgage Obligations | — | 6,783,816 | — | 6,783,816 |
Short-Term Investment Fund | 18,764,811 | — | — | 18,764,811 |
Total | $18,764,811 | $1,097,711,862 | $— | $1,116,476,673 |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone High Yield Fund | |
Assets | ||||
Investments, at cost | $343,400,700 | $34,910,782 | $105,016,869 | $188,998,953 |
Investments, at market value * | $352,764,680 | $39,498,911 | $108,648,777 | $192,413,504 |
Cash deposits held at prime broker (A) | 117,272 | — | 47,440 | — |
Foreign currency † | — | 51,737 | 21,116 | — |
Unrealized appreciation on forward foreign currency contracts | — | — | 2,485 | — |
Dividends and interest receivable | 2,127,102 | 112,553 | 1,246,319 | 2,468,171 |
Receivable for capital shares sold | 134,190 | — | 283,061 | 1,077,876 |
Receivable for investments sold | 466,208 | — | 905,182 | 1,736,827 |
Receivable for variation margin on futures contracts | 3,485 | — | — | — |
Receivable for variation margin on swap agreements | — | — | 93,096 | — |
Receivable for securities lending income | 364 | 631 | 681 | 1,320 |
Tax reclaim receivable | 1,579 | 33,838 | 866 | 8,394 |
Other assets | 25,752 | 5,866 | 21,168 | 16,198 |
Total Assets | 355,640,632 | 39,703,536 | 111,270,191 | 197,722,290 |
Liabilities | ||||
Bank overdrafts | — | — | 69,014 | — |
Written options, at market value ‡ | — | — | 15,424 | — |
Unrealized depreciation on forward foreign currency contracts | — | — | 693 | — |
Dividends payable | — | — | — | — |
Securities sold short** | — | — | 515,625 | — |
Dividend and interest payable on securities sold short | — | — | 9,712 | — |
Payable for return of collateral for securities on loan | 1,118,126 | — | 484,449 | 3,011,579 |
Payable for capital shares redeemed | 498,414 | 5,099 | 29,268 | 49,094 |
Payable for investments purchased | 2,367,179 | — | 3,679,894 | 5,306,059 |
Payable to Investment Advisor | 109,260 | 1,145 | 38,430 | 76,504 |
Payable to other affiliates | 66,860 | 6,017 | 13,640 | 23,971 |
Payable to Trustees | 14,829 | 14,829 | 14,829 | 14,829 |
Payable for professional services | 19,911 | — | 17,585 | 16,844 |
Payable for reports to shareholders | 14,238 | 4,975 | 13,214 | 11,393 |
Payable for transfer agent services | 153,647 | 208 | 27,614 | 49,908 |
Other accrued expenses and liabilities | 15,548 | 17,793 | 78,138 | 10,628 |
Total Liabilities | 4,378,012 | 50,066 | 5,007,529 | 8,570,809 |
Net Assets | $351,262,620 | $39,653,470 | $106,262,662 | $189,151,481 |
Net assets consist of: | ||||
Par value | $319,848 | $33,627 | $104,109 | $225,235 |
Paid-in capital | 422,990,450 | 33,661,551 | 121,065,165 | 203,592,816 |
Distributable earnings (deficit) | (72,047,678) | 5,958,292 | (14,906,612) | (14,666,570) |
Net Assets | $351,262,620 | $39,653,470 | $106,262,662 | $189,151,481 |
*Includes market value of securities on loan of: | $1,071,274 | $— | $461,574 | $2,697,396 |
†Cost of foreign currency: | $— | $52,209 | $21,156 | $— |
‡Premiums received from written options: | $— | $— | $30,884 | $— |
**Proceeds received for securities sold short: | $— | $— | $512,524 | $— |
(A) | Represents segregated cash for futures contracts, securities sold short and/or written options. |
Touchstone Impact Bond Fund | Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund |
$393,703,125 | $23,460,978 | $3,833,717,659 | $610,389,169 | $2,544,070,210 | $63,858,359 | $54,687,440 | $1,117,326,469 |
$402,501,576 | $31,429,955 | $4,991,781,537 | $852,118,617 | $5,040,778,617 | $96,596,504 | $75,033,311 | $1,116,476,673 |
— | — | — | — | — | — | — | — |
— | 34,377 | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
2,375,180 | 83,445 | 3,641,607 | 949,231 | — | 89,721 | 78,680 | 2,652,926 |
1,020,479 | 69,490 | 14,506,513 | 13,569,818 | 10,356,082 | 40,193 | 37,885 | 2,040,272 |
— | 491,940 | — | 6,265,995 | 1,442,841 | 1,969,831 | 739,550 | 48,714 |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | 32 | — | 31 | 11,947 | — | 97 | — |
— | 39,995 | — | — | — | — | — | 2,831 |
28,070 | 21,237 | 133,478 | 40,015 | 103,263 | 23,384 | 22,565 | 53,237 |
405,925,305 | 32,170,471 | 5,010,063,135 | 872,943,707 | 5,052,692,750 | 98,719,633 | 75,912,088 | 1,121,274,653 |
— | 82,450 | — | — | — | — | — | 2,691 |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | 130,516 |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | 43,620,534 | — | 827,352 | — |
4,066,111 | 12,596 | 6,862,458 | 1,598,940 | 6,638,289 | 2,085,383 | 9,916 | 2,939,302 |
— | 341,696 | 5,534,783 | 2,907,915 | — | — | 273,231 | 17,984,516 |
105,424 | 7,094 | 3,580,686 | 438,255 | 2,562,415 | 53,787 | 48,064 | 201,814 |
51,307 | 6,095 | 710,616 | 101,356 | 1,022,423 | 12,917 | 12,014 | 207,623 |
14,829 | 14,829 | 14,829 | 14,829 | 14,829 | 14,829 | 14,829 | 14,829 |
19,899 | 11,378 | 85,442 | 24,099 | 63,317 | 12,262 | 12,694 | 29,583 |
12,135 | 10,874 | 102,926 | 64,235 | 75,356 | 13,055 | 11,211 | 28,103 |
161,688 | 24,245 | 2,348,949 | 680,599 | 1,470,105 | 38,963 | 42,295 | 393,859 |
9,824 | 9,948 | 22,688 | 10,337 | 76,707 | 11,062 | 5,247 | 11,158 |
4,441,217 | 521,205 | 19,263,377 | 5,840,565 | 55,543,975 | 2,242,258 | 1,256,853 | 21,943,994 |
$401,484,088 | $31,649,266 | $4,990,799,758 | $867,103,142 | $4,997,148,775 | $96,477,375 | $74,655,235 | $1,099,330,659 |
384,174 | 35,373 | 1,066,116 | 375,489 | 2,564,267 | 67,744 | 23,913 | 1,190,367 |
397,631,186 | 22,732,491 | 3,727,349,736 | 593,147,537 | 3,447,383,954 | 57,566,481 | 70,819,291 | 1,200,588,715 |
3,468,728 | 8,881,402 | 1,262,383,906 | 273,580,116 | 1,547,200,554 | 38,843,150 | 3,812,031 | (102,448,423) |
$401,484,088 | $31,649,266 | $4,990,799,758 | $867,103,142 | $4,997,148,775 | $96,477,375 | $74,655,235 | $1,099,330,659 |
$— | $— | $— | $— | $42,931,700 | $— | $819,768 | $— |
$— | $34,303 | $— | $— | $— | $— | $— | $— |
$— | $— | $— | $— | $— | $— | $— | $— |
$— | $— | $— | $— | $— | $— | $— | $— |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone High Yield Fund | |
Pricing of Class A Shares | ||||
Net assets applicable to Class A shares | $123,785,907 | $— | $7,948,235 | $14,643,226 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 11,252,847 | — | 789,758 | 1,790,511 |
Net asset value price per share* | $11.00 | $— | $10.06 | $8.18 |
Maximum sales charge - Class A shares | 3.25% | — | 3.25% | 3.25% |
Maximum offering price per share (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) - Class A shares | $11.37 | $— | $10.40 | $8.45 |
Pricing of Class C Shares | ||||
Net assets applicable to Class C shares | $4,581,775 | $— | $1,931,272 | $937,802 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 454,483 | — | 197,835 | 114,976 |
Net asset value and offering price per share** | $10.08 | $— | $9.76 | $8.16 |
Pricing of Class S Shares | ||||
Net assets applicable to Class S shares | $— | $— | $— | $— |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | — | — | — | — |
Net asset value, offering price and redemption price per share | $— | $— | $— | $— |
Pricing of Class Y Shares | ||||
Net assets applicable to Class Y shares | $97,472,689 | $271,600 | $52,287,837 | $33,219,803 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 8,867,608 | 23,058 | 5,127,074 | 3,945,301 |
Net asset value, offering price and redemption price per share | $10.99 | $11.78 | $10.20 | $8.42 |
Pricing of Class Z Shares | ||||
Net assets applicable to Class Z shares | $— | $— | $— | $— |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | — | — | — | — |
Net asset value, offering price and redemption price per share | $— | $— | $— | $— |
Pricing of Institutional Class Shares | ||||
Net assets applicable to Institutional Class shares | $125,422,249 | $39,381,870 | $44,095,318 | $140,350,650 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 11,409,861 | 3,339,600 | 4,296,196 | 16,672,691 |
Net asset value, offering price and redemption price per share | $10.99 | $11.79 | $10.26 | $8.42 |
Pricing of Class R6 Shares | ||||
Net assets applicable to Class R6 shares | $— | $— | $— | $— |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | — | — | — | — |
Net asset value, offering price and redemption price per share | $— | $— | $— | $— |
* | There is no sales load on subscriptions of $1 million or more for all funds except for Active Bond Fund, Credit Opportunities Fund, High Yield Fund, Impact Bond Fund and Ultra Short Duration Fixed Income Fund. There is no sales load on subscriptions of $500,000 or more for Active Bond Fund, Credit Opportunities Fund, High Yield Fund, Impact Bond Fund and Ultra Short Duration Fixed Income Fund. Redemptions that were part of a $500,000 or $1 million or more subscription, as applicable, may be subject to a contingent deferred sales load if redeemed within a one-year period from the date of purchase. |
** | Redemption price per share varies by length of time shares are held due to the terms of the contingent deferred sales charge. |
Touchstone Impact Bond Fund | Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund |
$18,923,084 | $10,669,207 | $134,025,681 | $14,113,018 | $195,768,616 | $5,239,787 | $24,861,965 | $135,973,059 |
1,813,203 | 1,190,397 | 2,898,820 | 615,991 | 10,942,631 | 372,124 | 797,479 | 14,723,375 |
$10.44 | $8.96 | $46.23 | $22.91 | $17.89 | $14.08 | $31.18 | $9.24 |
3.25% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 2.00% |
$10.79 | $9.43 | $48.66 | $24.12 | $18.83 | $14.82 | $32.82 | $9.43 |
$1,616,685 | $3,356,190 | $95,984,203 | $4,768,365 | $31,497,552 | $713,593 | $616,599 | $4,885,078 |
155,066 | 376,730 | 2,235,145 | 215,492 | 2,131,371 | 55,876 | 20,609 | 528,449 |
$10.43 | $8.91 | $42.94 | $22.13 | $14.78 | $12.77 | $29.92 | $9.24 |
$— | $— | $— | $— | $— | $— | $— | $56,883,716 |
— | — | — | — | — | — | — | 6,156,809 |
$— | $— | $— | $— | $— | $— | $— | $9.24 |
$164,293,257 | $17,620,412 | $3,306,163,692 | $393,182,854 | $1,715,599,254 | $46,131,826 | $40,098,497 | $326,520,917 |
15,718,725 | 1,969,815 | 70,508,013 | 17,073,239 | 86,526,700 | 3,227,373 | 1,283,031 | 35,337,991 |
$10.45 | $8.95 | $46.89 | $23.03 | $19.83 | $14.29 | $31.25 | $9.24 |
$— | $— | $60,781,454 | $— | $530,560,753 | $— | $— | $78,620,759 |
— | — | 1,324,329 | — | 29,606,771 | — | — | 8,511,161 |
$— | $— | $45.90 | $— | $17.92 | $— | $— | $9.24 |
$216,651,062 | $3,457 | $1,392,611,977 | $455,038,905 | $2,420,237,292 | $44,392,169 | $9,078,174 | $496,447,130 |
20,730,409 | 386 | 29,619,058 | 19,644,184 | 122,000,649 | 3,119,051 | 290,175 | 53,778,920 |
$10.45 | $8.95 | $47.02 | $23.16 | $19.84 | $14.23 | $31.29 | $9.23 |
$— | $— | $1,232,751 | $— | $103,485,308 | $— | $— | $— |
— | — | 26,218 | — | 5,218,809 | — | — | — |
$— | $— | $47.02 | $— | $19.83 | $— | $— | $— |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone High Yield Fund | |
Investment Income | ||||
Dividends* | $— | $228,885 | $— | $— |
Interest | 5,848,496 | — | 3,130,877 | 5,327,012 |
Income from securities loaned | 1,089 | 5,822 | 3,820 | 5,079 |
Total Investment Income | 5,849,585 | 234,707 | 3,134,697 | 5,332,091 |
Expenses | ||||
Investment advisory fees | 707,087 | 88,511 | 281,712 | 497,055 |
Administration fees | 250,721 | 27,277 | 65,065 | 131,008 |
Compliance fees and expenses | 1,443 | 1,443 | 1,443 | 1,443 |
Custody fees | 26,620 | 18,741 | 27,504 | 11,535 |
Professional fees | 18,865 | 17,866 | 21,867 | 16,325 |
Transfer Agent fees, Class A | 49,648 | — | 2,184 | 9,661 |
Transfer Agent fees, Class C | 3,539 | — | 1,194 | 844 |
Transfer Agent fees, Class S | — | — | — | — |
Transfer Agent fees, Class Y | 43,255 | 126 | 14,882 | 19,467 |
Transfer Agent fees, Class Z | — | — | — | — |
Transfer Agent fees, Institutional Class | 4,390 | 26 | 301 | 2,895 |
Transfer Agent fees, Class R6 | — | — | — | — |
Registration Fees, Class A | 9,259 | — | 5,231 | 6,194 |
Registration Fees, Class C | 6,752 | — | 6,539 | 4,783 |
Registration Fees, Class S | — | — | — | — |
Registration Fees, Class Y | 8,336 | 2,223 | 9,540 | 7,787 |
Registration Fees, Class Z | — | — | — | — |
Registration Fees, Institutional Class | 6,975 | 2,595 | 4,101 | 6,676 |
Registration Fees, Class R6 | — | — | — | — |
Interest expense on securities sold short | — | — | 34,572 | — |
Reports to Shareholders, Class A | 4,237 | — | 2,639 | 2,817 |
Reports to Shareholders, Class C | 2,761 | — | 2,593 | 2,517 |
Reports to Shareholders, Class S | — | — | — | — |
Reports to Shareholders, Class Y | 3,998 | 2,369 | 4,616 | 2,847 |
Reports to Shareholders, Class Z | — | — | — | — |
Reports to Shareholders, Institutional Class | 2,702 | 2,364 | 2,403 | 2,546 |
Reports to Shareholders, Class R6 | — | — | — | — |
Shareholder servicing fees, Class Z | — | — | — | — |
Distribution expenses, Class A | 157,473 | — | 7,893 | 18,699 |
Distribution and shareholder servicing expenses, Class C | 26,353 | — | 10,252 | 5,580 |
Distribution expenses, Class S | — | — | — | — |
Trustee fees | 10,005 | 10,005 | 10,005 | 10,005 |
Other expenses | 46,031 | 16,235 | 16,095 | 22,309 |
Total Expenses | 1,390,450 | 189,781 | 532,631 | 782,993 |
Fees waived and/or reimbursed by the Advisor and/or Affiliates(A) | (84,815) | (73,602) | (112,439) | (59,129) |
Fees eligible for recoupment by the Advisor(A) | — | — | — | — |
Net Expenses | 1,305,635 | 116,179 | 420,192 | 723,864 |
Net Investment Income (Loss) | 4,543,950 | 118,528 | 2,714,505 | 4,608,227 |
Realized and Unrealized Gains (Losses) on Investments | ||||
Net realized gains on investments(B) | 776,859 | 2,518,780 | 1,832,722 | 2,464,300 |
Net realized losses on securities sold short | — | — | (23,497) | — |
Net realized gains on written options | — | — | 51,162 | — |
Net realized gains on futures contracts | 330,105 | — | — | — |
Net realized losses on swap agreements | — | — | (37,941) | — |
Net realized gains on forward foreign currency contracts | — | — | 6,104 | — |
Net realized gains (losses) on foreign currency transactions | — | 233 | (19,567) | — |
Net change in unrealized appreciation (depreciation) on investments(C) | (8,011,932) | 1,191,778 | 4,610,012 | 5,210,305 |
Net change in unrealized appreciation (depreciation) on securities sold short | — | — | 17,409 | — |
Net change in unrealized appreciation (depreciation) on written options | — | — | 2,030 | — |
Net change in unrealized appreciation (depreciation) on futures contracts | (3,101) | — | — | — |
Net change in unrealized appreciation (depreciation) on swap agreements | — | — | (89,677) | — |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | — | — | (2,988) | — |
Net change in unrealized appreciation (depreciation) on foreign currency transactions | — | (2,323) | (197) | — |
Net Realized and Unrealized Gains (Losses) on Investments | (6,908,069) | 3,708,468 | 6,345,572 | 7,674,605 |
Change in Net Assets Resulting from Operations | $(2,364,119) | $3,826,996 | $9,060,077 | $12,282,832 |
*Net of foreign tax withholding of: | $— | $23,541 | $— | $— |
(A) | See Note 4 in Notes to Financial Statements. |
(B) | For the six months ended March 31, 2021, Mid Cap Fund, Mid Cap Value Fund, Sands Capital Select Growth Fund and Small Cap Fund had redemptions-in-kind of securities in the amount of $42,994,506, $20,508,412, $197,130,937 and $5,853,288, respectively. Net realized gains (losses) on investments includes the realized gain on the transactions of $20,049,155, $9,449,148, $129,338,520 and $2,661,586, respectively, which will not be recognized by the Fund for tax purposes. |
(C) | Change in unrealized appreciation (depreciation) does not include net appreciation of $1,465,622,003, for the Sands Capital Select Growth Fund in connection with the Fund's reorganization. See Note 9 in the Notes to Financial Statements. |
Touchstone Impact Bond Fund | Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund |
$— | $263,609 | $21,187,792 | $5,502,731 | $2,152,381 | $936,420 | $522,408 | $— |
4,814,774 | — | 1,048 | — | 223 | — | — | 7,082,122 |
— | 3,061 | — | 35 | 101,693 | — | 581 | — |
4,814,774 | 266,670 | 21,188,840 | 5,502,766 | 2,254,297 | 936,420 | 522,989 | 7,082,122 |
704,672 | 99,044 | 14,905,636 | 2,943,980 | 12,413,308 | 379,451 | 280,780 | 1,363,432 |
279,309 | 21,124 | 3,153,741 | 544,024 | 2,827,488 | 61,825 | 45,741 | 755,913 |
1,443 | 1,443 | 1,443 | 1,443 | 1,443 | 1,443 | 1,443 | 1,443 |
6,653 | 8,336 | 23,256 | 7,070 | 19,728 | 3,685 | 9,831 | 32,457 |
18,607 | 17,842 | 67,276 | 21,814 | 57,603 | 12,397 | 12,976 | 27,692 |
5,302 | 7,933 | 82,644 | 8,208 | 39,982 | 3,444 | 11,154 | 41,812 |
764 | 1,816 | 34,617 | 1,724 | 13,171 | 703 | 435 | 1,141 |
— | — | — | — | — | — | — | 16,045 |
52,734 | 5,746 | 1,446,535 | 385,070 | 559,718 | 19,086 | 13,791 | 115,627 |
— | — | 53,039 | — | 339,209 | — | — | 39,519 |
54,442 | 7 | 128,198 | 96,514 | 139,736 | 3,484 | 908 | 61,398 |
— | — | 3 | — | 7,879 | — | — | — |
7,636 | 8,432 | 12,820 | 8,085 | 11,273 | 7,070 | 8,774 | 12,101 |
5,124 | 5,541 | 13,037 | 6,212 | 7,938 | 4,645 | 4,056 | 6,506 |
— | — | — | — | — | — | — | 8,232 |
16,157 | 9,651 | 79,852 | 13,238 | 44,869 | 9,619 | 8,998 | 15,380 |
— | — | 15,274 | — | 13,747 | — | — | 8,894 |
10,174 | 3,486 | 22,837 | 15,445 | 4,914 | 7,630 | 4,364 | 9,837 |
— | — | 456 | — | 2,464 | — | — | — |
— | — | — | — | — | — | — | — |
2,606 | 2,989 | 4,554 | 2,944 | 4,454 | 2,559 | 3,378 | 3,429 |
2,427 | 2,631 | 5,254 | 2,579 | 3,662 | 2,513 | 2,437 | 2,447 |
— | — | — | — | — | — | — | 5,706 |
4,610 | 2,955 | 100,856 | 38,748 | 31,894 | 4,775 | 3,154 | 7,477 |
— | — | 5,889 | — | 16,171 | — | — | 3,617 |
2,933 | 2,364 | 8,880 | 19,370 | 14,189 | 2,491 | 2,623 | 2,705 |
— | — | 471 | — | 2,991 | — | — | — |
— | — | 80,710 | — | 653,281 | — | — | 108,327 |
22,451 | 15,387 | 149,079 | 15,404 | 234,754 | 6,302 | 26,828 | 165,903 |
8,982 | 19,375 | 448,071 | 18,995 | 179,739 | 1,729 | 2,816 | 19,092 |
— | — | — | — | — | — | — | 147,402 |
10,005 | 10,005 | 10,005 | 10,005 | 10,005 | 10,005 | 10,005 | 10,005 |
20,010 | 15,042 | 171,209 | 66,769 | 466,335 | 25,015 | 17,436 | 43,061 |
1,237,041 | 261,149 | 21,025,642 | 4,227,641 | 18,121,945 | 569,871 | 471,928 | 3,036,600 |
(110,860) | (86,839) | (29,244) | (613,539) | (16,002) | (121,067) | (75,611) | (307,255) |
— | — | 853,929 | — | 22,451 | — | — | — |
1,126,181 | 174,310 | 21,850,327 | 3,614,102 | 18,128,394 | 448,804 | 396,317 | 2,729,345 |
3,688,593 | 92,360 | (661,487) | 1,888,664 | (15,874,097) | 487,616 | 126,672 | 4,352,777 |
693,906 | 2,074,699 | 127,003,271 | 60,295,345 | 557,529,140 | 7,878,834 | 4,105,272 | 7,560 |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | 34,005 | — | — | — | — | — | — |
(14,164,439) | 3,573,727 | 710,417,399 | 184,221,768 | (198,120,981) | 19,912,259 | 22,412,256 | 2,876,435 |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | (1,239) | — | — | — | — | — | — |
(13,470,533) | 5,681,192 | 837,420,670 | 244,517,113 | 359,408,159 | 27,791,093 | 26,517,528 | 2,883,995 |
$(9,781,940) | $5,773,552 | $836,759,183 | $246,405,777 | $343,534,062 | $28,278,709 | $26,644,200 | $7,236,772 |
$— | $42,750 | $— | $— | $— | $— | $— | $— |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | |||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | |
From Operations | ||||
Net investment income | $4,543,950 | $8,993,949 | $118,528 | $551,290 |
Net realized gains (losses) on investments, securities sold short, written options, futures contracts, swap agreements, forward foreign currency exchange contracts and foreign currency transactions | 1,106,964 | 8,537,511 | 2,519,013 | (440,165) |
Net change in unrealized appreciation (depreciation) on investments, securities sold short, written options, futures contracts, swap agreements, forward foreign currency exchange contracts and foreign currency transactions | (8,015,033) | 7,921,698 | 1,189,455 | 2,891,448 |
Change in Net Assets from Operations | (2,364,119) | 25,453,158 | 3,826,996 | 3,002,573 |
Distributions to Shareholders: | ||||
Distributed earnings, Class A | (1,580,838) | (3,252,024) | — | — |
Distributed earnings, Class C | (53,095) | (193,793) | — | — |
Distributed earnings, Class Y | (1,383,109) | (2,520,642) | (4,532) | (102) |
Distributed earnings, Institutional Class | (1,863,566) | (3,258,096) | (714,426) | (830,890) |
Total Distributions | (4,880,608) | (9,224,555) | (718,958) | (830,992) |
Change in Net Assets from Share Transactions(A) | (91,427) | 16,312,594 | (573,461) | (1,765,217) |
Total Increase (Decrease) in Net Assets | (7,336,154) | 32,541,197 | 2,534,577 | 406,364 |
Net Assets | ||||
Beginning of period | 358,598,774 | 326,057,577 | 37,118,893 | 36,712,529 |
End of period | $351,262,620 | $358,598,774 | $39,653,470 | $37,118,893 |
(A) | For details on share transactions by class, see Statements of Changes in Net Assets - Capital Stock Activity on pages 60-62. |
Touchstone Credit Opportunities Fund | Touchstone High Yield Fund | Touchstone Impact Bond Fund | Touchstone International ESG Equity Fund | ||||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 |
$2,714,505 | $5,740,485 | $4,608,227 | $10,227,561 | $3,688,593 | $7,304,972 | $92,360 | $182,503 |
1,808,983 | (4,192,669) | 2,464,300 | (4,173,531) | 693,906 | 982,426 | 2,108,704 | (1,211,609) |
4,536,589 | (2,015,355) | 5,210,305 | (3,498,537) | (14,164,439) | 11,461,934 | 3,572,488 | 3,022,722 |
9,060,077 | (467,539) | 12,282,832 | 2,555,493 | (9,781,940) | 19,749,332 | 5,773,552 | 1,993,616 |
(217,717) | (333,642) | (352,720) | (704,158) | (168,178) | (256,523) | (48,775) | (1,975,668) |
(65,689) | (174,362) | (22,268) | (121,251) | (9,984) | (19,463) | — | (1,710,548) |
(1,425,833) | (2,325,230) | (830,692) | (2,028,121) | (1,654,623) | (2,625,750) | (80,193) | (2,959,640) |
(1,618,550) | (2,579,658) | (3,561,270) | (7,471,813) | (2,499,959) | (4,723,502) | (19) | (537) |
(3,327,789) | (5,412,892) | (4,766,950) | (10,325,343) | (4,332,744) | (7,625,238) | (128,987) | (6,646,393) |
13,147,087 | (14,154,737) | (3,860,466) | (5,315,953) | 23,798,273 | 65,438,330 | (1,333,126) | (5,589,850) |
18,879,375 | (20,035,168) | 3,655,416 | (13,085,803) | 9,683,589 | 77,562,424 | 4,311,439 | (10,242,627) |
87,383,287 | 107,418,455 | 185,496,065 | 198,581,868 | 391,800,499 | 314,238,075 | 27,337,827 | 37,580,454 |
$106,262,662 | $87,383,287 | $189,151,481 | $185,496,065 | $401,484,088 | $391,800,499 | $31,649,266 | $27,337,827 |
Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | |||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | |
From Operations | ||||
Net investment income (loss) | $(661,487) | $7,915,710 | $1,888,664 | $6,123,028 |
Net realized gains (losses) on investments | 127,003,271 | 69,219,023 | 60,295,345 | (7,775,023) |
Net change in unrealized appreciation (depreciation) on investments | 710,417,399 | 127,121,216 | 184,221,768 | (33,577,191) |
Change in Net Assets from Operations | 836,759,183 | 204,255,949 | 246,405,777 | (35,229,186) |
Distributions to Shareholders: | ||||
Distributed earnings, Class A | (2,210,139) | (2,136,246) | (17,884) | (51,424) |
Distributed earnings, Class C | (1,691,858) | (1,766,346) | — | — |
Distributed earnings, Class S | — | — | — | — |
Distributed earnings, Class Y | (57,465,241) | (40,650,826) | (746,786) | (2,283,383) |
Distributed earnings, Class Z | (1,244,341) | (3,135,026) | — | — |
Distributed earnings, Institutional Class | (25,311,010) | (9,162,448) | (954,540) | (3,844,764) |
Distributed earnings, Class R6 | — | — | — | — |
Return of capital, Class A | — | — | — | — |
Return of capital, Class C | — | — | — | — |
Return of capital, Class Y | — | — | — | — |
Return of capital, Institutional Class | — | — | — | — |
Total Distributions | (87,922,589) | (56,850,892) | (1,719,210) | (6,179,571) |
Change in Net Assets from Share Transactions(A) | 395,947,330 | 2,068,906,633 | (60,585,444) | (31,438,355) |
Total Increase (Decrease) in Net Assets | 1,144,783,924 | 2,216,311,690 | 184,101,123 | (72,847,112) |
Net Assets | ||||
Beginning of period | 3,846,015,834 | 1,629,704,144 | 683,002,019 | 755,849,131 |
End of period | $4,990,799,758 | $3,846,015,834 | $867,103,142 | $683,002,019 |
(A) | For details on share transactions by class, see Statements of Changes in Net Assets - Capital Stock Activity on pages 63-65. |
Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund | ||||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 |
$(15,874,097) | $(12,375,975) | $487,616 | $233,295 | $126,672 | $279,157 | $4,352,777 | $19,590,653 |
557,529,140 | 447,921,221 | 7,878,834 | 3,900,793 | 4,105,272 | (6,726,045) | 7,560 | (176,658) |
(198,120,981) | 430,967,787 | 19,912,259 | (9,602,979) | 22,412,256 | (6,605,039) | 2,876,435 | (5,825,465) |
343,534,062 | 866,513,033 | 28,278,709 | (5,468,891) | 26,644,200 | (13,051,927) | 7,236,772 | 13,588,530 |
(17,693,260) | (15,437,081) | (76,368) | (330,913) | (62,854) | (45,317) | (644,944) | (1,582,978) |
(4,115,544) | (9,285,021) | (5,189) | (285,467) | (886) | (436) | (12,224) | (71,150) |
— | — | — | — | — | — | (215,377) | (1,992,326) |
(152,873,291) | (175,614,541) | (1,040,101) | (3,029,450) | (122,195) | (115,630) | (1,882,958) | (6,466,843) |
(52,230,135) | (75,190,327) | — | — | — | — | (426,914) | (2,053,174) |
(8,474) | — | (1,003,459) | (3,206,418) | (33,893) | (174,530) | (3,155,751) | (8,755,799) |
(102,763) | — | — | — | — | — | — | — |
— | — | — | — | — | (15,039) | — | — |
— | — | — | — | — | (145) | — | — |
— | — | — | — | — | (38,374) | — | — |
— | — | — | — | — | (57,921) | — | — |
(227,023,467) | (275,526,970) | (2,125,117) | (6,852,248) | (219,828) | (447,392) | (6,338,168) | (20,922,270) |
2,623,797,775 | (22,498,987) | (3,058,318) | 7,197,740 | (5,034,508) | (23,437,257) | 111,721,399 | (14,545,502) |
2,740,308,370 | 568,487,076 | 23,095,274 | (5,123,399) | 21,389,864 | (36,936,576) | 112,620,003 | (21,879,242) |
2,256,840,405 | 1,688,353,329 | 73,382,101 | 78,505,500 | 53,265,371 | 90,201,947 | 986,710,656 | 1,008,589,898 |
$4,997,148,775 | $2,256,840,405 | $96,477,375 | $73,382,101 | $74,655,235 | $53,265,371 | $1,099,330,659 | $986,710,656 |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | |||||||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A | ||||||||
Proceeds from Shares issued | 672,937 | $7,594,264 | 1,411,092 | $15,404,439 | — | $— | — | $— |
Reinvestment of distributions | 122,973 | 1,381,775 | 248,638 | 2,701,033 | — | — | — | — |
Cost of Shares redeemed | (950,973) | (10,717,603) | (2,188,720) | (23,737,062) | — | — | — | — |
Change from Class A Share Transactions | (155,063) | (1,741,564) | (528,990) | (5,631,590) | — | — | — | — |
Class C | ||||||||
Proceeds from Shares issued | 51,224 | 530,582 | 99,527 | 995,343 | — | — | — | — |
Reinvestment of distributions | 4,978 | 51,365 | 16,906 | 167,960 | — | — | — | — |
Cost of Shares redeemed | (147,051) | (1,520,151) | (766,459) | (7,725,499) | — | — | — | — |
Change from Class C Share Transactions | (90,849) | (938,204) | (650,026) | (6,562,196) | — | — | — | — |
Class Y | ||||||||
Proceeds from Shares issued | 1,593,227 | 17,975,422 | 1,985,411 | 21,559,070 | 302 | 3,591 | 22,114 | 211,530 |
Reinvestment of distributions | 103,761 | 1,165,204 | 199,030 | 2,158,789 | 382 | 4,532 | 10 | 102 |
Cost of Shares redeemed | (872,025) | (9,808,257) | (2,605,694) | (28,030,100) | — | — | — | — |
Change from Class Y Share Transactions | 824,963 | 9,332,369 | (421,253) | (4,312,241) | 684 | 8,123 | 22,124 | 211,632 |
Institutional Class | ||||||||
Proceeds from Shares issued | 1,015,069 | 11,440,789 | 3,875,251 | 42,480,044 | 10,220 | 120,070 | 149,702 | 1,449,479 |
Reinvestment of distributions | 149,336 | 1,676,924 | 272,356 | 2,961,164 | 60,238 | 714,426 | 77,436 | 830,890 |
Cost of Shares redeemed | (1,755,964) | (19,861,741) | (1,184,461) | (12,622,587) | (120,906) | (1,416,080) | (435,859) | (4,257,218) |
Change from Institutional Class Share Transactions | (591,559) | (6,744,028) | 2,963,146 | 32,818,621 | (50,448) | (581,584) | (208,721) | (1,976,849) |
Change from Share Transactions | (12,508) | $(91,427) | 1,362,877 | $16,312,594 | (49,764) | $(573,461) | (186,597) | $(1,765,217) |
Touchstone Credit Opportunities Fund | Touchstone High Yield Fund | ||||||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | ||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
410,630 | $4,099,936 | 226,710 | $2,132,358 | 379,815 | $3,113,583 | 1,582,680 | $12,453,477 |
21,259 | 209,617 | 34,744 | 328,518 | 37,951 | 308,596 | 78,704 | 619,319 |
(234,370) | (2,334,498) | (390,740) | (3,737,180) | (481,788) | (3,942,520) | (1,576,405) | (12,482,226) |
197,519 | 1,975,055 | (129,286) | (1,276,304) | (64,022) | (520,341) | 84,979 | 590,570 |
47,298 | 457,071 | 23,706 | 229,266 | 2,268 | 18,316 | 30,970 | 248,433 |
6,635 | 63,320 | 18,697 | 172,058 | 2,584 | 20,934 | 13,764 | 108,318 |
(100,873) | (965,185) | (262,895) | (2,398,136) | (49,323) | (401,565) | (440,580) | (3,410,363) |
(46,940) | (444,794) | (220,492) | (1,996,812) | (44,471) | (362,315) | (395,846) | (3,053,612) |
1,950,155 | 19,730,589 | 3,275,451 | 30,620,647 | 290,008 | 2,441,674 | 920,919 | 7,440,564 |
141,305 | 1,413,054 | 241,071 | 2,316,256 | 98,048 | 821,053 | 243,031 | 1,968,082 |
(783,644) | (7,812,094) | (4,372,888) | (41,115,601) | (606,397) | (5,080,131) | (2,171,157) | (17,475,571) |
1,307,816 | 13,331,549 | (856,366) | (8,178,698) | (218,341) | (1,817,404) | (1,007,207) | (8,066,925) |
50,514 | 505,906 | 224,585 | 2,072,740 | 881,332 | 7,403,081 | 6,758,203 | 51,917,150 |
161,067 | 1,618,498 | 269,092 | 2,576,499 | 421,144 | 3,525,089 | 921,462 | 7,439,080 |
(377,712) | (3,839,127) | (744,891) | (7,352,162) | (1,437,055) | (12,088,576) | (6,772,227) | (54,142,216) |
(166,131) | (1,714,723) | (251,214) | (2,702,923) | (134,579) | (1,160,406) | 907,438 | 5,214,014 |
1,292,264 | $13,147,087 | (1,457,358) | $(14,154,737) | (461,413) | $(3,860,466) | (410,636) | $(5,315,953) |
Touchstone Impact Bond Fund | Touchstone International ESG Equity Fund | |||||||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A | ||||||||
Proceeds from Shares issued | 625,065 | $6,692,256 | 1,008,475 | $10,659,616 | 347,586 | $2,834,317 | 923,955 | $6,486,887 |
Reinvestment of distributions | 12,597 | 134,536 | 19,409 | 205,746 | 5,449 | 46,211 | 254,450 | 1,876,151 |
Cost of Shares redeemed | (352,359) | (3,775,721) | (465,803) | (4,930,537) | (738,001) | (6,429,235) | (819,208) | (5,759,257) |
Change from Class A Share Transactions | 285,303 | 3,051,071 | 562,081 | 5,934,825 | (384,966) | (3,548,707) | 359,197 | 2,603,781 |
Class C | ||||||||
Proceeds from Shares issued | 32,421 | 346,544 | 74,586 | 788,876 | 1,707 | 14,300 | 15,446 | 112,534 |
Reinvestment of distributions | 755 | 8,081 | 1,371 | 14,475 | — | — | 215,820 | 1,584,118 |
Cost of Shares redeemed | (39,029) | (414,109) | (56,479) | (598,156) | (174,589) | (1,457,178) | (942,454) | (7,064,283) |
Change from Class C Share Transactions | (5,853) | (59,484) | 19,478 | 205,195 | (172,882) | (1,442,878) | (711,188) | (5,367,631) |
Class Y | ||||||||
Proceeds from Shares issued | 4,280,745 | 45,859,049 | 8,069,654 | 85,797,631 | 606,967 | 5,236,964 | 406,292 | 2,937,856 |
Reinvestment of distributions | 141,126 | 1,509,466 | 217,721 | 2,309,981 | 9,217 | 77,978 | 374,707 | 2,755,636 |
Cost of Shares redeemed | (2,179,405) | (23,258,204) | (3,919,622) | (41,832,598) | (200,230) | (1,656,502) | (1,180,936) | (8,520,029) |
Change from Class Y Share Transactions | 2,242,466 | 24,110,311 | 4,367,753 | 46,275,014 | 415,954 | 3,658,440 | (399,937) | (2,826,537) |
Class Z | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Reinvestment of distributions | — | — | — | — | — | — | — | — |
Cost of Shares redeemed | — | — | — | — | — | — | — | — |
Change from Class Z Share Transactions | — | — | — | — | — | — | — | — |
Institutional Class | ||||||||
Proceeds from Shares issued | 2,423,231 | 25,965,898 | 7,608,874 | 80,810,462 | — | — | — | — |
Reinvestment of distributions | 202,751 | 2,168,847 | 382,249 | 4,049,865 | 2 | 19 | 73 | 537 |
Cost of Shares redeemed | (2,944,612) | (31,438,370) | (6,790,781) | (71,837,031) | — | — | — | — |
Change from Institutional Class Share Transactions | (318,630) | (3,303,625) | 1,200,342 | 13,023,296 | 2 | 19 | 73 | 537 |
Class R6 | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Change from Class R6 Share Transactions | — | — | — | — | — | — | — | — |
Change from Share Transactions | 2,203,286 | $23,798,273 | 6,149,654 | $65,438,330 | (141,892) | $(1,333,126) | (751,855) | $(5,589,850) |
Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | ||||||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | ||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
599,775 | $26,352,063 | 1,722,762 | $64,866,031 | 109,182 | $2,072,788 | 167,271 | $2,835,572 |
43,425 | 1,864,324 | 47,647 | 1,878,215 | 777 | 15,458 | 2,680 | 43,450 |
(407,639) | (17,708,831) | (696,341) | (25,168,926) | (84,386) | (1,695,766) | (186,294) | (3,170,552) |
235,561 | 10,507,556 | 1,074,068 | 41,575,320 | 25,573 | 392,480 | (16,343) | (291,530) |
327,491 | 13,252,818 | 1,009,530 | 35,646,237 | 36,417 | 794,962 | 17,375 | 282,392 |
39,173 | 1,562,270 | 39,569 | 1,450,587 | — | — | — | — |
(301,948) | (12,267,169) | (718,343) | (24,800,454) | (24,710) | (473,138) | (123,216) | (1,940,563) |
64,716 | 2,547,919 | 330,756 | 12,296,370 | 11,707 | 321,824 | (105,841) | (1,658,171) |
18,976,141 | 831,231,037 | 45,964,555 | 1,678,307,060 | 3,168,751 | 64,270,154 | 6,084,202 | 91,902,451 |
1,191,861 | 51,892,782 | 895,607 | 35,746,662 | 36,963 | 738,895 | 139,585 | 2,250,156 |
(11,429,533) | (507,761,825) | (15,448,861) | (559,596,378) | (3,984,731) | (80,552,693) | (4,289,355) | (71,611,364) |
8,738,469 | 375,361,994 | 31,411,301 | 1,154,457,344 | (779,017) | (15,543,644) | 1,934,432 | 22,541,243 |
200,194 | 8,622,558 | 2,904,292 | 111,061,392 | — | — | — | — |
29,122 | 1,240,929 | 79,863 | 3,127,421 | — | — | — | — |
(896,629) | (37,689,958) | (2,588,966) | (92,893,080) | — | — | — | — |
(667,313) | (27,826,471) | 395,189 | 21,295,733 | — | — | — | — |
5,441,897 | 241,719,320 | 26,747,272 | 993,416,727 | 3,945,184 | 80,487,182 | 10,230,169 | 172,561,478 |
305,343 | 13,325,183 | 187,288 | 7,491,088 | 44,692 | 898,295 | 218,352 | 3,569,822 |
(4,951,077) | (220,920,862) | (4,339,171) | (161,625,949) | (6,287,811) | (127,141,581) | (13,557,431) | (228,161,197) |
796,163 | 34,123,641 | 22,595,389 | 839,281,866 | (2,297,935) | (45,756,104) | (3,108,910) | (52,029,897) |
26,218 | 1,232,691 | — | — | — | — | — | — |
26,218 | 1,232,691 | — | — | — | — | — | — |
9,193,814 | $395,947,330 | 55,806,703 | $2,068,906,633 | (3,039,672) | $(60,585,444) | (1,296,662) | $(31,438,355) |
Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | |||||||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A | ||||||||
Proceeds from Shares issued | 2,630,716 | $48,635,115 | 3,858,599 | $57,182,170 | 20,596 | $265,447 | 188,126 | $1,921,153 |
Reinvestment of distributions | 726,548 | 12,765,441 | 937,160 | 10,739,861 | 5,640 | 70,614 | 26,489 | 310,982 |
Cost of Shares redeemed | (1,920,163) | (34,946,654) | (2,097,033) | (27,903,644) | (73,225) | (939,526) | (99,225) | (1,060,102) |
Change from Class A Share Transactions | 1,437,101 | 26,453,902 | 2,698,726 | 40,018,387 | (46,989) | (603,465) | 115,390 | 1,172,033 |
Class C | ||||||||
Proceeds from Shares issued | 400,194 | 6,214,286 | 973,913 | 11,016,497 | 35,099 | 451,500 | 12,153 | 125,116 |
Reinvestment of distributions | 280,249 | 4,077,626 | 829,669 | 8,089,277 | 381 | 4,341 | 23,637 | 254,101 |
Cost of Shares redeemed | (1,025,080) | (15,832,020) | (3,676,450) | (44,858,208) | (11,064) | (123,153) | (298,437) | (2,857,698) |
Change from Class C Share Transactions | (344,637) | (5,540,108) | (1,872,868) | (25,752,434) | 24,416 | 332,688 | (262,647) | (2,478,481) |
Class S | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Reinvestment of distributions | — | — | — | — | — | — | — | — |
Cost of Shares redeemed | — | — | — | — | — | — | — | — |
Change from Class S Share Transactions | — | — | — | — | — | — | — | — |
Class Y | ||||||||
Proceeds from Shares issued | 15,256,099 | 311,871,400 | 46,697,761 | 670,397,782 | 359,353 | 4,689,989 | 1,054,148 | 10,187,062 |
Reinvestment of distributions | 6,900,842 | 134,290,391 | 12,162,722 | 152,642,157 | 79,888 | 1,025,095 | 244,189 | 2,930,498 |
Cost of Shares redeemed | (18,513,324) | (383,124,552) | (53,076,537) | (768,001,131) | (593,016) | (7,952,547) | (673,533) | (7,321,242) |
Change from Class Y Share Transactions | 3,643,617 | 63,037,239 | 5,783,946 | 55,038,808 | (153,775) | (2,237,463) | 624,804 | 5,796,318 |
Class Z | ||||||||
Proceeds from Shares issued | 1,708,850 | 31,911,167 | 3,308,441 | 45,581,481 | — | — | — | — |
Reinvestment of distributions | 2,953,208 | 51,976,461 | 6,518,393 | 74,831,156 | — | — | — | — |
Cost of Shares redeemed | (3,557,968) | (65,944,336) | (16,261,699) | (212,023,027) | — | — | — | — |
Change from Class Z Share Transactions | 1,104,090 | 17,943,292 | (6,434,865) | (91,610,390) | — | — | — | — |
Institutional Class | ||||||||
Proceeds from Shares issued | 19,632,460 | 406,911,598 | 126 | 2,500 | 646,454 | 8,471,832 | 1,434,694 | 14,908,352 |
Proceeds from Shares issued in connection with merger(A) | 128,604,796 | 2,547,803,595 | — | — | — | — | — | — |
Reinvestment of distributions | 435 | 8,474 | — | — | 78,422 | 1,002,693 | 265,143 | 3,174,041 |
Cost of Shares redeemed | (26,237,168) | (540,730,464) | — | — | (771,970) | (10,024,603) | (1,456,134) | (15,374,523) |
Change from Institutional Class Share Transactions | 122,000,523 | 2,413,993,203 | 126 | 2,500 | (47,094) | (550,078) | 243,703 | 2,707,870 |
Class R6 | ||||||||
Proceeds from Shares issued | 6,030,810 | 124,389,461 | 831,692 | 15,504,377 | — | — | — | — |
Reinvestment of distributions | 5,281 | 102,763 | — | — | — | — | — | — |
Cost of Shares redeemed | (817,408) | (16,581,977) | (831,566) | (15,700,235) | — | — | — | — |
Change from Class R6 Share Transactions | 5,218,683 | 107,910,247 | 126 | (195,858) | — | — | — | — |
Change from Share Transactions | 133,059,377 | $2,623,797,775 | 175,191 | $(22,498,987) | (223,442) | $(3,058,318) | 721,250 | $7,197,740 |
(A) | See Note 9 in Notes to Financial Statements. |
Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund | ||||||
For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six Months Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | ||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
33,069 | $801,201 | 39,242 | $798,786 | 2,537,466 | $23,433,570 | 8,960,406 | $82,215,390 |
2,306 | 60,923 | 2,244 | 58,275 | 66,926 | 618,109 | 158,190 | 1,456,627 |
(40,276) | (1,072,748) | (255,442) | (5,496,226) | (1,344,323) | (12,420,161) | (3,374,696) | (31,039,396) |
(4,901) | (210,624) | (213,956) | (4,639,165) | 1,260,069 | 11,631,518 | 5,743,900 | 52,632,621 |
2,347 | 60,959 | 6,352 | 126,520 | 121,132 | 1,119,773 | 702,000 | 6,480,454 |
32 | 817 | 16 | 399 | 551 | 5,094 | 4,460 | 41,073 |
(4,598) | (122,247) | (17,500) | (355,218) | (164,481) | (1,520,857) | (589,856) | (5,434,947) |
(2,219) | (60,471) | (11,132) | (228,299) | (42,798) | (395,990) | 116,604 | 1,086,580 |
— | — | — | — | 857,700 | 7,924,643 | 2,653,440 | 24,519,195 |
— | — | — | — | 22,325 | 206,239 | 209,016 | 1,924,465 |
— | — | — | — | (1,381,440) | (12,762,801) | (10,805,304) | (99,176,330) |
— | — | — | — | (501,415) | (4,631,919) | (7,942,848) | (72,732,670) |
57,585 | 1,541,932 | 556,684 | 12,751,490 | 10,720,025 | 99,081,178 | 14,667,523 | 135,130,770 |
4,570 | 120,978 | 6,617 | 151,370 | 160,933 | 1,486,863 | 555,625 | 5,116,254 |
(155,008) | (4,096,254) | (223,585) | (4,827,025) | (7,248,784) | (66,981,447) | (16,470,996) | (151,437,130) |
(92,853) | (2,433,344) | 339,716 | 8,075,835 | 3,632,174 | 33,586,594 | (1,247,848) | (11,190,106) |
— | — | — | — | 1,404,594 | 12,969,966 | 2,327,500 | 21,447,601 |
— | — | — | — | 45,939 | 424,338 | 219,442 | 2,022,381 |
— | — | — | — | (2,258,675) | (20,874,911) | (7,033,838) | (64,723,235) |
— | — | — | — | (808,142) | (7,480,607) | (4,486,896) | (41,253,253) |
19,115 | 514,136 | 317,668 | 7,027,284 | 24,834,881 | 229,219,625 | 21,283,017 | 196,198,659 |
— | — | — | — | — | — | — | — |
495 | 13,106 | 2,383 | 54,914 | 318,802 | 2,943,028 | 910,377 | 8,372,252 |
(107,836) | (2,857,311) | (1,610,102) | (33,727,826) | (16,590,629) | (153,150,850) | (16,097,325) | (147,659,585) |
(88,226) | (2,330,069) | (1,290,051) | (26,645,628) | 8,563,054 | 79,011,803 | 6,096,069 | 56,911,326 |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
(188,199) | $(5,034,508) | (1,175,423) | $(23,437,257) | 12,102,942 | $111,721,399 | (1,721,019) | $(14,545,502) |
Touchstone Active Bond Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $11.23 | $10.68 | $10.01 | $10.47 | $10.59 | $10.20 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.13(A) | 0.28(A) | 0.27 | 0.23 | 0.24 | 0.26 |
Net realized and unrealized gains (losses) on investments | (0.22) | 0.55 | 0.68 | (0.43) | (0.11) | 0.43 |
Total from investment operations: | (0.09) | 0.83 | 0.95 | (0.20) | 0.13 | 0.69 |
Distributions from: | ||||||
Net investment income | (0.14) | (0.28) | (0.28) | (0.26) | (0.25) | (0.30) |
Realized capital gains | — | — | — | —(B) | — | — |
Total distributions | (0.14) | (0.28) | (0.28) | (0.26) | (0.25) | (0.30) |
Net asset value at end of period | $11.00 | $11.23 | $10.68 | $10.01 | $10.47 | $10.59 |
Total return(C) | (0.81%)(D) | 7.91% | 9.68% | (1.87%) | 1.26% | 6.90% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $123,786 | $128,086 | $127,502 | $133,083 | $22,117 | $25,324 |
Ratio to average net assets: | ||||||
Net expenses | 0.90%(E) | 0.90% | 0.90% | 0.90% | 0.90% | 0.90% |
Gross expenses | 0.94%(E) | 0.95% | 1.00% | 0.97% | 1.18% | 1.19% |
Net investment income | 2.34%(E) | 2.54% | 2.68% | 2.34% | 2.33% | 2.52% |
Portfolio turnover rate | 79%(D) | 261% | 235% | 448%(F) | 496% | 590% |
Touchstone Active Bond Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $10.30 | $9.82 | $9.23 | $9.68 | $9.82 | $9.48 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.08(A) | 0.18(A) | 0.12 | 0.20 | 0.14 | 0.16 |
Net realized and unrealized gains (losses) on investments | (0.20) | 0.51 | 0.68 | (0.46) | (0.10) | 0.41 |
Total from investment operations: | (0.12) | 0.69 | 0.80 | (0.26) | 0.04 | 0.57 |
Distributions from: | ||||||
Net investment income | (0.10) | (0.21) | (0.21) | (0.19) | (0.18) | (0.23) |
Realized capital gains | — | — | — | —(B) | — | — |
Total distributions | (0.10) | (0.21) | (0.21) | (0.19) | (0.18) | (0.23) |
Net asset value at end of period | $10.08 | $10.30 | $9.82 | $9.23 | $9.68 | $9.82 |
Total return(C) | (1.15%)(D) | 7.11% | 8.83% | (2.64%) | 0.52% | 6.03% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $4,582 | $5,618 | $11,743 | $23,807 | $4,642 | $6,513 |
Ratio to average net assets: | ||||||
Net expenses | 1.65%(E) | 1.65% | 1.65% | 1.65% | 1.65% | 1.65% |
Gross expenses | 2.08%(E) | 1.93% | 1.85% | 1.79% | 2.18% | 2.09% |
Net investment income | 1.59%(E) | 1.79% | 1.93% | 1.59% | 1.58% | 1.77% |
Portfolio turnover rate | 79%(D) | 261% | 235% | 448%(F) | 496% | 590% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | Portfolio turnover excludes the purchases and sales of securities by the Sentinel Government Securities Fund and Sentinel Total Return Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Active Bond Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $11.22 | $10.67 | $10.00 | $10.46 | $10.59 | $10.20 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.15(A) | 0.30(A) | 0.31 | 0.26 | 0.27 | 0.29 |
Net realized and unrealized gains (losses) on investments | (0.22) | 0.56 | 0.67 | (0.43) | (0.12) | 0.43 |
Total from investment operations: | (0.07) | 0.86 | 0.98 | (0.17) | 0.15 | 0.72 |
Distributions from: | ||||||
Net investment income | (0.16) | (0.31) | (0.31) | (0.29) | (0.28) | (0.33) |
Realized capital gains | — | — | — | —(B) | — | — |
Total distributions | (0.16) | (0.31) | (0.31) | (0.29) | (0.28) | (0.33) |
Net asset value at end of period | $10.99 | $11.22 | $10.67 | $10.00 | $10.46 | $10.59 |
Total return | (0.68%)(C) | 8.18% | 9.96% | (1.62%) | 1.43% | 7.18% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $97,473 | $90,235 | $90,336 | $165,937 | $79,648 | $76,544 |
Ratio to average net assets: | ||||||
Net expenses | 0.65%(D) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% |
Gross expenses | 0.70%(D) | 0.73% | 0.73% | 0.70% | 0.86% | 0.90% |
Net investment income | 2.59%(D) | 2.79% | 2.93% | 2.59% | 2.58% | 2.77% |
Portfolio turnover rate | 79%(C) | 261% | 235% | 448%(E) | 496% | 590% |
Touchstone Active Bond Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $11.22 | $10.67 | $10.00 | $10.46 | $10.58 | $10.19 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.15(A) | 0.31(A) | 0.30 | 0.27 | 0.25 | 0.33 |
Net realized and unrealized gains (losses) on investments | (0.22) | 0.56 | 0.69 | (0.43) | (0.09) | 0.40 |
Total from investment operations: | (0.07) | 0.87 | 0.99 | (0.16) | 0.16 | 0.73 |
Distributions from: | ||||||
Net investment income | (0.16) | (0.32) | (0.32) | (0.30) | (0.28) | (0.34) |
Realized capital gains | — | — | — | —(B) | — | — |
Total distributions | (0.16) | (0.32) | (0.32) | (0.30) | (0.28) | (0.34) |
Net asset value at end of period | $10.99 | $11.22 | $10.67 | $10.00 | $10.46 | $10.58 |
Total return | (0.65%)(C) | 8.23% | 10.06% | (1.54%) | 1.61% | 7.27% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $125,422 | $134,659 | $96,477 | $38,715 | $20,800 | $6,841 |
Ratio to average net assets: | ||||||
Net expenses | 0.57%(D) | 0.57% | 0.57% | 0.57% | 0.57% | 0.57% |
Gross expenses | 0.61%(D) | 0.63% | 0.66% | 0.66% | 0.87% | 1.00% |
Net investment income | 2.67%(D) | 2.87% | 3.01% | 2.67% | 2.66% | 2.85% |
Portfolio turnover rate | 79%(C) | 261% | 235% | 448%(E) | 496% | 590% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share. |
(C) | Not annualized. |
(D) | Annualized. |
(E) | Portfolio turnover excludes the purchases and sales of securities by the Sentinel Government Securities Fund and Sentinel Total Return Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Anti-Benchmark® International Core Equity Fund—Class Y | |||
Selected Data for a Share Outstanding Throughout Each Period | |||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Period Ended September 30, 2019(A) | |
Net asset value at beginning of period | $10.86 | $10.20 | $10.00 |
Income (loss) from investment operations: | |||
Net investment income | 0.03 | 0.08 | 0.24 |
Net realized and unrealized gains (losses) on investments | 1.09 | 0.81 | (0.03) |
Total from investment operations: | 1.12 | 0.89 | 0.21 |
Distributions from: | |||
Net investment income | (0.20) | (0.23) | (0.01) |
Net asset value at end of period | $11.78 | $10.86 | $10.20 |
Total return | 10.32%(B) | 8.74% | 2.13%(B) |
Ratios and supplemental data: | |||
Net assets at end of period (000's) | $272 | $243 | $3 |
Ratio to average net assets: | |||
Net expenses | 0.69%(C) | 0.69% | 0.69%(C) |
Gross expenses | 4.49%(C) | 9.11% | 373.97%(C) |
Net investment income | 0.50%(C) | 1.43% | 2.74%(C) |
Portfolio turnover rate | 36%(B) | 79% | 117%(B)(D) |
Touchstone Anti-Benchmark® International Core Equity Fund—Institutional Class | |||
Selected Data for a Share Outstanding Throughout Each Period | |||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Period Ended September 30, 2019(A) | |
Net asset value at beginning of period | $10.88 | $10.20 | $10.00 |
Income (loss) from investment operations: | |||
Net investment income | 0.04 | 0.17 | 0.21 |
Net realized and unrealized gains on investments | 1.09 | 0.75 | — |
Total from investment operations: | 1.13 | 0.92 | 0.21 |
Distributions from: | |||
Net investment income | (0.22) | (0.24) | (0.01) |
Net asset value at end of period | $11.79 | $10.88 | $10.20 |
Total return | 10.33%(B) | 9.00% | 2.14%(B) |
Ratios and supplemental data: | |||
Net assets at end of period (000's) | $39,382 | $36,876 | $36,710 |
Ratio to average net assets: | |||
Net expenses | 0.59%(C) | 0.59% | 0.59%(C) |
Gross expenses | 0.94%(C) | 0.96% | 1.13%(C) |
Net investment income | 0.60%(C) | 1.53% | 2.84%(C) |
Portfolio turnover rate | 36%(B) | 79% | 117%(B)(D) |
(A) | Represents the period from commencement of operations (November 19, 2018) through September 30, 2019. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Portfolio turnover excludes securities received from processing a subscription-in-kind. |
Touchstone Credit Opportunities Fund—Class A | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Three Months Ended September 30, 2019(A) | Year Ended June 30, | Period Ended June 30, 2016(B) | |||
2019 | 2018 | 2017 | |||||
Net asset value at beginning of period | $9.45 | $10.03 | $9.95 | $9.96 | $10.41 | $10.05 | $10.00 |
Income (loss) from investment operations: | |||||||
Net investment income | 0.28 | 0.57 | 0.20 | 0.52 | 0.49 | 0.45 | 0.22 |
Net realized and unrealized gains (losses) on investments | 0.68 | (0.61) | 0.04 | 0.12 | (0.13) | 0.45 | 0.07 |
Total from investment operations: | 0.96 | (0.04) | 0.24 | 0.64 | 0.36 | 0.90 | 0.29 |
Distributions from: | |||||||
Net investment income | (0.35) | (0.54) | (0.12) | (0.54) | (0.53) | (0.47) | (0.23) |
Realized capital gains | — | — | (0.04) | (0.11) | (0.28) | (0.07) | (0.01) |
Total distributions | (0.35) | (0.54) | (0.16) | (0.65) | (0.81) | (0.54) | (0.24) |
Net asset value at end of period | $10.06 | $9.45 | $10.03 | $9.95 | $9.96 | $10.41 | $10.05 |
Total return(C) | 10.25%(D) | (0.29%) | 1.40%(D) | 6.69% | 3.50% | 9.08% | 2.95%(D) |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $7,948 | $5,597 | $7,239 | $226 | $153 | $45 | $43 |
Ratio to average net assets: | |||||||
Net expenses (including dividend and interest expense on securities sold short)(E) | 1.15%(F) | 1.18% | 1.18%(F) | 1.55% | 1.76% | 1.87% | 1.73%(F) |
Gross expenses (including dividend and interest expense on securities sold short)(G) | 1.54%(F) | 1.61% | 2.55%(F) | 7.56% | 10.00% | 16.01% | 38.32%(F) |
Net investment income | 5.52%(F) | 5.90% | 5.43%(F) | 5.46% | 5.00% | 4.44% | 3.53%(F) |
Portfolio turnover rate | 48%(D) | 115% | 28%(D)(H) | 94% | 70% | 84% | 91%(D) |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | Represents the period from commencement of operations (September 1, 2015) through June 30, 2016. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short was 1.08%, 1.08%, 1.08%, 1.45%, 1.69%, 1.69% and 1.69% for the six months ended March 31, 2021, for the year ended September 30, 2020, for the period ended September 30, 2019, years ended June 30, 2019, 2018, 2017 and for the period ended June 30, 2016, respectively. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 1.47%, 1.51%, 2.45%, 7.46%, 9.93%, 15.83% and 38.28% for the six months ended March 31, 2021, for the year ended September 30, 2020, for the period ended September 30, 2019, years ended June 30, 2019, 2018, 2017 and for the period ended June 30, 2016, respectively. |
(H) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Credit Opportunities Fund—Class C | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Three Months Ended September 30, 2019(A) | Year Ended June 30, | Period Ended June 30, 2016(B) | |||
2019 | 2018 | 2017 | |||||
Net asset value at beginning of period | $9.18 | $9.75 | $9.98 | $10.00 | $10.44 | $10.08 | $10.00 |
Income (loss) from investment operations: | |||||||
Net investment income | 0.24 | 0.52 | 0.19 | 0.43 | 0.44 | 0.34 | 0.17 |
Net realized and unrealized gains (losses) on investments | 0.65 | (0.62) | (0.27) | 0.14 | (0.15) | 0.48 | 0.08 |
Total from investment operations: | 0.89 | (0.10) | (0.08) | 0.57 | 0.29 | 0.82 | 0.25 |
Distributions from: | |||||||
Net investment income | (0.31) | (0.47) | (0.11) | (0.48) | (0.45) | (0.39) | (0.16) |
Realized capital gains | — | — | (0.04) | (0.11) | (0.28) | (0.07) | (0.01) |
Total distributions | (0.31) | (0.47) | (0.15) | (0.59) | (0.73) | (0.46) | (0.17) |
Net asset value at end of period | $9.76 | $9.18 | $9.75 | $9.98 | $10.00 | $10.44 | $10.08 |
Total return(C) | 9.78%(D) | (0.98%) | 1.15%(D) | 5.97% | 2.69% | 8.31% | 2.59%(D) |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $1,931 | $2,246 | $4,538 | $127 | $22 | $22 | $6 |
Ratio to average net assets: | |||||||
Net expenses (including dividend and interest expense on securities sold short)(E) | 1.90%(F) | 1.93% | 1.93%(F) | 2.26% | 2.51% | 2.62% | 2.48%(F) |
Gross expenses (including dividend and interest expense on securities sold short)(G) | 2.98%(F) | 2.61% | 3.62%(F) | 11.81% | 34.60% | 73.30% | 276.34%(F) |
Net investment income | 4.77%(F) | 5.15% | 4.68%(F) | 4.75% | 4.25% | 3.69% | 2.79%(F) |
Portfolio turnover rate | 48%(D) | 115% | 28%(D)(H) | 94% | 70% | 84% | 91%(D) |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | Represents the period from commencement of operations (September 1, 2015) through June 30, 2016. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short was 1.83%, 1.83%, 1.83%, 2.16%, 2.44%, 2.44% and 2.44% for the six months ended March 31, 2021, for the year ended September 30, 2020, for the period ended September 30, 2019, years ended June 30, 2019, 2018, 2017 and for the period ended June 30, 2016, respectively. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 2.91%, 2.51%, 3.52%, 11.71%, 34.53%, 73.12% and 276.30% for the six months ended March 31, 2021, for the year ended September 30, 2020, for the period ended September 30, 2019, years ended June 30, 2019, 2018, 2017 and for the period ended June 30, 2016, respectively. |
(H) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Credit Opportunities Fund—Class Y | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Three Months Ended September 30, 2019(A) | Year Ended June 30, | Period Ended June 30, 2016(B) | |||
2019 | 2018 | 2017 | |||||
Net asset value at beginning of period | $9.57 | $10.16 | $9.95 | $9.96 | $10.41 | $10.04 | $10.00 |
Income (loss) from investment operations: | |||||||
Net investment income | 0.30 | 0.59 | 0.17 | 0.60 | 0.50 | 0.39 | 0.31 |
Net realized and unrealized gains (losses) on investments | 0.69 | (0.62) | 0.21 | 0.06 | (0.12) | 0.54 | (0.02) |
Total from investment operations: | 0.99 | (0.03) | 0.38 | 0.66 | 0.38 | 0.93 | 0.29 |
Distributions from: | |||||||
Net investment income | (0.36) | (0.56) | (0.13) | (0.56) | (0.55) | (0.49) | (0.24) |
Realized capital gains | — | — | (0.04) | (0.11) | (0.28) | (0.07) | (0.01) |
Total distributions | (0.36) | (0.56) | (0.17) | (0.67) | (0.83) | (0.56) | (0.25) |
Net asset value at end of period | $10.20 | $9.57 | $10.16 | $9.95 | $9.96 | $10.41 | $10.04 |
Total return | 10.45%(C) | (0.13%) | 1.54%(C) | 7.05% | 3.73% | 9.39% | 3.04%(C) |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $52,288 | $36,558 | $47,483 | $11,356 | $444 | $315 | $3 |
Ratio to average net assets: | |||||||
Net expenses (including dividend and interest expense on securities sold short)(D) | 0.90%(E) | 0.93% | 0.93%(E) | 1.09% | 1.51% | 1.62% | 1.48%(E) |
Gross expenses (including dividend and interest expense on securities sold short)(F) | 1.11%(E) | 1.20% | 1.60%(E) | 1.71% | 4.29% | 8.25% | 355.77%(E) |
Net investment income | 5.77%(E) | 6.15% | 5.68%(E) | 5.93% | 5.25% | 4.69% | 3.79%(E) |
Portfolio turnover rate | 48%(C) | 115% | 28%(C)(G) | 94% | 70% | 84% | 91%(C) |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | Represents the period from commencement of operations (September 1, 2015) through June 30, 2016. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short was 0.83%, 0.83%, 0.83%, 0.99%, 1.44%, 1.44% and 1.44% for the six months ended March 31, 2021, for the year ended September 30, 2020, for the period ended September 30, 2019, years ended June 30, 2019, 2018, 2017 and for the period ended June 30, 2016, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 1.04%, 1.10%, 1.50%, 1.61%, 4.22%, 8.07% and 355.73% for the six months ended March 31, 2021, for the year ended September 30, 2020, for the period ended September 30, 2019, years ended June 30, 2019, 2018, 2017 and for the period ended June 30, 2016, respectively. |
(G) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Credit Opportunities Fund—Institutional Class | |||||||
Selected Data for a Share Outstanding Throughout Each Period | |||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Three Months Ended September 30, 2019(A) | Year Ended June 30, | Period Ended June 30, 2016(B) | |||
2019 | 2018 | 2017 | |||||
Net asset value at beginning of period | $9.63 | $10.22 | $9.95 | $9.96 | $10.41 | $10.05 | $10.00 |
Income (loss) from investment operations: | |||||||
Net investment income | 0.30 | 0.61 | 0.15 | 0.58 | 0.55 | 0.50 | 0.28 |
Net realized and unrealized gains (losses) on investments | 0.70 | (0.63) | 0.29 | 0.09 | (0.16) | 0.43 | 0.03 |
Total from investment operations: | 1.00 | (0.02) | 0.44 | 0.67 | 0.39 | 0.93 | 0.31 |
Distributions from: | |||||||
Net investment income | (0.37) | (0.57) | (0.13) | (0.57) | (0.56) | (0.50) | (0.25) |
Realized capital gains | — | — | (0.04) | (0.11) | (0.28) | (0.07) | (0.01) |
Total distributions | (0.37) | (0.57) | (0.17) | (0.68) | (0.84) | (0.57) | (0.26) |
Net asset value at end of period | $10.26 | $9.63 | $10.22 | $9.95 | $9.96 | $10.41 | $10.05 |
Total return | 10.45%(C) | (0.02%) | 1.57%(C) | 7.04% | 3.85% | 9.47% | 3.22%(C) |
Ratios and supplemental data: | |||||||
Net assets at end of period (000's) | $44,095 | $42,982 | $48,158 | $47,531 | $51,715 | $53,150 | $54,411 |
Ratio to average net assets: | |||||||
Net expenses (including dividend and interest expense on securities sold short)(D) | 0.80%(E) | 0.83% | 0.83%(E) | 1.24% | 1.41% | 1.52% | 1.38%(E) |
Gross expenses (including dividend and interest expense on securities sold short)(F) | 1.00%(E) | 1.06% | 1.36%(E) | 1.50% | 1.59% | 1.69% | 1.65%(E) |
Net investment income | 5.87%(E) | 6.25% | 5.78%(E) | 5.78% | 5.35% | 4.79% | 3.88%(E) |
Portfolio turnover rate | 48%(C) | 115% | 28%(C)(G) | 94% | 70% | 84% | 91%(C) |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | Represents the period from commencement of operations (September 1, 2015) through June 30, 2016. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding dividend and interest expense on securities sold short was 0.73%, 0.73%, 0.73%, 1.14%, 1.34%, 1.34% and 1.34% for the six months ended March 31, 2021, for the year ended September 30, 2020, for the period ended September 30, 2019, years ended June 30, 2019, 2018, 2017 and for the period ended June 30, 2016, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 0.93%, 0.96%, 1.26%, 1.40%, 1.52%, 1.51%and 1.61% for the six months ended March 31, 2021, for the year ended September 30, 2020, for the period ended September 30, 2019, years ended June 30, 2019, 2018, 2017 and for the period ended June 30, 2016, respectively. |
(G) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone High Yield Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $7.86 | $8.27 | $8.12 | $8.43 | $8.21 | $7.95 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.20 | 0.39 | 0.40 | 0.41 | 0.39 | 0.41 |
Net realized and unrealized gains (losses) on investments | 0.32 | (0.41) | 0.16 | (0.31) | 0.21 | 0.26 |
Total from investment operations: | 0.52 | (0.02) | 0.56 | 0.10 | 0.60 | 0.67 |
Distributions from: | ||||||
Net investment income | (0.20) | (0.39) | (0.41) | (0.41) | (0.38) | (0.41) |
Net asset value at end of period | $8.18 | $7.86 | $8.27 | $8.12 | $8.43 | $8.21 |
Total return(A) | 6.59%(B) | (0.13%) | 7.08% | 1.24% | 7.45% | 8.78% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $14,643 | $14,578 | $14,642 | $12,457 | $16,925 | $20,995 |
Ratio to average net assets: | ||||||
Net expenses | 1.05%(C) | 1.05% | 1.05% | 1.05% | 1.05% | 1.05% |
Gross expenses | 1.23%(C) | 1.25% | 1.28% | 1.29% | 1.24% | 1.23% |
Net investment income | 4.60%(C) | 4.84% | 4.95% | 4.76% | 4.63% | 5.19% |
Portfolio turnover rate | 45%(B) | 89% | 63% | 59% | 69% | 56% |
Touchstone High Yield Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $7.84 | $8.25 | $8.10 | $8.41 | $8.19 | $7.93 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.14 | 0.29 | 0.34 | 0.34 | 0.33 | 0.35 |
Net realized and unrealized gains (losses) on investments | 0.35 | (0.37) | 0.16 | (0.30) | 0.21 | 0.26 |
Total from investment operations: | 0.49 | (0.08) | 0.50 | 0.04 | 0.54 | 0.61 |
Distributions from: | ||||||
Net investment income | (0.17) | (0.33) | (0.35) | (0.35) | (0.32) | (0.35) |
Net asset value at end of period | $8.16 | $7.84 | $8.25 | $8.10 | $8.41 | $8.19 |
Total return(A) | 6.22%(B) | (0.89%) | 6.31% | 0.50% | 6.68% | 7.99% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $938 | $1,250 | $4,582 | $9,444 | $13,025 | $16,372 |
Ratio to average net assets: | ||||||
Net expenses | 1.80%(C) | 1.80% | 1.80% | 1.80% | 1.80% | 1.80% |
Gross expenses | 3.19%(C) | 2.35% | 2.10% | 2.00% | 1.97% | 1.94% |
Net investment income | 3.85%(C) | 4.09% | 4.20% | 4.01% | 3.88% | 4.44% |
Portfolio turnover rate | 45%(B) | 89% | 63% | 59% | 69% | 56% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Not annualized. |
(C) | Annualized. |
Touchstone High Yield Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $8.09 | $8.52 | $8.35 | $8.67 | $8.44 | $8.16 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.21 | 0.44 | 0.47 | 0.44 | 0.43 | 0.46 |
Net realized and unrealized gains (losses) on investments | 0.33 | (0.45) | 0.14 | (0.32) | 0.21 | 0.25 |
Total from investment operations: | 0.54 | (0.01) | 0.61 | 0.12 | 0.64 | 0.71 |
Distributions from: | ||||||
Net investment income | (0.21) | (0.42) | (0.44) | (0.44) | (0.41) | (0.43) |
Net asset value at end of period | $8.42 | $8.09 | $8.52 | $8.35 | $8.67 | $8.44 |
Total return | 6.72%(A) | 0.02% | 7.52% | 1.44% | 7.74% | 9.11% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $33,220 | $33,694 | $44,030 | $63,983 | $75,435 | $85,739 |
Ratio to average net assets: | ||||||
Net expenses | 0.80%(B) | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% |
Gross expenses | 0.91%(B) | 0.89% | 0.91% | 0.88% | 0.90% | 0.91% |
Net investment income | 4.85%(B) | 5.09% | 5.20% | 5.01% | 4.88% | 5.44% |
Portfolio turnover rate | 45%(A) | 89% | 63% | 59% | 69% | 56% |
Touchstone High Yield Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $8.09 | $8.51 | $8.35 | $8.66 | $8.43 | $8.16 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.20 | 0.43 | 0.44 | 0.44 | 0.42 | 0.44 |
Net realized and unrealized gains (losses) on investments | 0.34 | (0.42) | 0.16 | (0.30) | 0.22 | 0.27 |
Total from investment operations: | 0.54 | 0.01 | 0.60 | 0.14 | 0.64 | 0.71 |
Distributions from: | ||||||
Net investment income | (0.21) | (0.43) | (0.44) | (0.45) | (0.41) | (0.44) |
Net asset value at end of period | $8.42 | $8.09 | $8.51 | $8.35 | $8.66 | $8.43 |
Total return | 6.77%(A) | 0.21% | 7.47% | 1.63% | 7.70% | 9.19% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $140,351 | $135,974 | $135,328 | $111,705 | $112,503 | $93,267 |
Ratio to average net assets: | ||||||
Net expenses | 0.72%(B) | 0.72% | 0.72% | 0.72% | 0.72% | 0.72% |
Gross expenses | 0.75%(B) | 0.75% | 0.77% | 0.76% | 0.75% | 0.77% |
Net investment income | 4.93%(B) | 5.17% | 5.28% | 5.09% | 4.96% | 5.52% |
Portfolio turnover rate | 45%(A) | 89% | 63% | 59% | 69% | 56% |
(A) | Not annualized. |
(B) | Annualized. |
Touchstone Impact Bond Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $10.80 | $10.44 | $9.77 | $10.13 | $10.38 | $10.19 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.08 | 0.19 | 0.23 | 0.22 | 0.18 | 0.24 |
Net realized and unrealized gains (losses) on investments | (0.34) | 0.37 | 0.69 | (0.33) | (0.17) | 0.22 |
Total from investment operations: | (0.26) | 0.56 | 0.92 | (0.11) | 0.01 | 0.46 |
Distributions from: | ||||||
Net investment income | (0.10) | (0.20) | (0.25) | (0.25) | (0.26) | (0.27) |
Net asset value at end of period | $10.44 | $10.80 | $10.44 | $9.77 | $10.13 | $10.38 |
Total return(A) | (2.43%)(B) | 5.46% | 9.59% | (1.07%) | 0.15% | 4.57% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $18,923 | $16,509 | $10,083 | $5,697 | $5,137 | $8,639 |
Ratio to average net assets: | ||||||
Net expenses | 0.85%(C) | 0.85% | 0.85% | 0.85% | 0.85% | 0.87% |
Gross expenses | 0.94%(C) | 1.03% | 1.19% | 1.30% | 1.22% | 1.25% |
Net investment income | 1.54%(C) | 1.83% | 2.28% | 2.25% | 1.98% | 2.26% |
Portfolio turnover rate | 12%(B) | 21% | 22% | 40% | 18% | 12% |
Touchstone Impact Bond Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $10.79 | $10.43 | $9.75 | $10.12 | $10.36 | $10.18 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.04 | 0.12 | 0.16 | 0.16 | 0.11 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.34) | 0.37 | 0.70 | (0.35) | (0.17) | 0.22 |
Total from investment operations: | (0.30) | 0.49 | 0.86 | (0.19) | (0.06) | 0.37 |
Distributions from: | ||||||
Net investment income | (0.06) | (0.13) | (0.18) | (0.18) | (0.18) | (0.19) |
Net asset value at end of period | $10.43 | $10.79 | $10.43 | $9.75 | $10.12 | $10.36 |
Total return(A) | (2.80%)(B) | 4.69% | 8.89% | (1.94%) | (0.51%) | 3.70% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $1,617 | $1,737 | $1,475 | $1,087 | $1,876 | $2,813 |
Ratio to average net assets: | ||||||
Net expenses | 1.60%(C) | 1.60% | 1.60% | 1.60% | 1.60% | 1.62% |
Gross expenses | 2.44%(C) | 2.55% | 2.94% | 2.78% | 2.30% | 2.19% |
Net investment income | 0.79%(C) | 1.08% | 1.53% | 1.50% | 1.23% | 1.51% |
Portfolio turnover rate | 12%(B) | 21% | 22% | 40% | 18% | 12% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Not annualized. |
(C) | Annualized. |
Touchstone Impact Bond Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $10.82 | $10.45 | $9.78 | $10.15 | $10.39 | $10.20 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.09 | 0.22 | 0.26 | 0.24 | 0.24 | 0.26 |
Net realized and unrealized gains (losses) on investments | (0.35) | 0.38 | 0.69 | (0.33) | (0.19) | 0.23 |
Total from investment operations: | (0.26) | 0.60 | 0.95 | (0.09) | 0.05 | 0.49 |
Distributions from: | ||||||
Net investment income | (0.11) | (0.23) | (0.28) | (0.28) | (0.29) | (0.30) |
Net asset value at end of period | $10.45 | $10.82 | $10.45 | $9.78 | $10.15 | $10.39 |
Total return | (2.40%)(A) | 5.81% | 9.84% | (0.92%) | 0.50% | 4.82% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $164,293 | $145,821 | $95,218 | $54,895 | $37,233 | $49,484 |
Ratio to average net assets: | ||||||
Net expenses | 0.60%(B) | 0.60% | 0.60% | 0.60% | 0.60% | 0.62% |
Gross expenses | 0.61%(B) | 0.64% | 0.68% | 0.67% | 0.73% | 0.71% |
Net investment income | 1.79%(B) | 2.08% | 2.53% | 2.50% | 2.23% | 2.51% |
Portfolio turnover rate | 12%(A) | 21% | 22% | 40% | 18% | 12% |
Touchstone Impact Bond Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $10.82 | $10.45 | $9.78 | $10.14 | $10.39 | $10.20 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.10 | 0.23 | 0.27 | 0.26 | 0.25 | 0.28 |
Net realized and unrealized gains (losses) on investments | (0.35) | 0.38 | 0.69 | (0.33) | (0.20) | 0.22 |
Total from investment operations: | (0.25) | 0.61 | 0.96 | (0.07) | 0.05 | 0.50 |
Distributions from: | ||||||
Net investment income | (0.12) | (0.24) | (0.29) | (0.29) | (0.30) | (0.31) |
Net asset value at end of period | $10.45 | $10.82 | $10.45 | $9.78 | $10.14 | $10.39 |
Total return | (2.35%)(A) | 5.92% | 9.95% | (0.72%) | 0.51% | 4.94% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $216,651 | $227,734 | $207,462 | $191,224 | $222,013 | $166,008 |
Ratio to average net assets: | ||||||
Net expenses | 0.50%(B) | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% |
Gross expenses | 0.58%(B) | 0.59% | 0.60% | 0.60% | 0.60% | 0.60% |
Net investment income | 1.89%(B) | 2.18% | 2.63% | 2.60% | 2.33% | 2.63% |
Portfolio turnover rate | 12%(A) | 21% | 22% | 40% | 18% | 12% |
(A) | Not annualized. |
(B) | Annualized. |
Touchstone International ESG Equity Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $7.44 | $8.50 | $9.58 | $9.40 | $8.77 | $8.27 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.04 | 0.03 | 0.15 | 0.24 | 0.25 | 0.22 |
Net realized and unrealized gains (losses) on investments | 1.51 | 0.62 | (0.29) | 0.35 | 0.62 | 1.04 |
Total from investment operations: | 1.55 | 0.65 | (0.14) | 0.59 | 0.87 | 1.26 |
Distributions from: | ||||||
Net investment income | (0.03) | (0.02) | (0.17) | (0.23) | (0.24) | (0.21) |
Realized capital gains | — | (1.69) | (0.77) | (0.18) | — | (0.55) |
Total distributions | (0.03) | (1.71) | (0.94) | (0.41) | (0.24) | (0.76) |
Net asset value at end of period | $8.96 | $7.44 | $8.50 | $9.58 | $9.40 | $8.77 |
Total return(A) | 20.84%(B) | 7.93% | (0.81%) | 6.41% | 10.10% | 16.80% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $10,669 | $11,719 | $10,333 | $11,984 | $22,725 | $26,907 |
Ratio to average net assets: | ||||||
Net expenses | 1.17%(C) | 1.17% | 1.20% | 1.20% | 1.20% | 1.20% |
Gross expenses | 1.70%(C) | 1.81% | 1.52% | 1.41% | 1% | 1.34% |
Net investment income | 0.58%(C) | 0.68% | 1.71% | 2.16% | 2.69% | 2.57% |
Portfolio turnover rate | 39%(B) | 80% | 123% | 68% | 39% | 38% |
Touchstone International ESG Equity Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $7.40 | $8.48 | $9.57 | $9.39 | $8.75 | $8.26 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.03) | (0.03) | 0.09 | 0.14 | 0.17 | 0.15 |
Net realized and unrealized gains (losses) on investments | 1.54 | 0.64 | (0.30) | 0.38 | 0.64 | 1.04 |
Total from investment operations: | 1.51 | 0.61 | (0.21) | 0.52 | 0.81 | 1.19 |
Distributions from: | ||||||
Net investment income | — | —(D) | (0.11) | (0.16) | (0.17) | (0.15) |
Realized capital gains | — | (1.69) | (0.77) | (0.18) | — | (0.55) |
Total distributions | — | (1.69) | (0.88) | (0.34) | (0.17) | (0.70) |
Net asset value at end of period | $8.91 | $7.40 | $8.48 | $9.57 | $9.39 | $8.75 |
Total return(A) | 20.41%(B) | 7.35% | (1.61%) | 5.62% | 9.42% | 15.81% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $3,356 | $4,066 | $10,691 | $19,455 | $22,324 | $25,781 |
Ratio to average net assets: | ||||||
Net expenses | 1.95%(C) | 1.95% | 1.95% | 1.95% | 1.95% | 1.95% |
Gross expenses | 2.65%(C) | 2.56% | 2.16% | 2.07% | 2.05% | 2.05% |
Net investment income (loss) | (0.20%)(C) | (0.10%) | 1.05% | 1.41% | 1.94% | 1.82% |
Portfolio turnover rate | 39%(B) | 80% | 123% | 68% | 39% | 38% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Less than $0.005 per share. |
Touchstone International ESG Equity Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $7.43 | $8.47 | $9.55 | $9.38 | $8.75 | $8.25 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.03 | 0.07 | 0.18 | 0.23 | 0.26 | 0.23 |
Net realized and unrealized gains (losses) on investments | 1.54 | 0.61 | (0.30) | 0.37 | 0.63 | 1.05 |
Total from investment operations: | 1.57 | 0.68 | (0.12) | 0.60 | 0.89 | 1.28 |
Distributions from: | ||||||
Net investment income | (0.05) | (0.03) | (0.19) | (0.25) | (0.26) | (0.23) |
Realized capital gains | — | (1.69) | (0.77) | (0.18) | — | (0.55) |
Total distributions | (0.05) | (1.72) | (0.96) | (0.43) | (0.26) | (0.78) |
Net asset value at end of period | $8.95 | $7.43 | $8.47 | $9.55 | $9.38 | $8.75 |
Total return | 21.17%(A) | 8.32% | (0.57%) | 6.59% | 10.41% | 17.13% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $17,620 | $11,550 | $16,554 | $56,185 | $75,763 | $99,953 |
Ratio to average net assets: | ||||||
Net expenses | 0.90%(B) | 0.90% | 0.95% | 0.95% | 0.95% | 0.95% |
Gross expenses | 1.39%(B) | 1.49% | 1.09% | 0.99% | 1.00% | 1.03% |
Net investment income | 0.85%(B) | 0.95% | 2.17% | 2.41% | 2.94% | 2.82% |
Portfolio turnover rate | 39%(A) | 80% | 123% | 68% | 39% | 38% |
Touchstone International ESG Equity Fund—Institutional Class | |||
Selected Data for a Share Outstanding Throughout Each Period | |||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, 2020 | Period Ended September 30, 2019(C) | |
Net asset value at beginning of period | $7.43 | $8.48 | $8.05(D) |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.04 | 0.07 | (0.01) |
Net realized and unrealized gains on investments | 1.53 | 0.60 | 0.45 |
Total from investment operations: | 1.57 | 0.67 | 0.44 |
Distributions from: | |||
Net investment income | (0.05) | (0.03) | (0.01) |
Realized capital gains | — | (1.69) | — |
Total distributions | (0.05) | (1.72) | (0.01) |
Net asset value at end of period | $8.95 | $7.43 | $8.48 |
Total return | 21.18%(A) | 8.30% | 5.46%(A) |
Ratios and supplemental data: | |||
Net assets at end of period (000's) | $3 | $3 | $3 |
Ratio to average net assets: | |||
Net expenses | 0.89%(B) | 0.89% | 0.89%(B) |
Gross expenses | 364.62%(B) | 314.41% | 2,643.52%(B) |
Net investment income (loss) | 0.86%(B) | 0.96% | (0.97%)(B) |
Portfolio turnover rate | 39%(A) | 80% | 123%(A) |
(A) | Not annualized. |
(B) | Annualized. |
(C) | Represents the period from commencement of operations (November 16, 2018) through September 30, 2019. |
(D) | Net asset value at the beginning of period is based on the net asset value of Class Y shares on August 23, 2019. |
Touchstone Mid Cap Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $39.04 | $38.87 | $34.99 | $30.50 | $25.91 | $23.22 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.06)(A) | 0.03(A) | 0.05 | 0.01(A) | (0.02)(A) | 0.12 |
Net realized and unrealized gains on investments | 8.08 | 1.27 | 5.00 | 4.79 | 4.69 | 2.57 |
Total from investment operations: | 8.02 | 1.30 | 5.05 | 4.80 | 4.67 | 2.69 |
Distributions from: | ||||||
Net investment income | (0.13) | (0.24) | (0.02) | — | (0.08) | — |
Realized capital gains | (0.70) | (0.89) | (1.15) | (0.31) | — | — |
Total distributions | (0.83) | (1.13) | (1.17) | (0.31) | (0.08) | — |
Net asset value at end of period | $46.23 | $39.04 | $38.87 | $34.99 | $30.50 | $25.91 |
Total return(B) | 20.71%(C) | 3.32% | 15.34% | 15.83% | 18.08% | 11.58% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $134,026 | $103,964 | $61,772 | $36,824 | $34,761 | $53,044 |
Ratio to average net assets: | ||||||
Net expenses | 1.21%(D) | 1.21% | 1.23% | 1.24% | 1.24% | 1.24% |
Gross expenses | 1.22%(D) | 1.29% | 1.36% | 1.35% | 1.36% | 1.35% |
Net investment income (loss) | (0.28%)(D) | 0.08% | 0.19% | 0.04% | (0.09%) | 0.43% |
Portfolio turnover rate | 13%(C)(E) | 18% | 25% | 46% | 19% | 19% |
Touchstone Mid Cap Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $36.38 | $36.34 | $33.01 | $29.02 | $24.76 | $22.35 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.20)(A) | (0.23)(A) | (0.17) | (0.22)(A) | (0.22)(A) | (0.12) |
Net realized and unrealized gains on investments | 7.52 | 1.16 | 4.65 | 4.52 | 4.48 | 2.53 |
Total from investment operations: | 7.32 | 0.93 | 4.48 | 4.30 | 4.26 | 2.41 |
Distributions from: | ||||||
Net investment income | (0.06) | — | — | — | — | — |
Realized capital gains | (0.70) | (0.89) | (1.15) | (0.31) | — | — |
Total distributions | (0.76) | — | — | — | — | — |
Net asset value at end of period | $42.94 | $36.38 | $36.34 | $33.01 | $29.02 | $24.76 |
Total return(B) | 20.30%(C) | 2.54% | 14.48% | 14.91% | 17.21% | 10.78% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $95,984 | $78,959 | $66,855 | $56,274 | $57,224 | $59,431 |
Ratio to average net assets: | ||||||
Net expenses | 1.92%(D) | 1.96% | 1.98% | 1.99% | 1.99% | 1.99% |
Gross expenses | 1.92%(D) | 2.00% | 2.07% | 2.08% | 2.11% | 2.13% |
Net investment loss | (0.99%)(D) | (0.67%) | (0.56%) | (0.71%) | (0.84%) | (0.32%) |
Portfolio turnover rate | 13%(C)(E) | 18% | 25% | 46% | 19% | 19% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | Annualized. |
(E) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Mid Cap Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $39.55 | $39.33 | $35.33 | $30.77 | $26.14 | $23.38 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.01)(A) | 0.12(A) | 0.14 | 0.10(A) | 0.05(A) | 0.18 |
Net realized and unrealized gains on investments | 8.21 | 1.28 | 5.05 | 4.82 | 4.74 | 2.59 |
Total from investment operations: | 8.20 | 1.40 | 5.19 | 4.92 | 4.79 | 2.77 |
Distributions from: | ||||||
Net investment income | (0.16) | (0.29) | (0.04) | (0.05) | (0.16) | (0.01) |
Realized capital gains | (0.70) | (0.89) | (1.15) | (0.31) | — | — |
Total distributions | (0.86) | (1.18) | (1.19) | (0.36) | (0.16) | (0.01) |
Net asset value at end of period | $46.89 | $39.55 | $39.33 | $35.33 | $30.77 | $26.14 |
Total return | 20.90%(B) | 3.57% | 15.62% | 16.09% | 18.40% | 11.87% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $3,306,164 | $2,443,232 | $1,194,001 | $712,578 | $551,794 | $476,831 |
Ratio to average net assets: | ||||||
Net expenses | 0.96%(C)(D) | 0.96% | 0.98% | 0.99% | 0.99% | 0.99% |
Gross expenses | 0.91%(C) | 1.00% | 1.07% | 1.05% | 1.08% | 1.07% |
Net investment income (loss) | (0.03%)(C) | 0.33% | 0.44% | 0.29% | 0.16% | 0.68% |
Portfolio turnover rate | 13%(B)(E) | 18% | 25% | 46% | 19% | 19% |
Touchstone Mid Cap Fund—Class Z | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $38.75 | $38.62 | $34.78 | $30.32 | $25.75 | $23.08 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.06)(A) | 0.03(A) | 0.05 | 0.01(A) | (0.02)(A) | 0.12 |
Net realized and unrealized gains on investments | 8.04 | 1.25 | 4.96 | 4.76 | 4.67 | 2.55 |
Total from investment operations: | 7.98 | 1.28 | 5.01 | 4.77 | 4.65 | 2.67 |
Distributions from: | ||||||
Net investment income | (0.13) | (0.26) | (0.02) | — | (0.08) | (—)(F) |
Realized capital gains | (0.70) | (0.89) | (1.15) | (0.31) | — | — |
Total distributions | (0.83) | (1.15) | (1.17) | (0.31) | (0.08) | (—)(F) |
Net asset value at end of period | $45.90 | $38.75 | $38.62 | $34.78 | $30.32 | $25.75 |
Total return | 20.75%(B) | 3.30% | 15.32% | 15.83% | 18.08% | 11.58% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $60,781 | $77,184 | $61,657 | $20,464 | $19,312 | $18,934 |
Ratio to average net assets: | ||||||
Net expenses | 1.21%(C) | 1.21% | 1.22% | 1.24% | 1.24% | 1.24% |
Gross expenses | 1.28%(C) | 1.30% | 1.37% | 1.40% | 1.44% | 1.46% |
Net investment income (loss) | (0.28%)(C) | 0.08% | 0.19% | 0.04% | (0.09%) | 0.43% |
Portfolio turnover rate | 13%(B)(E) | 18% | 25% | 46% | 19% | 19% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Net expenses include amounts recouped or eligible for recoupment by the Advisor. |
(E) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
(F) | Less than $0.005 per share. |
Touchstone Mid Cap Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $39.64 | $39.41 | $35.38 | $30.81 | $26.18 | $23.40 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.02(A) | 0.15(A) | 0.15 | 0.12(A) | 0.07(A) | 0.19 |
Net realized and unrealized gains on investments | 8.22 | 1.29 | 5.08 | 4.83 | 4.74 | 2.61 |
Total from investment operations: | 8.24 | 1.44 | 5.23 | 4.95 | 4.81 | 2.80 |
Distributions from: | ||||||
Net investment income | (0.16) | (0.32) | (0.05) | (0.07) | (0.18) | (0.02) |
Realized capital gains | (0.70) | (0.89) | (1.15) | (0.31) | — | — |
Total distributions | (0.86) | (1.21) | (1.20) | (0.38) | (0.18) | (0.02) |
Net asset value at end of period | $47.02 | $39.64 | $39.41 | $35.38 | $30.81 | $26.18 |
Total return | 20.97%(B) | 3.64% | 15.71% | 16.18% | 18.50% | 11.92% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $1,392,612 | $1,142,677 | $245,418 | $129,284 | $113,867 | $77,775 |
Ratio to average net assets: | ||||||
Net expenses | 0.85%(C)(D) | 0.89%(D) | 0.91% | 0.92% | 0.92% | 0.92% |
Gross expenses | 0.83%(C) | 0.89% | 0.97% | 0.97% | 0.98% | 0.99% |
Net investment income | 0.08%(C) | 0.40% | 0.51% | 0.36% | 0.23% | 0.75% |
Portfolio turnover rate | 13%(B)(E) | 18% | 25% | 46% | 19% | 19% |
Touchstone Mid Cap Fund—Class R6 | |
Selected Data for a Share Outstanding Throughout Each Period | |
Period Ended March 31, 2021 (Unaudited)(F) | |
Net asset value at beginning of period | $45.92 |
Income (loss) from investment operations: | |
Net investment income | 0.01(A) |
Net realized and unrealized gains on investments | 1.09 |
Total from investment operations: | 1.10 |
Net asset value at end of period | $47.02 |
Total return | 2.40%(B) |
Ratios and supplemental data: | |
Net assets at end of period (000's) | $1,233 |
Ratio to average net assets: | |
Net expenses | 0.79%(C) |
Gross expenses | 363.61%(C) |
Net investment income | 0.14%(C) |
Portfolio turnover rate | 13%(B)(E) |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Net expenses include amounts recouped or eligible for recoupment by the Advisor. |
(E) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
(F) | Represents the period from commencement of operations (February 22, 2021) through March 31, 2021. |
Touchstone Mid Cap Value Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $16.71 | $17.91 | $18.71 | $19.36 | $17.49 | $15.70 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.02(A) | 0.09 | 0.12 | 0.07 | 0.04 | 0.09(A) |
Net realized and unrealized gains (losses) on investments | 6.21 | (1.20) | (0.06) | 0.48 | 2.47 | 2.76 |
Total from investment operations: | 6.23 | (1.11) | 0.06 | 0.55 | 2.51 | 2.85 |
Distributions from: | ||||||
Net investment income | (0.03) | (0.09) | (0.10) | (0.06) | (0.03) | (0.10) |
Realized capital gains | — | — | (0.76) | (1.14) | (0.61) | (0.96) |
Total distributions | (0.03) | (0.09) | (0.86) | (1.20) | (0.64) | (1.06) |
Net asset value at end of period | $22.91 | $16.71 | $17.91 | $18.71 | $19.36 | $17.49 |
Total return(B) | 37.38%(C) | (6.20%) | 0.81% | 2.80% | 14.62% | 19.20% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $14,113 | $9,864 | $10,866 | $17,217 | $21,001 | $21,867 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses) | 1.23%(D)(E) | 1.22% | 1.22% | 1.25% | 1.27% | 1.27% |
Gross expenses (including liquidity provider expenses) | 1.48%(D)(F) | 1.59% | 1.53% | 1.48% | 1.47% | 1.59% |
Net investment income | 0.17%(D) | 0.50% | 0.59% | 0.32% | 0.19% | 0.56% |
Portfolio turnover rate | 23%(C)(G) | 37% | 34% | 31% | 43% | 45% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | Annualized. |
(E) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A was 1.22% for the six months ended March 31, 2021. There was no liquidity provider expenses prior to 2021. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A was 1.47% for the six months ended March 31, 2021. There was no liquidity provider expenses prior to 2021. |
(G) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Mid Cap Value Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $16.17 | $17.37 | $18.20 | $18.94 | $17.23 | $15.49 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.06)(A) | (0.24) | (0.12) | (0.13) | (0.06) | (0.03)(A) |
Net realized and unrealized gains (losses) on investments | 6.02 | (0.96) | 0.05 | 0.53 | 2.38 | 2.73 |
Total from investment operations: | 5.96 | (1.20) | (0.07) | 0.40 | 2.32 | 2.70 |
Distributions from: | ||||||
Realized capital gains | — | — | (0.76) | (1.14) | (0.61) | (0.96) |
Net asset value at end of period | $22.13 | $16.17 | $17.37 | $18.20 | $18.94 | $17.23 |
Total return(B) | 36.86%(C) | (6.91%) | 0.06% | 2.04% | 13.78% | 18.32% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $4,768 | $3,296 | $5,378 | $7,755 | $10,758 | $4,088 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses) | 1.98%(D)(E) | 1.97% | 1.97% | 2.01% | 2.02% | 2.02% |
Gross expenses (including liquidity provider expenses) | 2.47%(D)(F) | 2.57% | 2.40% | 2.31% | 2.33% | 2.75% |
Net investment loss | (0.58%)(D) | (0.25%) | (0.17%) | (0.43%) | (0.56%) | (0.19%) |
Portfolio turnover rate | 23%(C)(G) | 37% | 34% | 31% | 43% | 45% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | Annualized. |
(E) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class C was 1.97% for the six months ended March 31, 2021. There was no liquidity provider expenses prior to 2021. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class C was 2.46% for the six months ended March 31, 2021. There was no liquidity provider expenses prior to 2021. |
(G) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Mid Cap Value Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $16.78 | $17.99 | $18.79 | $19.45 | $17.57 | $15.76 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.04(A) | 0.12 | 0.14 | 0.11 | 0.08 | 0.13(A) |
Net realized and unrealized gains (losses) on investments | 6.25 | (1.20) | (0.04) | 0.48 | 2.49 | 2.78 |
Total from investment operations: | 6.29 | (1.08) | 0.10 | 0.59 | 2.57 | 2.91 |
Distributions from: | ||||||
Net investment income | (0.04) | (0.13) | (0.14) | (0.11) | (0.08) | (0.14) |
Realized capital gains | — | — | (0.76) | (1.14) | (0.61) | (0.96) |
Total distributions | (0.04) | (0.13) | (0.90) | (1.25) | (0.69) | (1.10) |
Net asset value at end of period | $23.03 | $16.78 | $17.99 | $18.79 | $19.45 | $17.57 |
Total return | 37.53%(B) | (5.97%) | 1.08% | 3.00% | 14.91% | 19.51% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $393,183 | $299,596 | $286,407 | $337,247 | $322,979 | $292,978 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses) | 0.98%(C)(D) | 0.97% | 0.97% | 1.00% | 1.02% | 1.03% |
Gross expenses (including liquidity provider expenses) | 1.16%(C)(E) | 1.22% | 1.19% | 1.05% | 1.10% | 1.13% |
Net investment income | 0.42%(C) | 0.75% | 0.84% | 0.57% | 0.43% | 0.81% |
Portfolio turnover rate | 23%(B)(F) | 37% | 34% | 31% | 43% | 45% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Y was 0.97% for the six months ended March 31, 2021. There was no liquidity provider expenses prior to 2021. |
(E) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Y was 1.15% for the six months ended March 31, 2021. There was no liquidity provider expenses prior to 2021. |
(F) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Mid Cap Value Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $16.87 | $18.09 | $18.89 | $19.54 | $17.64 | $15.82 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.06(A) | 0.15 | 0.17 | 0.12 | 0.09 | 0.16(A) |
Net realized and unrealized gains (losses) on investments | 6.28 | (1.22) | (0.04) | 0.50 | 2.52 | 2.78 |
Total from investment operations: | 6.34 | (1.07) | 0.13 | 0.62 | 2.61 | 2.94 |
Distributions from: | ||||||
Net investment income | (0.05) | (0.15) | (0.17) | (0.13) | (0.10) | (0.16) |
Realized capital gains | — | — | (0.76) | (1.14) | (0.61) | (0.96) |
Total distributions | (0.05) | (0.15) | (0.93) | (1.27) | (0.71) | (1.12) |
Net asset value at end of period | $23.16 | $16.87 | $18.09 | $18.89 | $19.54 | $17.64 |
Total return | 37.61%(B) | (5.86%) | 1.20% | 3.17% | 15.04% | 19.71% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $455,039 | $370,247 | $453,198 | $431,412 | $334,083 | $185,989 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses) | 0.85%(C)(D) | 0.84% | 0.84% | 0.87% | 0.89% | 0.89% |
Gross expenses (including liquidity provider expenses) | 0.98%(C)(E) | 0.98% | 0.97% | 0.99% | 1.01% | 1.03% |
Net investment income | 0.55%(C) | 0.88% | 0.97% | 0.70% | 0.57% | 0.94% |
Portfolio turnover rate | 23%(B)(F) | 37% | 34% | 31% | 43% | 45% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.84% for the six months ended March 31, 2021. There was no liquidity provider expenses prior to 2021. |
(E) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.97% for the six months ended March 31, 2021. There was no liquidity provider expenses prior to 2021. |
(F) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Sands Capital Select Growth Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $17.22 | $13.12 | $17.73 | $16.58 | $16.14 | $16.48 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.09)(A) | (0.11)(A) | (0.06) | (0.21) | (0.34) | (0.28) |
Net realized and unrealized gains (losses) on investments | 2.61 | 6.58 | (0.72) | 4.72 | 2.94 | 1.47 |
Total from investment operations: | 2.52 | 6.47 | (0.78) | 4.51 | 2.60 | 1.19 |
Distributions from: | ||||||
Realized capital gains | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) | (1.53) |
Net asset value at end of period | $17.89 | $17.22 | $13.12 | $17.73 | $16.58 | $16.14 |
Total return(B) | 14.84%(C) | 58.43% | (1.75%) | 33.03% | 19.63% | 7.17% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $195,769 | $163,697 | $89,299 | $97,583 | $89,860 | $138,315 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.09%(E) | 1.25%(F) | 1.44%(F) | 1.43%(F) | 1.23% | 1.07% |
Gross expenses (including liquidity provider expenses)(G) | 1.09%(E) | 1.24% | 1.44% | 1.43% | 1.25% | 1.09% |
Net investment loss | (0.98%)(E) | (0.85%) | (1.23%) | (1.28%) | (0.95%) | (0.81%) |
Portfolio turnover rate | 17%(C)(H) | 41%(H) | 25%(H) | 21%(H) | 22% | 46% |
Touchstone Sands Capital Select Growth Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $14.57 | $11.52 | $16.20 | $15.51 | $15.36 | $15.86 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.14)(A) | (0.18)(A) | (0.51) | (0.24) | (0.79) | (0.52) |
Net realized and unrealized gains (losses) on investments | 2.20 | 5.60 | (0.34) | 4.29 | 3.10 | 1.55 |
Total from investment operations: | 2.06 | 5.42 | (0.85) | 4.05 | 2.31 | 1.03 |
Distributions from: | ||||||
Realized capital gains | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) | (1.53) |
Net asset value at end of period | $14.78 | $14.57 | $11.52 | $16.20 | $15.51 | $15.36 |
Total return(B) | 14.35%(C) | 57.27% | (2.44%) | 32.11% | 18.77% | 6.32% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $31,498 | $36,065 | $50,079 | $80,444 | $73,516 | $111,951 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.92%(E) | 2.01% | 2.19% | 2.18% | 1.98% | 1.82% |
Gross expenses (including liquidity provider expenses)(G) | 1.92%(E) | 2.04% | 2.21% | 2.19% | 2.01% | 1.84% |
Net investment loss | (1.81%)(E) | (1.56%) | (1.98%) | (2.03%) | (1.70%) | (1.56%) |
Portfolio turnover rate | 17%(C)(H) | 41%(H) | 25%(H) | 21%(H) | 22% | 46% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A were 1.07%, 1.22%, 1.40% and 1.42% and for Class C were 1.90%, 1.98%, 2.15% and 2.17% for the six months ended March 31, 2021 and for years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(E) | Annualized. |
(F) | Net expenses include amounts recouped by the Advisor. |
(G) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A were 1.07%, 1.21%, 1.40% and 1.42% and for Class C were 1.90%, 2.01%, 2.17% and 2.18% for the six months ended March 31, 2021 and for years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(H) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Sands Capital Select Growth Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $18.89 | $14.14 | $18.73 | $17.29 | $16.70 | $16.96 |
Income (loss) from investment operations: | ||||||
Net investment loss | (0.08)(A) | (0.09)(A) | (0.14) | (0.18) | (0.10) | (0.11) |
Net realized and unrealized gains (losses) on investments | 2.87 | 7.21 | (0.62) | 4.98 | 2.85 | 1.38 |
Total from investment operations: | 2.79 | 7.12 | (0.76) | 4.80 | 2.75 | 1.27 |
Distributions from: | ||||||
Realized capital gains | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) | (1.53) |
Net asset value at end of period | $19.83 | $18.89 | $14.14 | $18.73 | $17.29 | $16.70 |
Total return | 14.96%(B) | 58.86% | (1.45%) | 33.36% | 19.89% | 7.46% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $1,715,599 | $1,565,333 | $1,089,979 | $1,556,324 | $1,775,755 | $2,209,841 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(C) | 0.85%(D) | 1.00%(E) | 1.19%(E) | 1.18%(E) | 0.98% | 0.82% |
Gross expenses (including liquidity provider expenses)(F) | 0.85%(D) | 0.99% | 1.18% | 1.17% | 0.99% | 0.82% |
Net investment loss | (0.74%)(D) | (0.58%) | (0.98%) | (1.03%) | (0.70%) | (0.56%) |
Portfolio turnover rate | 17%(B)(G) | 41%(G) | 25%(G) | 21%(G) | 22% | 46% |
Touchstone Sands Capital Select Growth Fund—Class Z | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $17.25 | $13.14 | $17.75 | $16.58 | $16.15 | $16.49 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.10)(A) | (0.11)(A) | (0.17) | (0.20) | (0.32) | (0.29) |
Net realized and unrealized gains (losses) on investments | 2.62 | 6.59 | (0.61) | 4.73 | 2.91 | 1.48 |
Total from investment operations: | 2.52 | 6.48 | (0.78) | 4.53 | 2.59 | 1.19 |
Distributions from: | ||||||
Realized capital gains | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) | (1.53) |
Net asset value at end of period | $17.92 | $17.25 | $13.14 | $17.75 | $16.58 | $16.15 |
Total return | 14.81%(B) | 58.42% | (1.69%) | 33.10% | 19.62% | 7.24% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $530,561 | $491,741 | $458,996 | $611,071 | $556,651 | $777,930 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(C) | 1.16%(D)(E) | 1.24% | 1.43% | 1.42% | 1.22% | 1.04% |
Gross expenses (including liquidity provider expenses)(F) | 1.15%(D) | 1.31% | 1.49% | 1.47% | 1.28% | 1.11% |
Net investment income (loss) | (1.05%)(D) | (0.82%) | (1.22%) | (1.27%) | (0.94%) | (0.79%) |
Portfolio turnover rate | 17%(B)(G) | 41%(G) | 25%(G) | 21%(G) | 22% | 46% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Y were 0.83%, 0.97%, 1.15% and 1.17% and for Class Z were 1.14%, 1.21%, 1.39% and 1.41% for the six months ended March 31, 2021 and for years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(D) | Annualized. |
(E) | Net expenses include amounts recouped or eligible for recoupment by the Advisor. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Y were 0.83%, 0.96%, 1.14% and 1.16% and for Class Z were 1.13%, 1.28%, 1.45% and 1.46% for the six months ended March 31, 2021 and for years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(G) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Sands Capital Select Growth Fund—Institutional Class | ||
Selected Data for a Share Outstanding Throughout Each Period | ||
Six Months Ended March 31, 2021 (Unaudited) | Period Ended September 30, 2020(A) | |
Net asset value at beginning of period | $18.89 | $19.81(B) |
Income (loss) from investment operations: | ||
Net investment income (loss) | (0.07)(C) | (0.01)(C) |
Net realized and unrealized gains (losses) on investments | 2.87 | (0.91) |
Total from investment operations: | 2.80 | (0.92) |
Distributions from: | ||
Realized capital gains | (1.85) | — |
Net asset value at end of period | $19.84 | $18.89 |
Total return | 15.02%(D) | (4.64%)(D) |
Ratios and supplemental data: | ||
Net assets at end of period (000's) | $2,420,237 | $2 |
Ratio to average net assets: | ||
Net expenses (including liquidity provider expenses)(E) | 0.78%(F) | 0.81%(F) |
Gross expenses (including liquidity provider expenses)(G) | 0.78%(F) | 1,344.66%(F) |
Net investment loss | (0.67%)(F) | (0.81%)(F) |
Portfolio turnover rate | 17%(D)(H) | 41%(H) |
Touchstone Sands Capital Select Growth Fund—Class R6 | ||
Selected Data for a Share Outstanding Throughout Each Period | ||
Six Months Ended March 31, 2021 (Unaudited) | Period Ended September 30, 2020(A) | |
Net asset value at beginning of period | $18.89 | $19.81(B) |
Income (loss) from investment operations: | ||
Net investment loss | (0.06)(C) | (0.01)(C) |
Net realized and unrealized gains (losses) on investments | 2.85 | (0.91) |
Total from investment operations: | 2.79 | (0.92) |
Distributions from: | ||
Realized capital gains | (1.85) | — |
Net asset value at end of period | $19.83 | $18.89 |
Total return | 14.96%(D) | (4.64%)(D) |
Ratios and supplemental data: | ||
Net assets at end of period (000's) | $103,485 | $2 |
Ratio to average net assets: | ||
Net expenses (including liquidity provider expenses)(E) | 0.74%(F) | 0.75%(F) |
Gross expenses (including liquidity provider expenses)(G) | 0.83%(F) | 3.55%(F) |
Net investment loss | (0.63%)(F) | (0.73%)(F) |
Portfolio turnover rate | 17%(D)(H) | 41%(H) |
(A) | Represents the period from commencement of operations (September 1, 2020) through September 30, 2020. |
(B) | Net asset value at the beginning of period is based on the net asset value of Class Y shares on September 1, 2020. |
(C) | The net investment income per share was based on average shares outstanding for the period. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.76% and 0.78% and for Class R6 was 0.72% and 0.72% for the six months ended March 31, 2021 and for the period ended September 30, 2020. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.76% and 1344.63% and for Class R6 was 0.81% and 3.52% for the six months ended March 31, 2021 and for the period ended September 30, 2020. |
(H) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Small Cap Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $10.29 | $12.35 | $16.24 | $17.73 | $16.24 | $17.73 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.05 | 0.01(A) | —(B) | 0.32(A)(C) | 0.02 | —(B) |
Net realized and unrealized gains (losses) on investments | 3.94 | (0.98) | (0.49) | 1.52 | 1.47 | 0.59 |
Total from investment operations: | 3.99 | (0.97) | (0.49) | 1.84 | 1.49 | 0.59 |
Distributions from: | ||||||
Net investment income | — | — | — | (0.34) | — | (0.13) |
Realized capital gains | (0.20) | (1.09) | (3.40) | (2.99) | — | (1.95) |
Total distributions | (0.20) | (1.09) | (3.40) | (3.33) | — | (2.08) |
Net asset value at end of period | $14.08 | $10.29 | $12.35 | $16.24 | $17.73 | $16.24 |
Total return(D) | 38.98%(E) | (8.92%) | 0.22% | 12.14% | 9.17% | 3.74% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $5,240 | $4,313 | $3,750 | $8,142 | $12,461 | $37,942 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(F) | 1.27%(G) | 1.27% | 1.39% | 1.39% | 1.38% | 1.38% |
Gross expenses (including liquidity provider expenses)(H) | 1.87%(G) | 2.09% | 2.01% | 1.65% | 1.52% | 1.45% |
Net investment income | 0.82%(G) | 0.08% | 0.02% | 1.99%(C) | —(B) | —(B) |
Portfolio turnover rate | 11%(E)(I) | 22%(I) | 17%(I) | 29%(I) | 18% | 17% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share of 0.005% |
(C) | Includes impact of special dividend from Alexander & Baldwin Inc. in January, 2018 as part of the company's conversion to a real estate investment trust. This special dividend enhanced the net investment income per share and ratio of net investment income for Class A by $0.34 and 2.10%, respectively. |
(D) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(E) | Not annualized. |
(F) | The ratio of net expenses to average net assets excluding liquidity provider expenses was 1.24%, 1.24%, 1.34% and 1.38% for the six months ended March 31, 2021 and for the years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(G) | Annualized. |
(H) | The ratio of gross expenses to average net assets excluding liquidity provider expenses was 1.84%, 2.06%, 1.96% and 1.64% for the six months ended March 31, 2021 and for the years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(I) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Small Cap Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $9.38 | $11.41 | $15.40 | $16.94 | $15.63 | $17.16 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.71 | (0.07)(A) | (0.10) | 0.19(A)(B) | (0.31) | (0.16) |
Net realized and unrealized gains (losses) on investments | 2.88 | (0.87) | (0.49) | 1.45 | 1.62 | 0.60 |
Total from investment operations: | 3.59 | (0.94) | (0.59) | 1.64 | 1.31 | 0.44 |
Distributions from: | ||||||
Net investment income | — | — | — | (0.19) | — | (0.02) |
Realized capital gains | (0.20) | (1.09) | (3.40) | (2.99) | — | (1.95) |
Total distributions | (0.20) | (1.09) | (3.40) | (3.18) | — | (1.97) |
Net asset value at end of period | $12.77 | $9.38 | $11.41 | $15.40 | $16.94 | $15.63 |
Total return(C) | 38.49%(D) | (9.43%) | (0.58%) | 11.33% | 8.38% | 2.92% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $714 | $295 | $3,356 | $6,299 | $9,266 | $14,957 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(E) | 2.02%(F) | 2.02% | 2.14% | 2.14% | 2.13% | 2.13% |
Gross expenses (including liquidity provider expenses)(G) | 6.65%(F) | 3.10% | 2.64% | 2.40% | 2.28% | 2.23% |
Net investment income (loss) | 0.07%(F) | (0.68%) | (0.73%) | 1.24%(B) | (0.75%) | (0.75%) |
Portfolio turnover rate | 11%(D)(H) | 22%(H) | 17%(H) | 29%(H) | 18% | 17% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Includes impact of special dividend from Alexander & Baldwin Inc. in January, 2018 as part of the company’s conversion to a real estate investment trust. This special dividend enhanced the net investment income per share and ratio of net investment income for Class C by $0.32 and 2.10%, respectively. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | The ratio of net expenses to average net assets excluding liquidity provider expenses was 1.99%, 1.99%, 2.09% and 2.13% for the six months ended March 31, 2021 and for the years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding liquidity provider expenses was 6.62%, 3.07%, 2.59% and 2.39% for the six months ended March 31, 2021 and for the years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(H) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Small Cap Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $10.52 | $12.59 | $16.45 | $17.94 | $16.44 | $17.93 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.09 | 0.04(A) | 0.04 | 0.37(A)(B) | 0.05 | 0.05 |
Net realized and unrealized gains (losses) on investments | 4.01 | (1.00) | (0.50) | 1.53 | 1.50 | 0.58 |
Total from investment operations: | 4.10 | (0.96) | (0.46) | 1.90 | 1.55 | 0.63 |
Distributions from: | ||||||
Net investment income | (0.13) | (0.02) | — | (0.40) | (0.05) | (0.17) |
Realized capital gains | (0.20) | (1.09) | (3.40) | (2.99) | — | (1.95) |
Total distributions | (0.33) | (1.11) | (3.40) | (3.39) | (0.05) | (2.12) |
Net asset value at end of period | $14.29 | $10.52 | $12.59 | $16.45 | $17.94 | $16.44 |
Total return | 39.12%(C) | (8.65%) | 0.44% | 12.44% | 9.46% | 3.97% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $46,132 | $35,573 | $34,709 | $51,218 | $84,954 | $295,198 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 1.02%(E) | 1.02% | 1.14% | 1.14% | 1.13% | 1.13% |
Gross expenses (including liquidity provider expenses)(F) | 1.26%(E) | 1.32% | 1.31% | 1.17% | 1.15% | 1.14% |
Net investment income | 1.07%(E) | 0.33% | 0.27% | 2.24%(B) | 0.25% | 0.25% |
Portfolio turnover rate | 11%(C)(G) | 22%(G) | 17%(G) | 29%(G) | 18% | 17% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Includes impact of special dividend from Alexander & Baldwin Inc. in January, 2018 as part of the company’s conversion to a real estate investment trust. This special dividend enhanced the net investment income per share and ratio of net investment income for Class Y by $0.34 and 2.10%, respectively. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses was 0.99%, 0.99%, 1.09% and 1.13% for the six months ended March 31, 2021 and for the years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses was 1.23%, 1.29%, 1.26% and 1.16% for the six months ended March 31, 2021 and for the years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(G) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Small Cap Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $10.49 | $12.55 | $16.40 | $17.93 | $16.43 | $17.92 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.06 | 0.04(A) | 0.06 | 0.38(A)(B) | 0.16 | 0.07 |
Net realized and unrealized gains (losses) on investments | 3.99 | (0.97) | (0.51) | 1.53 | 1.41 | 0.57 |
Total from investment operations: | 4.05 | (0.93) | (0.45) | 1.91 | 1.57 | 0.64 |
Distributions from: | ||||||
Net investment income | (0.11) | (0.04) | — | (0.45) | (0.07) | (0.18) |
Realized capital gains | (0.20) | (1.09) | (3.40) | (2.99) | — | (1.95) |
Total distributions | (0.31) | (1.13) | (3.40) | (3.44) | (0.07) | (2.13) |
Net asset value at end of period | $14.23 | $10.49 | $12.55 | $16.40 | $17.93 | $16.43 |
Total return | 39.13%(C) | (8.57%) | 0.54% | 12.52% | 9.57% | 4.05% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $44,392 | $33,201 | $36,691 | $93,636 | $122,876 | $255,422 |
Ratio to average net assets: | ||||||
Net expenses (including liquidity provider expenses)(D) | 0.94%(E) | 0.94% | 1.06% | 1.06% | 1.05% | 1.04% |
Gross expenses (including liquidity provider expenses)(F) | 1.17%(E) | 1.21% | 1.20% | 1.10% | 1.05% | 1.04% |
Net investment income | 1.15%(E) | 0.41% | 0.35% | 2.32%(B) | 0.34% | 0.34% |
Portfolio turnover rate | 11%(C)(G) | 22%(G) | 17%(G) | 29%(G) | 18% | 17% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Includes impact of special dividend from Alexander & Baldwin Inc. in January, 2018 as part of the company’s conversion to a real estate investment trust. This special dividend enhanced the net investment income per share and ratio of net investment income for Institutional Class by $0.34 and 2.10%, respectively. |
(C) | Not annualized. |
(D) | The ratio of net expenses to average net assets excluding liquidity provider expenses was 0.91%, 0.91%, 1.01% and 1.05% for the six months ended March 31, 2021 and for the years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses was 1.14%, 1.18%, 1.15% and 1.09% for the six months ended March 31, 2021 and for the years ended September 30, 2020, 2019 and 2018, respectively. There were no liquidity provider expenses prior to 2018. |
(G) | Portfolio turnover excludes securities delivered from processing a redemption-in-kind. |
Touchstone Small Cap Value Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $20.63 | $24.00 | $27.91 | $26.06 | $22.20 | $20.17 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.03(A) | 0.03(A) | 0.11 | 0.02 | 0.03 | 0.23 |
Net realized and unrealized gains (losses) on investments | 10.60 | (3.34) | (2.29) | 1.83 | 3.85 | 2.80 |
Total from investment operations: | 10.63 | (3.31) | (2.18) | 1.85 | 3.88 | 3.03 |
Distributions from: | ||||||
Net investment income | (0.08) | (0.04) | (0.03) | —(B) | (0.02) | (0.27) |
Realized capital gains | — | — | (1.70) | — | — | (0.73) |
Return of capital | — | (0.02) | — | — | — | — |
Total distributions | (0.08) | (0.06) | (1.73) | —(B) | (0.02) | (1.00) |
Net asset value at end of period | $31.18 | $20.63 | $24.00 | $27.91 | $26.06 | $22.20 |
Total return(C) | 51.58%(D) | (13.83%) | (7.37%) | 7.12% | 17.46% | 15.63% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $24,862 | $16,552 | $24,389 | $83,139 | $76,884 | $150,081 |
Ratio to average net assets: | ||||||
Net expenses | 1.38%(E) | 1.38% | 1.38% | 1.38% | 1.38% | 1.38% |
Gross expenses | 1.61%(E) | 1.58% | 1.68% | 1.75% | 1.83% | 1.67% |
Net investment income | 0.20%(E) | 0.12% | 0.19% | 0.09% | 0.07% | 1.05% |
Portfolio turnover rate | 21%(D) | 41% | 28% | 49%(F)(G) | 63%(F) | 155% |
Touchstone Small Cap Value Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $19.84 | $23.21 | $27.22 | $25.60 | $21.95 | $19.98 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.07)(A) | (0.13)(A) | (0.41) | (0.11) | (0.22) | 0.06 |
Net realized and unrealized gains (losses) on investments | 10.19 | (3.22) | (1.90) | 1.73 | 3.87 | 2.77 |
Total from investment operations: | 10.12 | (3.35) | (2.31) | 1.62 | 3.65 | 2.83 |
Distributions from: | ||||||
Net investment income | (0.04) | (0.02) | — | — | — | (0.13) |
Realized capital gains | — | — | (1.70) | — | — | (0.73) |
Return of capital | — | —(B) | — | — | — | — |
Total distributions | (0.04) | (0.02) | (1.70) | — | — | (0.86) |
Net asset value at end of period | $29.92 | $19.84 | $23.21 | $27.22 | $25.60 | $21.95 |
Total return(C) | 51.03%(D) | (14.46%) | (8.07%) | 6.29% | 16.63% | 14.72% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $617 | $453 | $788 | $1,433 | $1,223 | $1,376 |
Ratio to average net assets: | ||||||
Net expenses | 2.13%(E) | 2.13% | 2.13% | 2.13% | 2.13% | 2.13% |
Gross expenses | 4.61%(E) | 4.50% | 3.57% | 3.66% | 3.69% | 3.39% |
Net investment income (loss) | (0.55%)(E) | (0.63%) | (0.56%) | (0.66%) | (0.68%) | 0.30% |
Portfolio turnover rate | 21%(D) | 41% | 28% | 49%(F)(G) | 63%(F) | 155% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share. |
(C) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(G) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Small Cap Value Opportunities Fund acquired on September 21, 2018. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Small Cap Value Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $20.67 | $24.05 | $27.96 | $26.14 | $22.24 | $20.20 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.06(A) | 0.08(A) | 0.10 | 0.15 | 0.06 | 0.24 |
Net realized and unrealized gains (losses) on investments | 10.61 | (3.34) | (2.23) | 1.78 | 3.88 | 2.84 |
Total from investment operations: | 10.67 | (3.26) | (2.13) | 1.93 | 3.94 | 3.08 |
Distributions from: | ||||||
Net investment income | (0.09) | (0.09) | (0.08) | (0.11) | (0.04) | (0.31) |
Realized capital gains | — | — | (1.70) | — | — | (0.73) |
Return of capital | — | (0.03) | — | — | — | — |
Total distributions | (0.09) | (0.12) | (1.78) | (0.11) | (0.04) | (1.04) |
Net asset value at end of period | $31.25 | $20.67 | $24.05 | $27.96 | $26.14 | $22.24 |
Total return | 51.71%(B) | (13.60%) | (7.16%) | 7.41% | 17.80% | 15.86% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $40,098 | $28,435 | $24,921 | $41,365 | $2,829 | $3,080 |
Ratio to average net assets: | ||||||
Net expenses | 1.13%(C) | 1.13% | 1.13% | 1.13% | 1.13% | 1.13% |
Gross expenses | 1.29%(C) | 1.31% | 1.30% | 1.71% | 1.95% | 1.70% |
Net investment income | 0.45%(C) | 0.37% | 0.44% | 0.34% | 0.32% | 1.30% |
Portfolio turnover rate | 21%(B) | 41% | 28% | 49%(D)(E) | 63%(D) | 155% |
Touchstone Small Cap Value Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $20.68 | $24.04 | $27.94 | $26.14 | $22.22 | $20.19 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.08(A) | 0.12(A) | 0.18 | 0.28 | (0.06) | 0.30 |
Net realized and unrealized gains (losses) on investments | 10.63 | (3.33) | (2.27) | 1.69 | 4.04 | 2.80 |
Total from investment operations: | 10.71 | (3.21) | (2.09) | 1.97 | 3.98 | 3.10 |
Distributions from: | ||||||
Net investment income | (0.10) | (0.11) | (0.11) | (0.17) | (0.06) | (0.34) |
Realized capital gains | — | — | (1.70) | — | — | (0.73) |
Return of capital | — | (0.04) | — | — | — | — |
Total distributions | (0.10) | (0.15) | (1.81) | (0.17) | (0.06) | (1.07) |
Net asset value at end of period | $31.29 | $20.68 | $24.04 | $27.94 | $26.14 | $22.22 |
Total return | 51.84%(B) | (13.42%) | (6.98%) | 7.53% | 17.93% | 16.05% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $9,078 | $7,825 | $40,104 | $29,279 | $7,699 | $23,740 |
Ratio to average net assets: | ||||||
Net expenses | 0.98%(C) | 0.98% | 0.98% | 0.98% | 0.98% | 0.98% |
Gross expenses | 1.32%(C) | 1.19% | 1.17% | 1.27% | 1.52% | 1.22% |
Net investment income | 0.60%(C) | 0.52% | 0.59% | 0.49% | 0.47% | 1.45% |
Portfolio turnover rate | 21%(B) | 41% | 28% | 49%(D)(E) | 63%(D) | 155% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(E) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Small Cap Value Opportunities Fund acquired on September 21, 2018. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Ultra Short Duration Fixed Income Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.02 | 0.18 | 0.23 | 0.16 | 0.13 | 0.10 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.06) | 0.04 | (0.01) | (0.02) | 0.02 |
Total from investment operations: | 0.05 | 0.12 | 0.27 | 0.15 | 0.11 | 0.12 |
Distributions from: | ||||||
Net investment income | (0.04) | (0.18) | (0.23) | (0.19) | (0.14) | (0.12) |
Net asset value at end of period | $9.24 | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Total return(A) | 0.60%(B) | 1.32% | 2.95% | 1.50% | 1.29% | 1.35% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $135,973 | $124,233 | $71,684 | $76,623 | $14,080 | $16,946 |
Ratio to average net assets: | ||||||
Net expenses | 0.69%(C) | 0.69% | 0.69% | 0.69% | 0.69% | 0.69% |
Gross expenses | 0.75%(C) | 0.80% | 0.80% | 0.81% | 0.90% | 0.97% |
Net investment income | 0.61%(C) | 1.84% | 2.43% | 1.88% | 1.40% | 1.09% |
Portfolio turnover rate | 55%(B) | 72% | 91% | 143%(D) | 136% | 169% |
Touchstone Ultra Short Duration Fixed Income Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $9.24 | $9.29 | $9.25 | $9.29 | $9.32 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | —(E) | 0.12 | 0.18 | 0.13 | 0.08 | 0.06 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.04) | 0.04 | (0.03) | (0.02) | 0.02 |
Total from investment operations: | 0.02 | 0.08 | 0.22 | 0.10 | 0.06 | 0.08 |
Distributions from: | ||||||
Net investment income | (0.02) | (0.13) | (0.18) | (0.14) | (0.09) | (0.08) |
Net asset value at end of period | $9.24 | $9.24 | $9.29 | $9.25 | $9.29 | $9.32 |
Total return(A) | 0.24%(B) | 0.93% | 2.45% | 1.00% | 0.77% | 0.84% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $4,885 | $5,276 | $4,225 | $4,492 | $5,704 | $7,961 |
Ratio to average net assets: | ||||||
Net expenses | 1.19%(C) | 1.19% | 1.19% | 1.19% | 1.19% | 1.19% |
Gross expenses | 1.56%(C) | 1.60% | 1.71% | 1.67% | 1.56% | 1.54% |
Net investment income | 0.11%(C) | 1.33% | 1.93% | 1.38% | 0.90% | 0.59% |
Portfolio turnover rate | 55%(B) | 72% | 91% | 143%(D) | 136% | 169% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Portfolio turnover excludes the purchases and sales of securities of the Sentinel Low Duration Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
(E) | Less than $0.005 per share. |
Touchstone Ultra Short Duration Fixed Income Fund—Class S | ||||
Selected Data for a Share Outstanding Throughout Each Period | ||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | Period Ended September 30, 2018(A) | ||
2020 | 2019 | |||
Net asset value at beginning of period | $9.23 | $9.28 | $9.25 | $9.29 |
Income (loss) from investment operations: | ||||
Net investment income | 0.01 | 0.12 | 0.21 | 0.13 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.01) | 0.03 | (0.02) |
Total from investment operations: | 0.04 | 0.11 | 0.24 | 0.11 |
Distributions from: | ||||
Net investment income | (0.03) | (0.16) | (0.21) | (0.15) |
Net asset value at end of period | $9.24 | $9.23 | $9.28 | $9.25 |
Total return | 0.47%(B) | 1.18% | 2.59% | 1.24%(B) |
Ratios and supplemental data: | ||||
Net assets at end of period (000's) | $56,884 | $61,464 | $135,565 | $141,918 |
Ratio to average net assets: | ||||
Net expenses | 0.94%(C) | 0.94% | 0.94% | 0.94%(C) |
Gross expenses | 1.01%(C) | 0.99% | 0.99% | 0.99%(C) |
Net investment income | 0.36%(C) | 1.58% | 2.18% | 1.63%(C) |
Portfolio turnover rate | 55%(B) | 72% | 91% | 143%(D) |
Touchstone Ultra Short Duration Fixed Income Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.04 | 0.19 | 0.25 | 0.20 | 0.15 | 0.13 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.05) | 0.04 | (0.03) | (0.02) | 0.02 |
Total from investment operations: | 0.07 | 0.14 | 0.29 | 0.17 | 0.13 | 0.15 |
Distributions from: | ||||||
Net investment income | (0.06) | (0.20) | (0.25) | (0.21) | (0.16) | (0.15) |
Net asset value at end of period | $9.24 | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Total return | 0.72%(B) | 1.57% | 3.21% | 1.75% | 1.55% | 1.60% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $326,521 | $292,708 | $305,997 | $262,571 | $260,830 | $206,313 |
Ratio to average net assets: | ||||||
Net expenses | 0.44%(C) | 0.44% | 0.44% | 0.44% | 0.44% | 0.44% |
Gross expenses | 0.50%(C) | 0.51% | 0.51% | 0.50% | 0.51% | 0.53% |
Net investment income | 0.86%(C) | 2.09% | 2.68% | 2.13% | 1.65% | 1.34% |
Portfolio turnover rate | 55%(B) | 72% | 91% | 143%(D) | 136% | 169% |
(A) | Represents the period from commencement of operations (October 27, 2017) through September 30, 2018. |
(B) | Not annualized. |
(C) | Annualized. |
(D) | Portfolio turnover excludes the purchases and sales of securities of the Sentinel Low Duration Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Ultra Short Duration Fixed Income Fund—Class Z | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.03 | 0.17 | 0.23 | 0.18 | 0.13 | 0.10 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.05) | 0.04 | (0.03) | (0.02) | 0.02 |
Total from investment operations: | 0.06 | 0.12 | 0.27 | 0.15 | 0.11 | 0.12 |
Distributions from: | ||||||
Net investment income | (0.05) | (0.18) | (0.23) | (0.19) | (0.14) | (0.12) |
Net asset value at end of period | $9.24 | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Total return | 0.60%(A) | 1.32% | 2.95% | 1.50% | 1.29% | 1.35% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $78,621 | $86,018 | $128,199 | $163,898 | $211,797 | $245,252 |
Ratio to average net assets: | ||||||
Net expenses | 0.69%(B) | 0.69% | 0.69% | 0.69% | 0.69% | 0.69% |
Gross expenses | 0.78%(B) | 0.79% | 0.77% | 0.78% | 0.78% | 0.79% |
Net investment income | 0.61%(B) | 1.83% | 2.43% | 1.88% | 1.40% | 1.09% |
Portfolio turnover rate | 55%(A) | 72% | 91% | 143%(C) | 136% | 169% |
Touchstone Ultra Short Duration Fixed Income Fund—Institutional Class | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
Six Months Ended March 31, 2021 (Unaudited) | Year Ended September 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $9.22 | $9.28 | $9.25 | $9.29 | $9.32 | $9.32 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.04 | 0.20 | 0.26 | 0.21 | 0.16 | 0.13 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.05) | 0.03 | (0.03) | (0.02) | 0.02 |
Total from investment operations: | 0.07 | 0.15 | 0.29 | 0.18 | 0.14 | 0.15 |
Distributions from: | ||||||
Net investment income | (0.06) | (0.21) | (0.26) | (0.22) | (0.17) | (0.15) |
Net asset value at end of period | $9.23 | $9.22 | $9.28 | $9.25 | $9.29 | $9.32 |
Total return | 0.75%(A) | 1.63% | 3.17% | 1.80% | 1.60% | 1.54% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $496,447 | $417,011 | $362,921 | $275,561 | $257,777 | $142,913 |
Ratio to average net assets: | ||||||
Net expenses | 0.39%(B) | 0.39% | 0.39% | 0.39% | 0.39% | 0.39% |
Gross expenses | 0.44%(B) | 0.46% | 0.46% | 0.46% | 0.45% | 0.46% |
Net investment income | 0.91%(B) | 2.13% | 2.73% | 2.18% | 1.70% | 1.39% |
Portfolio turnover rate | 55%(A) | 72% | 91% | 143%(C) | 136% | 169% |
(A) | Not annualized. |
(B) | Annualized. |
(C) | Portfolio turnover excludes the purchases and sales of securities of the Sentinel Low Duration Bond Fund acquired on October 27, 2017. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Active Bond Fund ("Active Bond Fund”) |
Touchstone Anti-Benchmark® International Core Equity Fund ("Anti-Benchmark® International Core Equity Fund”) |
Touchstone Credit Opportunities Fund (formerly known as Touchstone Credit Opportunities II Fund) ("Credit Opportunities Fund”) |
Touchstone High Yield Fund ("High Yield Fund”) |
Touchstone Impact Bond Fund ("Impact Bond Fund”) |
Touchstone International ESG Equity Fund ("International ESG Equity Fund”) |
Touchstone Mid Cap Fund ("Mid Cap Fund”) |
Touchstone Mid Cap Value Fund ("Mid Cap Value Fund”) |
Touchstone Sands Capital Select Growth Fund ("Sands Capital Select Growth Fund”) |
Touchstone Small Cap Fund ("Small Cap Fund”) |
Touchstone Small Cap Value Fund ("Small Cap Value Fund”) |
Touchstone Ultra Short Duration Fixed Income Fund ("Ultra Short Duration Fixed Income Fund”) |
Class A | Class C | Class S | Class Y | Class Z | Institutional Class | Class R6 | |
Active Bond Fund | X | X | X | X | |||
Anti-Benchmark® International Core Equity Fund | X | X | |||||
Credit Opportunities Fund | X | X | X | X | |||
High Yield Fund | X | X | X | X | |||
Impact Bond Fund | X | X | X | X | |||
International ESG Equity Fund | X | X | X | X | |||
Mid Cap Fund | X | X | X | X | X | X | |
Mid Cap Value Fund | X | X | X | X | |||
Sands Capital Select Growth Fund | X | X | X | X | X | X | |
Small Cap Fund | X | X | X | X | |||
Small Cap Value Fund | X | X | X | X | |||
Ultra Short Duration Fixed Income Fund | X | X | X | X | X | X |
(1) | market value of investment securities, assets and liabilities at the current rate of exchange on the valuation date; and |
(2) | purchases and sales of investment securities, income, and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. |
Assets | Liabilities | ||
Credit Opportunities Fund | |||
Forwards - Foreign Currency Contracts | $2,485 | $693 | |
Total | $2,485 | $693 |
Counterparty | Derivative Type | Gross Amount of Recognized Assets (Liabilities) | Gross Amount Available for Offset in Statement of Assets and Liabilities | Non-Cash Collateral Received | Cash Collateral Received | Net Amount(A) |
Wells Fargo | Forward-Foreign Currency Contracts | $2,485 | $(693) | $— | $— | $1,792 |
Wells Fargo | Forward-Foreign Currency Contracts | (693) | 693 | — | — | — |
(A) | Net amount represents the net amount receivable from the counterparty in the event of default. |
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Asset Derivatives | Liability Derivatives |
Active Bond Fund | Futures Contracts - Interest Rate Contracts* | $36,488 | $47,260 |
Credit Opportunities Fund | Purchased Options - Equity Contracts** | 79,552 | — |
Written Options - Equity Contracts*** | — | 15,424 | |
Forwards - Foreign Currency Contracts**** | 2,485 | 693 |
* | Statements of Assets and Liabilities Location: Receivable and Payable for variation margin on futures contracts. Only current day’s variation margin is reported within the payable/receivable on the Statement of Assets and Liabilities. Includes cumulative appreciation/(depreciation) on futures contracts as reported on the Portfolio of Investments and within the components of net assets section of the Statement of Assets and Liabilities. |
** | Statements of Assets and Liabilities Location: Investments, at market value. |
*** | Statements of Assets and Liabilities Location: Written options, at market value. |
**** | Statements of Assets and Liabilities Location: Unrealized appreciation (depreciation) on forward foreign currency contracts. |
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Realized Gains (Losses) on Derivatives | Change in Unrealized Appreciation (Depreciation) on Derivatives |
Active Bond Fund | Futures - Interest Rate Contracts* | $330,105 | $(3,101) |
Credit Opportunities Fund | Purchased Options - Equity Contracts** | (179,128) | 28,596 |
Written Options - Equity Contracts*** | 51,162 | 2,030 | |
Forwards - Foreign Currency Exchange Contracts**** | 6,104 | (2,988) | |
Swap Agreements - Credit Contracts***** | (37,941) | (89,677) |
* | Statements of Operations Location: Net realized gains on futures contracts and Net change in unrealized appreciation (depreciation) on futures contracts, respectively. |
** | Statements of Operations Location: Net realized gains (losses) on investments and net change in unrealized appreciation (depreciation) on investments, respectively. |
*** | Statements of Operations Location: Net realized gains on written options and net change in unrealized appreciation (depreciation) on written options, respectively. |
**** | Statements of Operations Location: Net realized gains on forward foreign currency contracts and net change in unrealized appreciation (depreciation) on forward foreign currency contracts, respectively. |
***** | Statements of Operations Location: Net realized losses on swap agreements and net change in unrealized appreciation (depreciation) on swap agreements, respectively. |
Active Bond Fund | Credit Opportunities Fund | |
Equity Contracts: | ||
Purchased Options - Cost | $— | $60,718 |
Written Options - Premiums received | — | 27,944 |
Credit Contracts: | ||
Credit Default Swaps - Notional value | — | 1,360,750 |
Forward currency exchange contracts: | ||
U.S. dollar amount received | — | 803,448 |
Interest Rate Contracts: | ||
Futures - Notional Value | 10,260,864 | — |
Fund | Security Type | Market Value of Securities Loaned* | Market Value of Collateral Received** | Net Amount*** |
Active Bond Fund | Corporate Bonds | $1,071,274 | $1,118,126 | $46,852 |
Credit Opportunities Fund | Corporate Bonds | 461,574 | 484,449 | 22,875 |
High Yield Fund | Corporate Bonds | 2,697,396 | 3,011,579 | 314,183 |
Sands Capital Select Growth Fund | Common Stocks | 42,931,700 | 43,620,534 | 688,834 |
Small Cap Value Fund | Common Stocks | 819,768 | 827,352 | 7,584 |
* | The remaining contractual maturity is overnight for all securities. |
** | Gross amount of recognized liabilities for securities lending included in the Statements of Assets and Liabilities. |
*** | Net amount represents the net amount payable due to borrower in the event of default. |
Active Bond Fund | Anti- Benchmark® International Core Equity Fund | Credit Opportunities Fund | High Yield Fund | Impact Bond Fund | |
Purchases of investment securities | $41,340,230 | $13,850,625 | $57,003,427 | $83,499,328 | $30,853,935 |
Proceeds from sales and maturities | $68,019,991 | $15,467,507 | $44,277,144 | $89,985,675 | $12,071,822 |
International ESG Equity Fund | Mid Cap Fund* | Mid Cap Value Fund* | Sands Capital Select Growth Fund* | Small Cap Fund* | |
Purchases of investment securities | $11,529,877 | $775,161,563 | $171,075,723 | $663,805,105 | $8,871,954 |
Proceeds from sales and maturities | $13,370,801 | $553,595,190 | $211,870,534 | $716,612,232 | $9,525,921 |
Small Cap Value Fund | Ultra Short Duration Fixed Income Fund | |
Purchases of investment securities | $13,603,468 | $551,543,046 |
Proceeds from sales and maturities | $19,286,929 | $490,548,777 |
* | Mid Cap Fund, Mid Cap Value Fund, Sands Capital Select Growth Fund and Small Cap Fund had redemptions-in-kind out of the Fund of $46,713,062, $21,152,332, $247,050,471 and $7,685,163, respectively. The redemptions were comprised of securities of $42,994,506, $20,508,412, $197,130,937 and $5,853,288, which are excluded from the proceeds from sales and maturities and cash in the amount of $3,718,556, $643,920, $49,919,534 and $1,831,875, for the Mid Cap Fund, Mid Cap Value Fund, Sands Capital Select Growth Fund and Small Cap Fund, respectively. |
Active Bond Fund | 0.40% on the first $300 million 0.35% on such assets over $300 million |
Anti-Benchmark® International Core Equity Fund | 0.45% on the first $1 billion 0.40% on such assets over $1 billion |
Credit Opportunities Fund (formerly, Touchstone Credit Opportunities II Fund) | 0.60% |
High Yield Fund | 0.60% on the first $50 million 0.50% on the next $250 million 0.45% on such assets over $300 million |
Impact Bond Fund | 0.35% |
International ESG Equity Fund | 0.65% on the first $1 billion 0.60% on such assets over $1 billion |
Mid Cap Fund | 0.80% on the first $1 billion 0.70% on the next $500 million 0.60% on such assets over $1.5 billion |
Mid Cap Value Fund | 0.75% |
Sands Capital Select Growth Fund | 0.70% on the first $1 billion 0.65% on the next $500 million 0.60% on the next $500 million 0.55% on such assets over $2 billion |
Small Cap Fund | 0.85% on the first $250 million 0.80% on the next $250 million 0.70% on such assets over $500 million |
Small Cap Value Fund | 0.85% |
Ultra Short Duration Fixed Income Fund | 0.25% |
Ares Capital Management II LLC | The London Company |
Credit Opportunities Fund | Mid Cap Fund |
EARNEST Partners LLC | Small Cap Fund |
Impact Bond Fund | Rockefeller & Co. LLC |
Fort Washington Investment Advisors, Inc.* | International ESG Equity Fund |
Active Bond Fund | Sands Capital Management, LLC |
High Yield Fund | Sands Capital Select Growth Fund |
Ultra Short Duration Fixed Income Fund | TOBAM S.A.S. |
LMCG Investments, LLC | Anti-Benchmark® International Core Equity Fund |
Mid Cap Value Fund | |
Small Cap Value Fund |
Class A | Class C | Class S | Class Y | Class Z | Institutional Class | Class R6 | |
Active Bond Fund | 0.90% | 1.65% | — | 0.65% | — | 0.57% | — |
Class A | Class C | Class S | Class Y | Class Z | Institutional Class | Class R6 | |
Anti-Benchmark® International Core Equity Fund | — | — | — | 0.69% | — | 0.59% | — |
Credit Opportunities Fund | 1.08% | 1.83% | — | 0.83% | — | 0.73% | — |
High Yield Fund | 1.05% | 1.80% | — | 0.80% | — | 0.72% | — |
Impact Bond Fund | 0.85% | 1.60% | — | 0.60% | — | 0.50% | — |
International ESG Equity Fund | 1.17% | 1.95% | — | 0.90% | — | 0.89% | — |
Mid Cap Fund | 1.21% | 1.96% | — | 0.96% | 1.21% | 0.89% | 0.79% |
Mid Cap Value Fund | 1.22% | 1.97% | — | 0.97% | — | 0.84% | — |
Sands Capital Select Growth Fund | 1.15% | 1.90% | — | 0.90% | 1.14% | 0.78% | 0.72% |
Small Cap Fund | 1.24% | 1.99% | — | 0.99% | — | 0.91% | — |
Small Cap Value Fund | 1.38% | 2.13% | — | 1.13% | — | 0.98% | — |
Ultra Short Duration Fixed Income Fund | 0.69% | 1.19% | 0.94% | 0.44% | 0.69% | 0.39% | — |
Fund | Investment Advisory Fees Waived | Administration Fees Waived | Other Operating Expenses Reimbursed/ Waived | Total |
Active Bond Fund | $— | $11,254 | $73,561 | $84,815 |
Anti-Benchmark® International Core Equity Fund | — | 27,277 | 46,325 | 73,602 |
Credit Opportunities Fund | — | 45,607 | 66,832 | 112,439 |
High Yield Fund | — | 7,258 | 51,871 | 59,129 |
Impact Bond Fund | — | 19,114 | 91,746 | 110,860 |
International ESG Equity Fund | — | 9,906 | 76,933 | 86,839 |
Mid Cap Fund | — | — | 29,244 | 29,244 |
Mid Cap Value Fund | — | 135,598 | 477,941 | 613,539 |
Sands Capital Select Growth Fund | — | 2,667 | 13,335 | 16,002 |
Small Cap Fund | — | 45,892 | 75,175 | 121,067 |
Small Cap Value Fund | — | 8,710 | 66,901 | 75,611 |
Ultra Short Duration Fixed Income Fund | — | 41,938 | 265,317 | 307,255 |
Fund | Expires on or before June 30, 2021 | Expires on or before September 30, 2021 | Expires on or before June 30, 2022 | Expires on or before September 30, 2022 | Expires on or before September 30, 2023 | Expires on or before September 30, 2024 | Total |
Active Bond Fund | $— | $61,178 | $— | $232,470 | $170,804 | $49,833 | $514,285 |
Anti-Benchmark® International Core Equity Fund | — | — | — | 155,348 | 141,795 | 73,602 | 370,745 |
Credit Opportunities Fund | 33,471 | — | 172,127 | 107,785 | 229,289 | 94,347 | 637,019 |
High Yield Fund | — | 34,814 | — | 123,791 | 85,080 | 40,082 | 283,767 |
Impact Bond Fund | — | 148,021 | — | 270,814 | 247,247 | 95,208 | 761,290 |
International ESG Equity Fund | — | 12,108 | — | 77,175 | 141,782 | 57,919 | 288,984 |
Mid Cap Fund | — | 93,308 | — | 438,761 | 760,791 | 929 | 1,293,789 |
Mid Cap Value Fund | — | 388,082 | — | 1,211,849 | 1,340,628 | 590,069 | 3,530,628 |
Sands Capital Select Growth Fund | — | 118,309 | — | 340,298 | 292,016 | 16,002 | 766,625 |
Small Cap Fund | — | 23,962 | — | 147,751 | 218,366 | 113,037 | 503,116 |
Small Cap Value Fund | — | 115,054 | — | 174,347 | 142,724 | 49,708 | 481,833 |
Ultra Short Duration Fixed Income Fund | — | 303,003 | — | 610,602 | 615,640 | 241,520 | 1,770,765 |
Fund | Amount |
Active Bond Fund | $ 5,071 |
Credit Opportunities Fund | 143 |
High Yield Fund | 704 |
Impact Bond Fund | 534 |
International ESG Equity Fund | 258 |
Mid Cap Fund | 10,643 |
Mid Cap Value Fund | 985 |
Sands Capital Select Growth Fund | 18,537 |
Small Cap Fund | 261 |
Small Cap Value Fund | 361 |
Ultra Short Duration Fixed Income Fund | 542 |
Fund | Class C |
Mid Cap Fund | $ 35 |
Mid Cap Value Fund | 94 |
Sands Capital Select Growth Fund | 2,675 |
Ultra Short Duration Fixed Income Fund | 154 |
Fund | Shares ReFlow Subscribed to | Redemptions-in-kind |
Mid Cap Fund | 1,017,439 | $ 42,994,506 |
Mid Cap Value Fund | 979,728 | 20,508,412 |
Sands Capital Select Growth Fund | 13,404,871 | 197,130,937 |
Small Cap Fund | 584,164 | 5,853,288 |
Fund | Daily Average Amount Loaned | Weighted Average Interest Rate | Interest Income* |
Mid Cap Fund | $ 306,700 | 0.68% | $ 1,048 |
Sands Capital Select Growth Fund | $ 65,934 | 0.67% | $ 223 |
* | Included in Interest in the Statements of Operations. |
Fund | Daily Average Amount Borrowed | Weighted Average Interest Rate | Interest Expense* |
International ESG Equity Fund | $ 11,968,023 | 0.68% | $ 226 |
Mid Cap Value Fund | $ 2,037,494 | 0.68% | $ 38 |
* | Included in Other expenses in the Statements of Operations. |
Active Bond Fund | Anti-Benchmark® International Core Equity Fund | |||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Period Ended September 30, 2019(A) | |
From ordinary income | $9,224,555 | $9,614,220 | $830,992 | $32,749 |
Total distributions | $9,224,555 | $9,614,220 | $830,992 | $32,749 |
Credit Opportunities Fund | |||
Year Ended September 30, 2020 | Three Months Ended September 30, 2019(B) | Year Ended June 30, 2019 | |
From ordinary income | $5,412,892 | $3,206,036 | $3,271,569 |
From long-term capital gains | — | — | 307,535 |
Total distributions | $5,412,892 | $3,206,036 | $3,579,104 |
High Yield Fund | Impact Bond Fund | International ESG Equity Fund | ||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
From ordinary income | $10,325,343 | $10,001,955 | $7,625,238 | $7,791,647 | $92,070 | $1,316,207 |
From long-term capital gains | — | — | — | — | 6,554,323 | 6,831,966 |
Total distributions | $10,325,343 | $10,001,955 | $7,625,238 | $7,791,647 | $6,646,393 | $8,148,173 |
Mid Cap Fund | Mid Cap Value Fund | Sands Capital Select Growth Fund | ||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
From ordinary income | $16,227,598 | $9,903,400 | $6,179,571 | $15,017,130 | $— | $— |
From long-term capital gains | 40,623,294 | 23,663,184 | — | 23,697,909 | 275,526,970 | 422,272,917 |
Total distributions | $56,850,892 | $33,566,584 | $6,179,571 | $38,715,039 | $275,526,970 | $422,272,917 |
Small Cap Fund | Small Cap Value Fund | Ultra Short Duration Fixed Income Fund | ||||
Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
From ordinary income | $183,932 | $125,425 | $335,913 | $1,637,755 | $21,013,925 | $25,162,001 |
From long-term capital gains | 6,668,316 | 23,461,668 | — | 8,137,372 | — | — |
From return of capital | — | — | 111,479 | — | — | — |
Total distributions | $6,852,248 | $23,587,093 | $447,392 | $9,775,127 | $21,013,925 | $25,162,001 |
(A) | Represents the period from commencement of operations (November 19, 2018) through September 30, 2019. |
(B) | The Fund changed its fiscal year end from June 30 to September 30. |
Active Bond Fund | Anti-Benchmark® International Core Equity Fund | Credit Opportunities Fund | High Yield Fund | |
Tax cost of portfolio investments | $342,583,216 | $35,730,563 | $89,772,973 | $189,855,960 |
Gross unrealized appreciation on investments | 20,190,404 | 5,913,691 | 2,650,624 | 5,739,922 |
Gross unrealized depreciation on investments | (3,211,988) | (3,018,284) | (4,230,274) | (7,721,533) |
Net unrealized appreciation (depreciation) on investments | 16,978,416 | 2,895,407 | (1,579,650) | (1,981,611) |
Gross unrealized appreciation on short sales, derivatives, and foreign currency transactions | — | 1,680 | 26,372 | — |
Gross unrealized depreciation on short sales, derivatives, and foreign currency transactions | — | (38) | (67,376) | — |
Net unrealized appreciation (depreciation) on short sales, derivatives and foreign currency transactions | — | 1,642 | (41,004) | — |
Undistributed ordinary income | 296,022 | 649,717 | 654,240 | 100,671 |
Capital loss carryforwards | (81,129,634) | (696,512) | (19,706,374) | (20,301,512) |
Other temporary differences | (947,755) | — | 33,888 | — |
Accumulated earnings (deficit) | $(64,802,951) | $2,850,254 | $(20,638,900) | $(22,182,452) |
Impact Bond Fund | International ESG Equity Fund | Mid Cap Fund | Mid Cap Value Fund | |
Tax cost of portfolio investments | $368,488,430 | $23,618,043 | $3,387,025,545 | $624,092,678 |
Gross unrealized appreciation on investments | 24,427,006 | 5,689,150 | 623,308,001 | 129,360,637 |
Gross unrealized depreciation on investments | (1,550,233) | (1,341,744) | (181,451,112) | (88,481,393) |
Net unrealized appreciation (depreciation) on investments | 22,876,773 | 4,347,406 | 441,856,889 | 40,879,244 |
Gross unrealized appreciation on foreign currency transactions | — | 923 | — | — |
Gross unrealized depreciation on foreign currency transactions | — | (51) | — | — |
Net unrealized appreciation (depreciation) on foreign currency transactions | — | 872 | — | — |
Undistributed capital gains | — | — | 35,740,564 | — |
Undistributed ordinary income | 657,939 | 128,974 | 35,949,859 | 36,502 |
Capital loss carryforwards | (5,951,300) | (1,240,415) | — | (12,022,197) |
Accumulated earnings (deficit) | $17,583,412 | $3,236,837 | $513,547,312 | $28,893,549 |
Sands Capital Select Growth Fund | Small Cap Fund | Small Cap Value Fund | Ultra Short Duration Fixed Income Fund | |
Tax cost of portfolio investments | $1,058,583,812 | $61,271,712 | $57,609,732 | $986,165,972 |
Gross unrealized appreciation on investments | 1,235,399,297 | 19,400,660 | 6,376,970 | 2,811,565 |
Gross unrealized depreciation on investments | (9,407,860) | (7,300,001) | (9,807,482) | (6,569,703) |
Net unrealized appreciation (depreciation) on investments | 1,225,991,437 | 12,100,659 | (3,430,512) | (3,758,138) |
Qualified late-year losses | (8,709,129) | — | — | — |
Undistributed capital gains | 213,407,651 | 497,373 | — | — |
Undistributed ordinary income | — | 91,526 | — | 547,213 |
Capital loss carryforwards | — | — | (19,181,829) | (100,008,268) |
Other temporary differences | — | — | — | (127,834) |
Accumulated earnings (deficit) | $1,430,689,959 | $12,689,558 | $(22,612,341) | $(103,347,027) |
Fund | No Expiration Short Term | No Expiration Long Term | Total |
Active Bond Fund* | $ 44,563,739 | $ 36,565,895 | $ 81,129,634 |
Anti-Benchmark® International Core Equity Fund | 663,798 | 32,714 | 696,512 |
Credit Opportunities Fund* | 5,864,649 | 13,841,725 | 19,706,374 |
High Yield Fund | 1,615,499 | 18,686,013 | 20,301,512 |
Impact Bond Fund | 143,792 | 5,807,508 | 5,951,300 |
International ESG Equity Fund | 1,151,631 | 88,784 | 1,240,415 |
Mid Cap Value Fund | 3,426,293 | 8,595,904 | 12,022,197 |
Small Cap Value Fund | 8,579,136 | 10,602,693 | 19,181,829 |
Ultra Short Duration Fixed Income Fund* | 29,238,184 | 70,770,084 | 100,008,268 |
* | Future utilization may be limited under current tax rules |
Fund | Utilized |
Active Bond Fund | $ 8,697,254 |
Impact Bond Fund | 439,817 |
Fund | Realized Capital Losses | Ordinary Losses | Total |
Sands Capital Select Growth Fund | $ — | $ 8,709,129 | $ 8,709,129 |
Fund | Federal Tax Cost | Gross Unrealized Appreciation on Investments | Gross Unrealized Depreciation on Investments | Gross Unrealized Appreciation on Other(A) | Gross Unrealized Depreciation on Other(A) | Net Unrealized Appreciation (Depreciation) |
Active Bond Fund | $343,400,700 | $13,253,409 | $(3,889,429) | $36,488 | $(47,260) | $9,353,208 |
Fund | Federal Tax Cost | Gross Unrealized Appreciation on Investments | Gross Unrealized Depreciation on Investments | Gross Unrealized Appreciation on Other(A) | Gross Unrealized Depreciation on Other(A) | Net Unrealized Appreciation (Depreciation) |
Anti-Benchmark® International Core Equity Fund | $34,910,782 | $5,509,504 | $(921,375) | $1,087 | $(1,295) | $4,587,921 |
Credit Opportunities Fund | 105,016,869 | 4,784,199 | (1,152,291) | 17,945 | (127,359) | 3,522,494 |
High Yield Fund | 188,998,953 | 7,015,390 | (3,600,839) | — | — | 3,414,551 |
Impact Bond Fund | 393,703,125 | 13,238,445 | (4,439,994) | — | — | 8,798,451 |
International ESG Equity Fund | 23,460,978 | 8,365,608 | (396,631) | 993 | (734) | 7,969,236 |
Mid Cap Fund | 3,833,717,659 | 1,209,350,004 | (51,286,126) | — | — | 1,158,063,878 |
Mid Cap Value Fund | 610,389,169 | 248,500,026 | (6,770,578) | — | — | 241,729,448 |
Sands Capital Select Growth Fund | 2,544,070,210 | 2,533,508,761 | (36,800,354) | — | — | 2,496,708,407 |
Small Cap Fund | 63,858,359 | 34,868,637 | (2,130,492) | — | — | 32,738,145 |
Small Cap Value Fund | 54,687,440 | 21,187,373 | (841,502) | — | — | 20,345,871 |
Ultra Short Duration Fixed Income Fund | 1,117,326,469 | 1,926,101 | (2,775,897) | — | — | (849,796) |
(A) | Other includes Short Sales, Derivatives and Foreign Currency Transactions. |
Before Reorganization | After Reorganization | ||
Touchstone Sands Capital Institutional Growth Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Sands Capital Select Growth Fund | |
Class A | |||
Shares | — | 10,414,411 | 10,414,411 |
Net Assets | $— | $186,233,398 | $186,233,398 |
Net Assets Value | $— | $17.88 | $17.88 |
Class C | |||
Shares | — | 2,497,851 | 2,497,851 |
Net Assets | $— | $36,990,933 | $36,990,933 |
Net Asset Value | $— | $14.81 | $14.81 |
Class Y | |||
Shares | — | 88,830,695 | 88,830,695 |
Net Assets | $— | $1,759,208,389 | $1,759,208,389 |
Net Asset Value | $— | $19.80 | $19.80 |
Institutional Class | |||
Shares | 128,604,796(A) | 1,277,832 | 129,882,628 |
Net Assets | $2,547,803,595 | $25,315,298 | $2,573,118,893 |
Net Asset Value | $19.81(A) | $19.81 | $19.81 |
Class Z | |||
Shares | — | 30,950,883 | 30,950,883 |
Net Assets | $— | $554,544,457 | $554,544,457 |
Net Assets Value | $— | $17.92 | $17.92 |
Class R6 | |||
Shares | — | 59,248 | 59,248 |
Net Assets | $— | $1,173,390 | $1,173,390 |
Net Assets Value | $— | $19.80 | $19.80 |
Before Reorganization | After Reorganization | ||
Touchstone Sands Capital Institutional Growth Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Sands Capital Select Growth Fund | |
Fund Total | |||
Shares Outstanding | 128,604,796 | 134,030,920 | 262,635,716 |
Net Assets | $2,547,803,595 | $2,563,465,865 | $5,111,269,460 |
Unrealized Appreciation (Depreciation) | $1,465,622,003 | $1,428,263,563 | $2,893,885,566 |
Net investment loss | $(19,066,790) |
Net realized and unrealized gain (loss) on investments | $699,277,972 |
Net increase in net assets resulting from operations | $680,211,182 |
Net Expense Ratio Annualized March 31, 2021 | Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Expenses Paid During the Six Months Ended March 31, 2021* | ||
Active Bond Fund | |||||
Class A | Actual | 0.90% | $1,000.00 | $991.90 | $4.47 |
Class A | Hypothetical | 0.90% | $1,000.00 | $1,020.44 | $4.53 |
Class C | Actual | 1.65% | $1,000.00 | $988.50 | $8.18 |
Class C | Hypothetical | 1.65% | $1,000.00 | $1,016.70 | $8.30 |
Class Y | Actual | 0.65% | $1,000.00 | $993.20 | $3.23 |
Net Expense Ratio Annualized March 31, 2021 | Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Expenses Paid During the Six Months Ended March 31, 2021* | ||
Class Y | Hypothetical | 0.65% | $1,000.00 | $1,021.69 | $3.28 |
Institutional Class | Actual | 0.57% | $1,000.00 | $993.50 | $2.83 |
Institutional Class | Hypothetical | 0.57% | $1,000.00 | $1,022.09 | $2.87 |
Anti-Benchmark® International Core Equity Fund | |||||
Class Y | Actual | 0.69% | $1,000.00 | $1,103.20 | $3.62 |
Class Y | Hypothetical | 0.69% | $1,000.00 | $1,021.49 | $3.48 |
Institutional Class | Actual | 0.59% | $1,000.00 | $1,103.30 | $3.09 |
Institutional Class | Hypothetical | 0.59% | $1,000.00 | $1,021.99 | $2.97 |
Credit Opportunities Fund | |||||
Class A | Actual | 1.15% | $1,000.00 | $1,102.50 | $6.03** |
Class A | Hypothetical | 1.15% | $1,000.00 | $1,019.20 | $5.79** |
Class C | Actual | 1.90% | $1,000.00 | $1,097.80 | $9.94** |
Class C | Hypothetical | 1.90% | $1,000.00 | $1,015.46 | $9.55** |
Class Y | Actual | 0.90% | $1,000.00 | $1,104.50 | $4.72** |
Class Y | Hypothetical | 0.90% | $1,000.00 | $1,020.44 | $4.53** |
Institutional Class | Actual | 0.80% | $1,000.00 | $1,104.50 | $4.20** |
Institutional Class | Hypothetical | 0.80% | $1,000.00 | $1,020.94 | $4.03** |
High Yield Fund | |||||
Class A | Actual | 1.05% | $1,000.00 | $1,065.90 | $5.41 |
Class A | Hypothetical | 1.05% | $1,000.00 | $1,019.70 | $5.29 |
Class C | Actual | 1.80% | $1,000.00 | $1,062.20 | $9.25 |
Class C | Hypothetical | 1.80% | $1,000.00 | $1,015.96 | $9.05 |
Class Y | Actual | 0.80% | $1,000.00 | $1,067.70 | $4.12 |
Class Y | Hypothetical | 0.80% | $1,000.00 | $1,020.94 | $4.03 |
Institutional Class | Actual | 0.72% | $1,000.00 | $1,067.20 | $3.71 |
Institutional Class | Hypothetical | 0.72% | $1,000.00 | $1,021.34 | $3.63 |
Impact Bond Fund | |||||
Class A | Actual | 0.85% | $1,000.00 | $975.70 | $4.19 |
Class A | Hypothetical | 0.85% | $1,000.00 | $1,020.69 | $4.28 |
Class C | Actual | 1.60% | $1,000.00 | $972.00 | $7.87 |
Class C | Hypothetical | 1.60% | $1,000.00 | $1,016.95 | $8.05 |
Class Y | Actual | 0.60% | $1,000.00 | $976.00 | $2.96 |
Class Y | Hypothetical | 0.60% | $1,000.00 | $1,021.94 | $3.02 |
Institutional Class | Actual | 0.50% | $1,000.00 | $976.50 | $2.46 |
Institutional Class | Hypothetical | 0.50% | $1,000.00 | $1,022.44 | $2.52 |
International ESG Equity Fund | |||||
Class A | Actual | 1.17% | $1,000.00 | $1,208.40 | $6.44 |
Class A | Hypothetical | 1.17% | $1,000.00 | $1,019.10 | $5.89 |
Class C | Actual | 1.95% | $1,000.00 | $1,204.10 | $10.72 |
Class C | Hypothetical | 1.95% | $1,000.00 | $1,015.21 | $9.80 |
Class Y | Actual | 0.90% | $1,000.00 | $1,211.70 | $4.96 |
Class Y | Hypothetical | 0.90% | $1,000.00 | $1,020.44 | $4.53 |
Institutional Class | Actual | 0.89% | $1,000.00 | $1,211.80 | $4.91 |
Institutional Class | Hypothetical | 0.89% | $1,000.00 | $1,020.49 | $4.48 |
Mid Cap Fund | |||||
Class A | Actual | 1.21% | $1,000.00 | $1,207.10 | $6.66 |
Class A | Hypothetical | 1.21% | $1,000.00 | $1,018.90 | $6.09 |
Class C | Actual | 1.92% | $1,000.00 | $1,203.00 | $10.55 |
Class C | Hypothetical | 1.92% | $1,000.00 | $1,015.36 | $9.65 |
Class Y | Actual | 0.96% | $1,000.00 | $1,209.00 | $5.29 |
Class Y | Hypothetical | 0.96% | $1,000.00 | $1,020.14 | $4.84 |
Class Z | Actual | 1.21% | $1,000.00 | $1,207.50 | $6.66 |
Class Z | Hypothetical | 1.21% | $1,000.00 | $1,018.90 | $6.09 |
Institutional Class | Actual | 0.84% | $1,000.00 | $1,209.70 | $4.63 |
Institutional Class | Hypothetical | 0.84% | $1,000.00 | $1,020.74 | $4.23 |
Class R6*** | Actual | 0.79% | $1,000.00 | $1,024.00 | $0.83 |
Class R6*** | Hypothetical | 0.79% | $1,000.00 | $1,020.99 | $0.83 |
Mid Cap Value Fund | |||||
Class A | Actual | 1.23% | $1,000.00 | $1,373.80 | $7.28**** |
Class A | Hypothetical | 1.23% | $1,000.00 | $1,018.80 | $6.19**** |
Class C | Actual | 1.98% | $1,000.00 | $1,368.60 | $11.69**** |
Class C | Hypothetical | 1.98% | $1,000.00 | $1,015.06 | $9.95**** |
Class Y | Actual | 0.98% | $1,000.00 | $1,375.30 | $5.80**** |
Class Y | Hypothetical | 0.98% | $1,000.00 | $1,020.04 | $4.94**** |
Net Expense Ratio Annualized March 31, 2021 | Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Expenses Paid During the Six Months Ended March 31, 2021* | ||
Institutional Class | Actual | 0.85% | $1,000.00 | $1,376.10 | $5.04**** |
Institutional Class | Hypothetical | 0.85% | $1,000.00 | $1,020.69 | $4.28**** |
Sands Capital Select Growth Fund | |||||
Class A | Actual | 1.09% | $1,000.00 | $1,010.90 | $5.46***** |
Class A | Hypothetical | 1.09% | $1,000.00 | $1,019.50 | $5.49***** |
Class C | Actual | 1.92% | $1,000.00 | $1,019.20 | $9.67***** |
Class C | Hypothetical | 1.92% | $1,000.00 | $1,015.36 | $9.65***** |
Class Y | Actual | 0.85% | $1,000.00 | $1,008.50 | $4.26***** |
Class Y | Hypothetical | 0.85% | $1,000.00 | $1,020.69 | $4.28***** |
Class Z | Actual | 1.16% | $1,000.00 | $1,011.60 | $5.82***** |
Class Z | Hypothetical | 1.16% | $1,000.00 | $1,019.15 | $5.84***** |
Institutional Class | Actual | 0.78% | $1,000.00 | $1,007.80 | $3.90***** |
Institutional Class | Hypothetical | 0.78% | $1,000.00 | $1,021.04 | $3.93***** |
Class R6 | Actual | 0.74% | $1,000.00 | $1,007.40 | $3.70***** |
Class R6 | Hypothetical | 0.74% | $1,000.00 | $1,021.24 | $3.73***** |
Small Cap Fund | |||||
Class A | Actual | 1.27% | $1,000.00 | $1,389.80 | $7.57****** |
Class A | Hypothetical | 1.27% | $1,000.00 | $1,018.60 | $6.39****** |
Class C | Actual | 2.02% | $1,000.00 | $1,384.90 | $12.01****** |
Class C | Hypothetical | 2.02% | $1,000.00 | $1,014.86 | $10.15****** |
Class Y | Actual | 1.02% | $1,000.00 | $1,391.20 | $6.08****** |
Class Y | Hypothetical | 1.02% | $1,000.00 | $1,019.85 | $5.14****** |
Institutional Class | Actual | 0.94% | $1,000.00 | $1,391.30 | $5.60****** |
Institutional Class | Hypothetical | 0.94% | $1,000.00 | $1,020.24 | $4.73****** |
Small Cap Value Fund | |||||
Class A | Actual | 1.38% | $1,000.00 | $1,515.80 | $8.66 |
Class A | Hypothetical | 1.38% | $1,000.00 | $1,018.05 | $6.94 |
Class C | Actual | 2.13% | $1,000.00 | $1,510.30 | $13.33 |
Class C | Hypothetical | 2.13% | $1,000.00 | $1,014.31 | $10.70 |
Class Y | Actual | 1.13% | $1,000.00 | $1,517.10 | $7.09 |
Class Y | Hypothetical | 1.13% | $1,000.00 | $1,019.30 | $5.69 |
Institutional Class | Actual | 0.98% | $1,000.00 | $1,518.40 | $6.15 |
Institutional Class | Hypothetical | 0.98% | $1,000.00 | $1,020.04 | $4.94 |
Ultra Short Duration Fixed Income Fund | |||||
Class A | Actual | 0.69% | $1,000.00 | $1,006.00 | $3.45 |
Class A | Hypothetical | 0.69% | $1,000.00 | $1,021.49 | $3.48 |
Class C | Actual | 1.19% | $1,000.00 | $1,002.40 | $5.94 |
Class C | Hypothetical | 1.19% | $1,000.00 | $1,019.00 | $5.99 |
Class S | Actual | 0.94% | $1,000.00 | $1,004.70 | $4.70 |
Class S | Hypothetical | 0.94% | $1,000.00 | $1,020.24 | $4.73 |
Class Y | Actual | 0.44% | $1,000.00 | $1,007.20 | $2.20 |
Class Y | Hypothetical | 0.44% | $1,000.00 | $1,022.74 | $2.22 |
Class Z | Actual | 0.69% | $1,000.00 | $1,006.00 | $3.45 |
Class Z | Hypothetical | 0.69% | $1,000.00 | $1,021.49 | $3.48 |
Institutional Class | Actual | 0.39% | $1,000.00 | $1,007.50 | $1.95 |
Institutional Class | Hypothetical | 0.39% | $1,000.00 | $1,022.99 | $1.97 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
** | Excluding interest and dividend expenses on securities sold short, your actual cost of investment in Class A, Class C, Class Y and Institutional Class would be $5.66, $9.57, $4.35 and $3.83, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y and Institutional Class would be $5.44, $9.20, $4.18 and $3.68, respectively. |
*** | Represents the period from commencement of operations (February 22, 2021) through March 31, 2021. |
**** | Excluding liquidity provider expenses, your actual cost of investment in Class A, Class C, Class Y and Institutional Class would be $7.22, $11.63, $5.74 and $4.98, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y and Institutional Class would be $6.14, $9.90, $4.89 and $4.23, respectively. |
***** | Excluding liquidity provider expenses, your actual cost of investment in Class A, Class C, Class Y, Class Z, Institutional Class and Class R6 would be $5.73, $10.15, $4.45, $6.11, $4.07 and $3.86, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y, Class Z Institutional Class and Class R6 would be $5.39, $9.55, $4.18, $5.74, $3.83 and $3.63, respectively. |
****** | Excluding liquidity provider expenses, your actual cost of investment in Class A, Class C, Class Y and Institutional Class would be $7.39, $11.83, $5.90 and $5.43, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y and Institutional Class would be $6.24, $10.00, $4.99 and $4.58, respectively. |
303 Broadway
Cincinnati, Ohio 45202-4203
800.638.8194
www.touchstoneinvestments.com
303 Broadway
Cincinnati, Ohio 45202-4203
4400 Computer Drive
Westborough, Massachusetts 01581
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Touchstone Funds Group Trust |
By (Signature and Title)* | /s/ E. Blake Moore, Jr. | |
E. Blake Moore, Jr., President | ||
(principal executive officer) |
Date | June 1, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ E. Blake Moore, Jr. | |
E. Blake Moore, Jr., President | ||
(principal executive officer) |
Date | June 1, 2021 |
By (Signature and Title)* | /s/ Terrie A. Wiedenheft | |
Terrie A. Wiedenheft, Controller and Treasurer | ||
(principal financial officer) |
Date | June 1, 2021 |
* Print the name and title of each signing officer under his or her signature