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: September 30, 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, 450 Fifth Street, NW, Washington, DC 20549-0609. 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 Dividend Equity 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 |
President
Touchstone Funds Group Trust
Average Annual Total Returns** | |||
Touchstone Active Bond Fund | 1 Year | 5 Years | 10 Years |
Class A | -2.21% | 2.52% | 3.05% |
Class C | -0.60% | 2.75% | 2.92% |
Class Y* | 1.35% | 3.76% | 3.80% |
Institutional Class* | 1.43% | 3.87% | 3.88% |
Bloomberg U.S. Aggregate Bond Index | -0.90% | 2.94% | 3.01% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. The inception date of Class Y shares and Institutional Class shares was April 12, 2012. Class Y shares’ and Institutional Class shares’ performance was calculated using the historical performance of Class A shares for the periods prior to April 12, 2012. The returns have been restated for sales loads and fees applicable to Class Y and Institutional Class shares. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 3.36% of the NAV (or 3.25% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
Average Annual Total Returns | ||
Touchstone Anti-Benchmark® International Core Equity Fund | 1 Year | Since Inception* |
Class Y | 10.32% | 7.34% |
Institutional Class | 10.43% | 7.48% |
MSCI EAFE Index | 25.73% | 11.16% |
* | The chart above represents performance of Class Y shares only, which will vary from the performance of Institutional Class shares based on the difference in fees paid by the shareholders in the different classes. The inception date of the Fund was November 19, 2018. The returns of the index listed above are based on the inception date of the Fund. |
Average Annual Total Returns** | |||
Touchstone Credit Opportunities Fund | 1 Year | 5 Years | Since Inception* |
Class A | 12.85% | 5.22% | 5.42% |
Class C | 14.79% | 5.72% | 5.73% |
Class Y | 16.98% | 6.75% | 6.71% |
Institutional Class | 17.07% | 6.84% | 6.81% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.07% | 1.16% | 1.00% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. The inception date of the Fund was August 31, 2015. The returns of the index listed above are based on the inception date of the Fund. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 3.36% of the NAV (or 3.25% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
Average Annual Total Returns** | |||||
Touchstone Dividend Equity Fund* | 11 months*** | 1 Year | 5 Years | 10 Years | Since Inception |
Class A | 15.12% | 12.27% | 4.82% | 10.59% | 6.73% |
Class C | 20.38% | 17.33% | 5.39% | 10.53% | 6.30% |
Class Y* | 22.33% | 19.28% | 6.29% | — | 8.07% |
Institutional Class* | — | — | — | — | -0.61% |
Class R6* | — | — | — | — | -2.44% |
Russell 1000® Value Index | 36.81% | 35.01% | 10.94% | 13.51% | 7.26% |
S&P 500® Index | 33.56% | 30.00% | 16.90% | 16.63% | 7.98% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares, Class R6 shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. The inception date of Class R6 and Institutional Class shares was August 2, 2021 and July 19, 2021, respectively. The returns of Institutional Class shares and Class R6 shares are not annualized. The returns of the Index are based on the inception date of the Predecessor Fund. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 5.26% of the NAV (or 5.00% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
*** | Not annualized. |
Average Annual Total Returns** | |||
Touchstone High Yield Fund | 1 Year | 5 Years | 10 Years |
Class A | 7.30% | 4.19% | 5.20% |
Class C | 9.07% | 4.45% | 5.09% |
Class Y | 11.18% | 5.49% | 6.00% |
Institutional Class* | 11.27% | 5.57% | 6.09% |
ICE BofA High Yield Cash Pay Index | 11.30% | 6.33% | 7.26% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. The inception date of Institutional Class shares was January 27, 2012. Institutional Class shares’ performance was calculated using the historical performance of Class A shares for the periods prior to January 27, 2012. The returns have been restated for sales loads and fees applicable to Institutional Class shares. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 3.36% of the NAV (or 3.25% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
Average Annual Total Returns** | |||
Touchstone Impact Bond Fund | 1 Year | 5 Years | 10 Years |
Class A | -3.78% | 1.63% | 2.42% |
Class C | -2.30% | 1.88% | 2.31% |
Class Y | -0.32% | 2.90% | 3.19% |
Institutional Class | -0.22% | 3.00% | 3.31% |
Bloomberg U.S. Aggregate Bond Index | -0.90% | 2.94% | 3.01% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 3.36% of the NAV (or 3.25% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
Average Annual Total Returns** | |||
Touchstone International ESG Equity Fund | 1 Year | 5 Years | 10 Years |
Class A | 16.62% | 7.72% | 9.48% |
Class C | 20.76% | 8.25% | 9.45% |
Class Y | 23.07% | 9.30% | 10.41% |
Institutional Class* | 23.21% | 9.32% | 10.42% |
MSCI All Country World Ex-USA Index | 23.92% | 8.94% | 7.48% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. The inception date of Institutional Class shares was August 23, 2019. Institutional Class shares’ performance was calculated using the historical performance of Class A shares for the periods prior to August 23, 2019. The returns have been restated for sales loads and fees applicable to Institutional Class shares. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 5.26% of the NAV (or 5.00% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
Average Annual Total Returns** | |||
Touchstone Mid Cap Fund | 1 Year | 5 Years | 10 Years |
Class A | 15.28% | 13.26% | 14.12% |
Class C | 19.46% | 13.75% | 14.12% |
Class Y | 21.64% | 14.89% | 15.09% |
Class Z | 21.33% | 14.60% | 14.79% |
Institutional Class* | 21.80% | 14.99% | 15.17% |
Class R6* | 21.77% | 14.91% | 15.10% |
Russell Midcap® Index | 38.11% | 14.39% | 15.52% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares, Class Z shares, Institutional Class shares and Class R6 shares based on the differences in sales loads and fees paid by shareholders in the different classes. The inception date of Institutional Class shares and Class R6 shares was January 27, 2012 and February 22, 2021, respectively. Institutional Class shares' and Class R6 shares' performance was calculated using the historical performance of Class Y shares for the periods prior to January 27, 2012 and February 22, 2021, respectively. The returns have been restated for sales loads and fees applicable to Institutional Class shares and Class R6 shares. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 5.26% of the NAV (or 5.00% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares, Class Z shares, Institutional Class shares and Class R6 shares are not subject to sales charges. |
Average Annual Total Returns** | |||
Touchstone Mid Cap Value Fund | 1 Year | 5 Years | 10 Years |
Class A | 34.55% | 8.25% | 12.24% |
Class C | 39.57% | 8.74% | 12.23% |
Class Y | 41.97% | 9.81% | 13.19% |
Institutional Class | 42.16% | 9.96% | 13.35% |
Russell Midcap® Value Index | 42.40% | 10.59% | 13.93% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 5.26% of the NAV (or 5.00% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
Average Annual Total Returns** | |||
Touchstone Sands Capital Select Growth Fund | 1 Year | 5 Years | 10 Years |
Class A | 25.66% | 25.33% | 19.92% |
Class C | 30.14% | 25.85% | 19.89% |
Class Y | 32.53% | 27.12% | 20.92% |
Class Z | 32.17% | 26.79% | 20.63% |
Institutional Class* | 32.65% | 26.90% | 20.68% |
Class R6* | 32.65% | 26.90% | 20.68% |
Russell 1000® Growth Index | 27.32% | 22.84% | 19.68% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares, Class Z shares, Institutional Class shares and Class R6 shares based on the differences in sales loads and fees paid by shareholders in the different classes. The inception date of Institutional Class shares and Class R6 shares was September 1, 2020. Institutional Class shares' and Class R6 shares' performance was calculated using the historical performance of Class Z shares for the periods prior to September 1, 2020. The returns have been restated for sales loads and fees applicable to Institutional Class and Class R6 shares. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 5.26% of the NAV (or 5.00% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares, Class Z shares, Institutional Class shares and Class R6 shares are not subject to sales charges. |
Average Annual Total Returns** | |||
Touchstone Small Cap Fund | 1 Year | 5 Years | 10 Years |
Class A | 31.77% | 7.87% | 9.99% |
Class C | 36.62% | 8.38% | 9.98% |
Class Y | 39.02% | 9.44% | 10.95% |
Institutional Class | 39.13% | 9.55% | 11.04% |
Russell 2000® Index | 47.68% | 13.45% | 14.63% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 5.26% of the NAV (or 5.00% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
Average Annual Total Returns** | |||
Touchstone Small Cap Value Fund | 1 Year | 5 Years | 10 Years |
Class A | 50.03% | 8.38% | 10.83% |
Class C | 55.83% | 8.86% | 10.83% |
Class Y | 58.32% | 9.95% | 11.77% |
Institutional Class | 58.59% | 10.13% | 11.96% |
Russell 2000® Value Index | 63.92% | 11.03% | 13.22% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class Y shares and Institutional Class shares based on the differences in sales loads and fees paid by shareholders in the different classes. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 5.26% of the NAV (or 5.00% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class Y shares and Institutional Class shares are not subject to sales charges. |
Average Annual Total Returns** | |||
Touchstone Ultra Short Duration Fixed Income Fund | 1 Year | 5 Years | 10 Years |
Class A* | -1.36% | 1.13% | 1.07% |
Class C* | -0.93% | 1.04% | 0.85% |
Class S* | 0.42% | 1.29% | 1.03% |
Class Y* | 0.92% | 1.80% | 1.52% |
Class Z | 0.68% | 1.55% | 1.29% |
Institutional Class* | 0.98% | 1.85% | 1.56% |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.07% | 1.16% | 0.63% |
ICE BofA 1-Year U.S. Treasury Note Index | 0.17% | 1.46% | 0.89% |
* | The chart above represents performance of Class A shares only, which will vary from the performance of Class C shares, Class S shares, Class Y shares, Institutional Class shares and Class Z shares based on the differences in sales loads and fees paid by shareholders in the different classes. The inception date of Class A shares, Class C shares, Class S shares, Class Y shares and Institutional Class shares was April 12, 2012, April 12, 2012, October 27, 2017, April 12, 2012 and April 12, 2012, respectively. Class A shares', Class C shares', Class S shares', Class Y shares' and Institutional Class shares' performance was calculated using the historical performance of Class Z shares for the periods prior to April 12, 2012, April 12, 2012, October 27, 2017, April 12, 2012 and April 12, 2012, respectively. The returns have been restated for sales loads and fees applicable to Class A, Class C, Class S, Class Y and Institutional Class shares. |
** | The average annual total returns shown above are adjusted for maximum sales loads and fees, if applicable. The maximum offering price per share of Class A shares is equal to the net asset value (“NAV”) per share plus a sales load equal to 2.04% of the NAV (or 2.00% of the offering price). Class C shares are subject to a contingent deferred sales charge (“CDSC”) of 1.00%. The CDSC will be assessed on an amount equal to the lesser of (1) the NAV at the time of purchase of the shares being redeemed or (2) the NAV of such shares being redeemed, if redeemed within a one-year period from the date of purchase. Class S shares, Class Y shares, Class Z shares and Institutional Class shares are not subject to sales charges. |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 48.4% |
AA/Aa | 7.1 |
A/A | 11.5 |
BBB/Baa | 24.4 |
BB/Ba | 2.0 |
B/B | 1.7 |
CCC | 0.3 |
Not Rated | 2.8 |
Cash Equivalents | 1.8 |
Total | 100.0% |
Geographic Allocation(% of Net Assets) | |
Common Stocks | |
Japan | 30.4% |
Hong Kong | 9.3 |
United Kingdom | 8.1 |
Denmark | 5.7 |
France | 4.9 |
Spain | 4.9 |
Israel | 4.3 |
Australia | 4.2 |
Finland | 3.6 |
Germany | 2.7 |
Belgium | 2.6 |
Switzerland | 2.5 |
Luxembourg | 2.5 |
Italy | 2.0 |
China | 1.5 |
Sweden | 1.5 |
United States | 1.5 |
Ireland | 1.5 |
New Zealand | 1.3 |
Norway | 1.3 |
Netherlands | 1.1 |
Jordan | 0.9 |
Portugal | 0.5 |
United Arab Emirates | 0.0 |
Short-Term Investment Funds | 3.2 |
Other Assets/Liabilities (Net) | (2.0) |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
BBB/Baa | 2.3% |
BB/Ba | 39.0 |
B/B | 39.8 |
CCC | 7.9 |
Not Rated | 6.1 |
Cash Equivalents | 4.9 |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Long Positions | |
Corporate Bonds | |
Energy | 7.9% |
Communication Services | 7.4 |
Consumer Staples | 6.9 |
Industrials | 6.6 |
Consumer Discretionary | 5.2 |
Health Care | 4.2 |
Materials | 4.2 |
Financials | 4.0 |
Real Estate | 2.4 |
Information Technology | 2.2 |
Utilities | 1.4 |
Bank Loans | 33.2 |
Asset-Backed Securities | 4.6 |
Common Stocks | |
Energy | 1.5 |
Industrials | 0.5 |
Information Technology | 0.0 |
Exchange-Traded Fund | 0.4 |
Warrants | 0.0 |
Purchased Call Options | 0.0 |
Short-Term Investment Funds | 2.5 |
Other Assets/Liabilities (Net) | 5.2 |
100.3% | |
Short Positions | |
Corporate Bonds | (0.3) |
Written Call Options | (0.0) |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Information Technology | 23.9% |
Financials | 14.0 |
Health Care | 13.5 |
Consumer Discretionary | 10.2 |
Industrials | 10.0 |
Communication Services | 8.6 |
Consumer Staples | 7.0 |
Energy | 4.4 |
Utilities | 2.9 |
Materials | 2.8 |
Real Estate | 2.6 |
Short-Term Investment Fund | 0.6 |
Other Assets/Liabilities (Net) | (0.5) |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
BBB/Baa | 5.9% |
BB/Ba | 57.3 |
B/B | 34.0 |
CCC | 3.5 |
CC | 0.3 |
Not Rated | 0.9 |
Cash Equivalents | (1.9) |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 63.7% |
AA/Aa | 10.8 |
A/A | 13.2 |
BBB/Baa | 8.1 |
BB/Ba | 1.0 |
B/B | 0.3 |
Not Rated | 1.7 |
Cash Equivalents | 1.2 |
Total | 100.0% |
Geographic Allocation(% of Net Assets) | |
Common Stocks | |
Japan | 15.4% |
France | 12.6 |
Germany | 11.5 |
Sweden | 10.2 |
United Kingdom | 8.2 |
South Korea | 6.1 |
Switzerland | 5.6 |
China | 5.3 |
Taiwan | 4.1 |
Denmark | 4.0 |
India | 3.5 |
Singapore | 2.9 |
Canada | 2.6 |
Italy | 2.5 |
Netherlands | 2.2 |
Thailand | 1.5 |
Exchange-Traded Funds | 0.7 |
Short-Term Investment Fund | 1.0 |
Other Assets/Liabilities (Net) | 0.1 |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 23.6% |
Information Technology | 18.7 |
Financials | 13.3 |
Materials | 11.9 |
Consumer Discretionary | 11.8 |
Consumer Staples | 8.4 |
Health Care | 6.4 |
Real Estate | 2.4 |
Short-Term Investment Fund | 3.6 |
Other Assets/Liabilities (Net) | (0.1) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Financials | 17.0% |
Industrials | 13.3 |
Consumer Discretionary | 10.5 |
Consumer Staples | 10.2 |
Health Care | 10.0 |
Utilities | 9.8 |
Real Estate | 8.8 |
Information Technology | 8.2 |
Materials | 6.5 |
Energy | 5.0 |
Short-Term Investment Funds | 1.7 |
Other Assets/Liabilities (Net) | (1.0) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Information Technology | 34.0% |
Communication Services | 32.0 |
Consumer Discretionary | 13.8 |
Health Care | 12.1 |
Industrials | 6.3 |
Short-Term Investment Funds | 2.1 |
Other Assets/Liabilities (Net) | (0.3) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 25.7% |
Consumer Discretionary | 21.7 |
Financials | 14.3 |
Materials | 9.8 |
Information Technology | 8.5 |
Real Estate | 7.8 |
Health Care | 4.3 |
Consumer Staples | 3.5 |
Energy | 1.1 |
Short-Term Investment Fund | 3.3 |
Other Assets/Liabilities (Net) | (0.0) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 22.3% |
Financials | 21.7 |
Consumer Staples | 8.8 |
Consumer Discretionary | 8.2 |
Real Estate | 7.8 |
Information Technology | 7.4 |
Materials | 6.5 |
Utilities | 4.9 |
Health Care | 4.6 |
Energy | 3.2 |
Communication Services | 1.9 |
Exchange-Traded Fund | 1.5 |
Short-Term Investment Funds | 2.2 |
Other Assets/Liabilities (Net) | (1.0) |
Total | 100.0% |
Credit Quality**(% of Fixed Income Securities) | |
AAA/Aaa | 35.9% |
AA/Aa | 9.9 |
A/A | 15.7 |
BBB/Baa | 13.7 |
B/B | 0.0 |
CCC | 0.1 |
Not Rated | 16.3 |
Cash Equivalents | 8.4 |
Total | 100.0% |
Principal Amount | Market Value | |||
Corporate Bonds — 35.9% | ||||
Financials — 9.2% | ||||
$ 1,447,000 | Allstate Corp. (The), 1.450%, 12/15/30 | $ 1,380,659 | ||
793,000 | American Financial Group, Inc., 5.250%, 4/2/30 | 961,885 | ||
1,216,000 | Ares Capital Corp., 3.250%, 7/15/25 | 1,278,453 | ||
200,000 | Banco Nacional de Panama (Panama), 144a, 2.500%, 8/11/30 | 190,722 | ||
1,158,000 | Bank of America Corp., 2.687%, 4/22/32 | 1,180,945 | ||
873,000 | Bank of America Corp., 3.705%, 4/24/28 | 958,922 | ||
1,158,000 | Bank of America Corp., MTN, 4.000%, 1/22/25 | 1,258,161 | ||
1,038,000 | Bank of Montreal (Canada), 3.803%, 12/15/32 | 1,136,665 | ||
1,410,000 | Bank of Nova Scotia (The) (Canada), Ser 2, 3.625%, 10/27/81 | 1,403,020 | ||
709,000 | Berkshire Hathaway Finance Corp., 4.250%, 1/15/49 | 868,096 | ||
767,000 | BNP Paribas SA (France), 144a, 4.625%, 3/13/27 | 861,733 | ||
1,160,000 | Charles Schwab Corp. (The), 1.150%, 5/13/26 | 1,161,558 | ||
1,290,000 | Citigroup, Inc., 0.981%, 5/1/25 | 1,294,002 | ||
770,000 | Citigroup, Inc., 3.200%, 10/21/26 | 829,830 | ||
494,000 | Citigroup, Inc., 4.750%, 5/18/46 | 620,523 | ||
1,187,000 | Cooperatieve Rabobank UA (Netherlands), 144a, 1.106%, 2/24/27 | 1,169,471 | ||
1,555,000 | Corestates Capital III, 144a, (3M LIBOR +0.570%), 0.695%, 2/15/27(A) | 1,516,312 | ||
542,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/35 | 649,205 | ||
1,376,000 | Goldman Sachs Group, Inc. (The), 2.615%, 4/22/32 | 1,390,063 | ||
608,000 | Goldman Sachs Group, Inc. (The), 3.691%, 6/5/28 | 668,906 | ||
833,000 | HSBC Holdings PLC (United Kingdom), 3.900%, 5/25/26 | 917,124 | ||
1,327,000 | Huntington Bancshares, Inc., 2.550%, 2/4/30 | 1,370,623 | ||
1,447,000 | JPMorgan Chase & Co., 2.956%, 5/13/31 | 1,502,904 | ||
1,113,000 | JPMorgan Chase & Co., 3.509%, 1/23/29 | 1,211,382 | ||
1,069,000 | Lloyds Banking Group PLC (United Kingdom), 3.574%, 11/7/28 | 1,162,914 | ||
1,106,000 | Morgan Stanley, 3.950%, 4/23/27 | 1,229,753 | ||
922,000 | Northwestern Mutual Life Insurance Co. (The), 144a, 3.850%, 9/30/47 | 1,049,617 | ||
1,410,000 | NTC Capital I, Ser A, (3M LIBOR +0.520%), 0.646%, 1/15/27(A) | 1,409,825 | ||
1,497,000 | PNC Capital Trust, (3M LIBOR +0.570%), 0.690%, 6/1/28(A) | 1,451,512 | ||
1,348,000 | Toronto-Dominion Bank (The) (Canada), MTN, 1.150%, 6/12/25 | 1,350,504 | ||
2,296,000 | Truist Bank, Ser A, (3M LIBOR +0.670%), 0.790%, 5/15/27(A) | 2,247,996 | ||
35,683,285 | ||||
Energy — 4.1% | ||||
1,050,000 | Aker BP ASA (Norway), 144a, 3.000%, 1/15/25 | 1,104,995 | ||
1,010,000 | Boardwalk Pipelines LP, 4.800%, 5/3/29 | 1,155,353 | ||
712,000 | Canadian Natural Resources Ltd. (Canada), 6.250%, 3/15/38 | 945,315 | ||
832,000 | Cenovus Energy, Inc. (Canada), 5.250%, 6/15/37 | 989,940 | ||
1,370,000 | Cheniere Corpus Christi Holdings LLC, 7.000%, 6/30/24 | 1,549,324 | ||
1,049,000 | Diamondback Energy, Inc., 3.125%, 3/24/31 | 1,088,038 | ||
400,000 | Ecopetrol SA (Colombia), 6.875%, 4/29/30 | 468,200 | ||
1,268,000 | Enable Midstream Partners LP, 4.150%, 9/15/29 | 1,373,141 | ||
350,000 | Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates), 144a, 2.625%, 3/31/36 | 344,566 | ||
500,000 | KazMunayGas National Co. JSC (Kazakhstan), 144a, 4.750%, 4/19/27 | 558,870 | ||
200,000 | KazMunayGas National Co. JSC (Kazakhstan), 144a, 5.750%, 4/19/47 | 239,976 | ||
250,000 | MC Brazil Downstream Trading SARL (Brazil), 144a, 7.250%, 6/30/31 | 251,375 |
Principal Amount | Market Value | |||
Energy — (Continued) | ||||
$ 1,059,000 | NGPL PipeCo LLC, 144a, 7.768%, 12/15/37 | $ 1,515,338 | ||
659,000 | Ovintiv Exploration, Inc., 5.375%, 1/1/26 | 744,839 | ||
200,000 | Pertamina Persero PT (Indonesia), 144a, 6.450%, 5/30/44 | 260,590 | ||
200,000 | Petrobras Global Finance BV (Brazil), 6.850%, 6/5/2115 | 206,700 | ||
200,000 | Petroleos del Peru SA (Peru), 144a, 4.750%, 6/19/32 | 206,000 | ||
200,000 | Petroleos del Peru SA (Peru), 144a, 5.625%, 6/19/47 | 199,782 | ||
100,000 | Petroleos Mexicanos (Mexico), 4.875%, 1/24/22 | 101,080 | ||
250,000 | Petroleos Mexicanos (Mexico), 6.750%, 9/21/47 | 218,041 | ||
204,000 | Petroleos Mexicanos (Mexico), 6.840%, 1/23/30 | 210,202 | ||
181,000 | Petroleos Mexicanos (Mexico), 7.690%, 1/23/50 | 171,190 | ||
943,000 | Phillips 66 Partners LP, 3.150%, 12/15/29 | 984,629 | ||
400,000 | Qatar Petroleum (Qatar), 144a, 3.125%, 7/12/41 | 399,808 | ||
250,000 | SA Global Sukuk Ltd. (Saudi Arabia), 144a, 2.694%, 6/17/31 | 252,152 | ||
200,000 | Saudi Arabian Oil Co. (Saudi Arabia), 144a, 4.250%, 4/16/39 | 224,228 | ||
350,000 | YPF, SA (Argentina), 144a, 6.950%, 7/21/27 | 258,125 | ||
16,021,797 | ||||
Industrials — 3.6% | ||||
200,000 | Aeropuerto Internacional de Tocumen SA (Panama), 144a, 4.000%, 8/11/41 | 205,256 | ||
1,094,000 | Amcor Flexibles North America, Inc., 2.630%, 6/19/30 | 1,115,862 | ||
321,000 | Boeing Co. (The), 5.040%, 5/1/27 | 369,080 | ||
345,000 | Boeing Co. (The), 5.805%, 5/1/50 | 458,239 | ||
899,000 | Burlington Northern Santa Fe LLC, 5.750%, 5/1/40 | 1,257,743 | ||
1,422,000 | CNH Industrial Capital LLC, 1.450%, 7/15/26 | 1,415,160 | ||
1,034,000 | FedEx Corp., 5.100%, 1/15/44 | 1,309,577 | ||
1,123,000 | John Deere Capital Corp., MTN, 2.450%, 1/9/30 | 1,167,771 | ||
923,000 | Norfolk Southern Corp., 4.837%, 10/1/41 | 1,172,817 | ||
1,152,000 | Roper Technologies, Inc., 2.950%, 9/15/29 | 1,220,781 | ||
375,000 | Transnet SOC Ltd. (South Africa), 144a, 4.000%, 7/26/22 | 378,787 | ||
1,352,000 | Waste Management, Inc., 2.500%, 11/15/50 | 1,247,256 | ||
1,588,000 | Weir Group PLC (The) (United Kingdom), 144a, 2.200%, 5/13/26 | 1,603,093 | ||
1,005,000 | Xylem, Inc., 1.950%, 1/30/28 | 1,010,285 | ||
13,931,707 | ||||
Utilities — 3.2% | ||||
200,000 | Alfa Desarrollo SpA (Chile), 144a, 4.550%, 9/27/51 | 195,250 | ||
676,000 | American Water Capital Corp., 6.593%, 10/15/37 | 988,970 | ||
1,303,000 | Cleveland Electric Illuminating Co. (The), 144a, 4.550%, 11/15/30 | 1,517,715 | ||
825,000 | Duke Energy Progress LLC, 4.150%, 12/1/44 | 969,749 | ||
819,000 | Edison International, 4.125%, 3/15/28 | 872,514 | ||
1,068,000 | Electricite de France SA (France), 144a, 4.875%, 9/21/38 | 1,306,143 | ||
200,000 | Eskom Holdings SOC Ltd. (South Africa), 144a, 7.125%, 2/11/25 | 207,963 | ||
203,000 | Genneia SA (Argentina), 144a, 8.750%, 9/2/27 | 194,271 | ||
297,000 | Metropolitan Edison Co., 144a, 4.300%, 1/15/29 | 332,560 | ||
1,409,000 | Pacific Gas and Electric Co., 3.500%, 8/1/50 | 1,275,135 | ||
988,000 | PacifiCorp., 5.750%, 4/1/37 | 1,330,735 | ||
200,000 | Perusahaan Listrik Negara PT (Indonesia), 144a, 4.875%, 7/17/49 | 213,800 | ||
821,000 | Virginia Electric & Power Co., 3.300%, 12/1/49 | 871,238 | ||
2,024,000 | WEC Energy Group, Inc., (3M LIBOR +2.112%), 2.237%, 5/15/67(A) | 1,905,697 | ||
12,181,740 | ||||
Communication Services — 3.0% | ||||
467,000 | Alphabet, Inc., 1.900%, 8/15/40 | 418,335 | ||
1,000,000 | AT&T, Inc., 3.850%, 6/1/60 | 1,031,158 |
Principal Amount | Market Value | |||
Corporate Bonds — 35.9% (Continued) | ||||
Communication Services — (Continued) | ||||
$ 700,000 | AT&T, Inc., 4.500%, 5/15/35 | $ 818,296 | ||
1,340,000 | British Telecommunications PLC (United Kingdom), 144a, 3.250%, 11/8/29 | 1,400,585 | ||
773,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.484%, 10/23/45 | 1,048,996 | ||
899,000 | Comcast Corp., 4.000%, 3/1/48 | 1,027,238 | ||
392,000 | Deutsche Telekom International Finance BV (Germany), 8.750%, 6/15/30 | 580,858 | ||
1,147,000 | Netflix, Inc., 144a, 4.875%, 6/15/30 | 1,350,593 | ||
1,325,000 | T-Mobile USA, Inc., 3.875%, 4/15/30 | 1,465,331 | ||
1,586,000 | Verizon Communications, Inc., 2.987%, 10/30/56 | 1,472,645 | ||
847,000 | ViacomCBS, Inc., 4.950%, 5/19/50† | 1,058,027 | ||
11,672,062 | ||||
Health Care — 2.8% | ||||
927,000 | AbbVie, Inc., 4.450%, 5/14/46 | 1,114,694 | ||
1,038,000 | Alcon Finance Corp. (Switzerland), 144a, 3.800%, 9/23/49 | 1,150,434 | ||
848,000 | Becton Dickinson and Co., 4.685%, 12/15/44 | 1,054,409 | ||
740,000 | Bristol-Myers Squibb Co., 5.000%, 8/15/45 | 992,352 | ||
966,000 | CommonSpirit Health, 4.187%, 10/1/49 | 1,100,566 | ||
440,000 | CommonSpirit Health, 4.200%, 8/1/23 | 466,857 | ||
883,000 | CVS Health Corp., 5.125%, 7/20/45 | 1,135,654 | ||
1,180,000 | DH Europe Finance II Sarl, 3.250%, 11/15/39 | 1,255,946 | ||
1,042,000 | Mylan, Inc., 4.550%, 4/15/28 | 1,188,412 | ||
156,000 | Rede D'or Finance Sarl (Brazil), 144a, 4.500%, 1/22/30 | 155,368 | ||
1,214,000 | UnitedHealth Group, Inc., 3.500%, 8/15/39 | 1,343,075 | ||
10,957,767 | ||||
Consumer Staples — 2.4% | ||||
1,401,000 | 7-Eleven, Inc., 144a, 0.950%, 2/10/26 | 1,375,369 | ||
1,358,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Belgium), 4.900%, 2/1/46 | 1,684,982 | ||
1,179,000 | Imperial Brands Finance PLC (United Kingdom), 144a, 4.250%, 7/21/25 | 1,284,947 | ||
717,000 | Kroger Co. (The), 5.000%, 4/15/42 | 907,807 | ||
1,065,000 | Mars, Inc., 144a, 3.875%, 4/1/39 | 1,231,048 | ||
1,460,000 | Reynolds American, Inc. (United Kingdom), 4.450%, 6/12/25 | 1,610,606 | ||
756,000 | Starbucks Corp., 3.350%, 3/12/50 | 783,370 | ||
400,000 | Ulker Biskuvi Sanayi AS (Turkey), 144a, 6.950%, 10/30/25 | 423,948 | ||
9,302,077 | ||||
Information Technology — 2.3% | ||||
729,000 | Apple, Inc., 4.650%, 2/23/46 | 946,701 | ||
1,181,000 | Fiserv, Inc., 3.500%, 7/1/29 | 1,286,118 | ||
1,216,000 | Hewlett Packard Enterprise Co., 4.650%, 10/1/24 | 1,343,116 | ||
1,351,000 | Microchip Technology, Inc., 144a, 0.983%, 9/1/24 | 1,349,159 | ||
535,000 | Microsoft Corp., 3.500%, 2/12/35 | 615,107 | ||
987,000 | NXP BV / NXP Funding LLC (China), 144a, 5.350%, 3/1/26 | 1,140,944 | ||
200,000 | SK Hynix, Inc. (South Korea), 144a, 2.375%, 1/19/31 | 193,902 | ||
723,000 | Visa, Inc., 4.150%, 12/14/35 | 870,015 | ||
1,248,000 | VMware, Inc., 1.400%, 8/15/26 | 1,241,718 | ||
8,986,780 | ||||
Consumer Discretionary — 2.2% | ||||
615,000 | Ford Motor Credit Co. LLC, 3.664%, 9/8/24 | 635,756 | ||
643,000 | General Motors Financial Co., Inc., 4.350%, 4/9/25 | 705,809 | ||
528,000 | General Motors Financial Co., Inc., 5.650%, 1/17/29 | 634,923 | ||
200,000 | Genm Capital Labuan Ltd. (Malaysia), 144a, 3.882%, 4/19/31 | 197,691 |
Principal Amount | Market Value | |||
Consumer Discretionary — (Continued) | ||||
$ 645,000 | Home Depot, Inc. (The), 5.950%, 4/1/41 | $ 919,854 | ||
1,068,000 | Hyundai Capital America, 144a, 2.650%, 2/10/25 | 1,109,649 | ||
1,274,000 | Lowe's Cos, Inc., 4.500%, 4/15/30 | 1,491,977 | ||
1,842,000 | Procter & Gamble Co. (The), 1.200%, 10/29/30 | 1,750,223 | ||
1,053,000 | Walmart, Inc., 2.850%, 7/8/24 | 1,115,953 | ||
8,561,835 | ||||
Real Estate — 2.0% | ||||
1,119,000 | Crown Castle International Corp. REIT, 3.650%, 9/1/27 | 1,229,687 | ||
954,000 | Equinix, Inc. REIT, 2.900%, 11/18/26 | 1,011,244 | ||
1,281,000 | Healthcare Realty Trust, Inc. REIT, 2.400%, 3/15/30 | 1,284,099 | ||
1,244,000 | Host Hotels & Resorts LP REIT, 4.500%, 2/1/26 | 1,362,030 | ||
525,000 | Mid-America Apartments LP REIT, 3.750%, 6/15/24 | 562,877 | ||
800,000 | Sabra Health Care LP REIT, 5.125%, 8/15/26 | 895,655 | ||
406,000 | STORE Capital Corp. REIT, 4.500%, 3/15/28 | 457,389 | ||
828,000 | STORE Capital Corp. REIT, 4.625%, 3/15/29 | 937,229 | ||
7,740,210 | ||||
Materials — 1.1% | ||||
773,000 | Braskem America Finance Co. (Brazil), 144a, 7.125%, 7/22/41 | 999,103 | ||
200,000 | Braskem Netherlands Finance BV (Brazil), 144a, 4.500%, 1/10/28 | 212,480 | ||
300,000 | Cemex SAB de CV (Mexico), 144a, 3.875%, 7/11/31 | 300,180 | ||
200,000 | Corp. Nacional del Cobre de Chile (Chile), 144a, 4.500%, 9/16/25 | 221,000 | ||
200,000 | Indonesia Asahan Aluminium Persero PT (Indonesia), 6.757%, 11/15/48 | 257,260 | ||
200,000 | Indonesia Asahan Aluminium Persero PT (Indonesia), 144a, 5.450%, 5/15/30 | 230,000 | ||
200,000 | Metinvest BV (Ukraine), 144a, 7.750%, 10/17/29 | 216,500 | ||
200,000 | OCP SA (Morocco), 144a, 5.125%, 6/23/51 | 198,000 | ||
200,000 | OCP SA (Morocco), 144a, 6.875%, 4/25/44 | 242,040 | ||
914,000 | Sherwin-Williams Co. (The), 4.500%, 6/1/47 | 1,105,521 | ||
200,000 | Suzano Austria GmbH (Brazil), 5.000%, 1/15/30 | 221,700 | ||
4,203,784 | ||||
Total Corporate Bonds | $139,243,044 | |||
U.S. Treasury Obligations — 30.6% | ||||
17,745,000 | U.S. Treasury Bond, 1.750%, 8/15/41 | 16,921,521 | ||
3,135,000 | U.S. Treasury Bond, 1.875%, 2/15/41 | 3,059,564 | ||
983,000 | U.S. Treasury Bond, 1.875%, 2/15/51 | 934,772 | ||
2,000,000 | U.S. Treasury Bond, 3.000%, 5/15/42 | 2,333,437 | ||
5,605,000 | U.S. Treasury Note, 0.125%, 4/30/23 | 5,597,337 | ||
27,070,000 | U.S. Treasury Note, 0.250%, 10/31/25 | 26,440,834 | ||
4,900,000 | U.S. Treasury Note, 0.375%, 3/31/22 | 4,907,656 | ||
30,020,000 | U.S. Treasury Note, 0.750%, 5/31/26 | 29,756,152 | ||
5,375,000 | U.S. Treasury Note, 1.125%, 2/28/22 | 5,398,516 | ||
5,500,000 | U.S. Treasury Note, 1.125%, 2/15/31 | 5,322,109 | ||
1,875,000 | U.S. Treasury Note, 1.750%, 5/15/22 | 1,894,775 | ||
5,000,000 | U.S. Treasury Note, 2.000%, 2/15/25 | 5,228,711 | ||
3,000,000 | U.S. Treasury Note, 2.000%, 8/15/25 | 3,140,391 | ||
2,700,000 | U.S. Treasury Note, 2.000%, 11/15/26 | 2,831,520 | ||
2,000,000 | U.S. Treasury Note, 2.125%, 3/31/24 | 2,084,844 | ||
3,000,000 | U.S. Treasury Note, 2.625%, 2/28/23 | 3,103,711 | ||
Total U.S. Treasury Obligations | $118,955,850 | |||
Asset-Backed Securities — 8.9% | ||||
1,100,000 | AB BSL CLO 2 Ltd. (Cayman Islands), Ser 2021-2A, Class B1, 144a, (3M LIBOR +1.650%), 1.780%, 4/15/34(A) | 1,100,659 | ||
2,091,735 | Adams Outdoor Advertising LP, Ser 2018-1, Class A, 144a, 4.810%, 11/15/48 | 2,197,446 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 8.9% (Continued) | ||||
$ 1,400,000 | Aimco CLO 11 Ltd. (Cayman Islands), Ser 2020-11A, Class A2, 144a, (3M LIBOR +1.300%), 1.426%, 10/15/31(A) | $ 1,400,096 | ||
1,375,000 | Benefit Street Partners CLO XIX Ltd. (Cayman Islands), Ser 2019-19A, Class B, 144a, (3M LIBOR +2.000%), 2.126%, 1/15/33(A) | 1,375,830 | ||
825,000 | BSPRT Issuer Ltd. (Cayman Islands), Ser 2018-FL4, Class D, 144a, (1M LIBOR +2.750%), 2.834%, 9/15/35(A) | 822,941 | ||
996,227 | CF Hippolyta LLC, Ser 2020-1, Class A1, 144a, 1.690%, 7/15/60 | 1,009,486 | ||
1,505,000 | CIFC Funding Ltd. (Cayman Islands), Ser 2016-1A, Class A1R, 144a, (3M LIBOR +1.350%), 1.484%, 10/21/31(A) | 1,505,533 | ||
2,023 | CIT Home Equity Loan Trust, Ser 2002-1, Class AF5, 7.210%, 2/25/33(A)(B) | 2,070 | ||
2,872,500 | Coinstar Funding LLC, Ser 2017-1A, Class A2, 144a, 5.216%, 4/25/47 | 2,877,260 | ||
1,275,000 | DRIVEN BRANDS FUNDING LLC, Ser 2021-1A, Class A2, 144a, 2.791%, 10/20/51 | 1,275,000 | ||
127,412 | FHLMC Structured Pass Through Securities, Ser T-20, Class A5, 8.370%, 12/25/29(A)(B) | 151,823 | ||
9,605 | FNMA REMIC Trust, Ser 2001-W2, Class AF6, 6.089%, 10/25/31(A)(B) | 10,244 | ||
849,695 | Hilton Grand Vacations Trust, Ser 2020-AA, Class A, 144a, 2.740%, 2/25/39 | 883,532 | ||
1,637,625 | Jack In The Box Funding LLC, Ser 2019-1A, Class A2I, 144a, 3.982%, 8/25/49 | 1,671,078 | ||
970,000 | Jersey Mike's Funding, Ser 2019-1A, Class A2, 144a, 4.433%, 2/15/50 | 1,029,241 | ||
1,850,000 | Madison Park Funding XVIII Ltd. (Cayman Islands), Ser 2015-18A, Class BR, 144a, (3M LIBOR +1.600%), 1.734%, 10/21/30(A) | 1,850,144 | ||
1,505,000 | Madison Park Funding XXXV Ltd. (Cayman Islands), Ser 2019-35A, Class A2AR, 144a, (3M LIBOR +1.200%), 1.334%, 4/20/32(A) | 1,505,668 | ||
759,244 | Mid-State Capital Corp. Trust, Ser 2005-1, Class M2, 7.079%, 1/15/40 | 825,855 | ||
947,979 | Mill City Mortgage Loan Trust, Ser 2018-3, Class M3, 144a, 3.250%, 8/25/58(A)(B) | 982,230 | ||
1,197,000 | Neighborly Issuer LLC, Ser 2021-1A, Class A2, 144a, 3.584%, 4/30/51 | 1,232,729 | ||
1,400,000 | New Mountain CLO 1 Ltd. (Cayman Islands), Ser CLO-1A, Class A1, 144a, (3M LIBOR +1.550%), 1.676%, 10/15/32(A) | 1,401,718 | ||
1,375,000 | OHA Loan Funding Ltd. (Cayman Islands), Ser 2015-1A, Class B1R2, 144a, (3M LIBOR +1.900%), 2.025%, 11/15/32(A) | 1,375,289 | ||
87,631 | Orange Lake Timeshare Trust, Ser 2016-A, Class A, 144a, 2.610%, 3/8/29 | 88,637 | ||
1,163,500 | TAL Advantage VII LLC, Ser 2020-1A, Class A, 144a, 2.050%, 9/20/45 | 1,171,142 | ||
248,062 | Towd Point Mortgage Trust, Ser 2015-3, Class A2, 144a, 4.000%, 3/25/54(A)(B) | 248,715 | ||
535,396 | Towd Point Mortgage Trust, Ser 2015-4, Class A2, 144a, 3.750%, 4/25/55(A)(B) | 536,910 | ||
650,000 | Towd Point Mortgage Trust, Ser 2017-2, Class M1, 144a, 3.750%, 4/25/57(A)(B) | 684,070 | ||
1,713,291 | Towd Point Mortgage Trust, Ser 2019-1, Class A1, 144a, 3.705%, 3/25/58(A)(B) | 1,804,369 | ||
600,000 | Voya CLO Ltd. (Cayman Islands), Ser 2017-4A, Class A1, 144a, (3M LIBOR +1.130%), 1.256%, 10/15/30(A) | 600,022 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 8.9% (Continued) | ||||
$ 1,505,000 | Voya CLO Ltd. (Cayman Islands), Ser 2019-2A, Class A, 144a, (3M LIBOR +1.270%), 1.404%, 7/20/32(A) | $ 1,505,071 | ||
1,475,000 | Whitebox CLO II Ltd. (Cayman Islands), Ser 2020-2A, Class A1, 144a, (3M LIBOR +1.750%), 1.875%, 10/24/31(A) | 1,475,731 | ||
Total Asset-Backed Securities | $34,600,539 | |||
U.S. Government Mortgage-Backed Obligations — 6.9% | ||||
76,806 | FHLMC, Pool #1Q0339, (12M LIBOR +1.882%), 2.210%, 4/1/37(A) | 81,634 | ||
8,544 | FHLMC, Pool #A12886, 5.000%, 8/1/33 | 9,720 | ||
50,085 | FHLMC, Pool #A13842, 6.000%, 9/1/33 | 56,304 | ||
5,593 | FHLMC, Pool #A21415, 5.000%, 5/1/34 | 6,328 | ||
12,685 | FHLMC, Pool #A35682, 5.000%, 7/1/35 | 14,487 | ||
8,119 | FHLMC, Pool #A36523, 5.000%, 8/1/35 | 9,259 | ||
31,090 | FHLMC, Pool #A46590, 5.000%, 8/1/35 | 34,223 | ||
3,418 | FHLMC, Pool #A64971, 5.500%, 8/1/37 | 3,968 | ||
1,971,180 | FHLMC, Pool #A89148, 4.000%, 10/1/39 | 2,180,730 | ||
56,122 | FHLMC, Pool #A96485, 4.500%, 1/1/41 | 62,716 | ||
343,589 | FHLMC, Pool #A97897, 4.500%, 4/1/41 | 386,396 | ||
15,576 | FHLMC, Pool #C62740, 7.000%, 1/1/32 | 17,495 | ||
12,771 | FHLMC, Pool #C72254, 6.500%, 7/1/32 | 14,353 | ||
29,254 | FHLMC, Pool #C90986, 7.000%, 6/1/26 | 31,291 | ||
10,723 | FHLMC, Pool #G02184, 5.000%, 4/1/36 | 12,237 | ||
1,853,998 | FHLMC, Pool #G05624, 4.500%, 9/1/39 | 2,079,162 | ||
170,259 | FHLMC, Pool #G05733, 5.000%, 11/1/39 | 194,890 | ||
58,632 | FHLMC, Pool #J13584, 3.500%, 11/1/25 | 62,571 | ||
980,594 | FHLMC REMIC, Pool #RA2970, 2.500%, 7/1/50 | 1,014,158 | ||
25,561 | FNMA, Pool #255628, 5.500%, 2/1/25 | 28,522 | ||
7,800 | FNMA, Pool #426830, 8.000%, 11/1/24 | 7,886 | ||
5,719 | FNMA, Pool #540040, 7.500%, 6/1/28 | 5,741 | ||
9,553 | FNMA, Pool #561741, 7.500%, 1/1/31 | 10,836 | ||
17,056 | FNMA, Pool #640291, 7.000%, 8/1/32 | 17,117 | ||
17,738 | FNMA, Pool #670402, 6.500%, 6/1/32 | 20,210 | ||
99,731 | FNMA, Pool #745257, 6.000%, 1/1/36 | 117,778 | ||
56,654 | FNMA, Pool #748895, 6.000%, 12/1/33 | 60,452 | ||
34,531 | FNMA, Pool #758564, 6.000%, 9/1/24 | 38,684 | ||
55,845 | FNMA, Pool #810049, 5.500%, 3/1/35 | 62,738 | ||
65,367 | FNMA, Pool #819297, 6.000%, 9/1/35 | 76,579 | ||
575,813 | FNMA, Pool #881279, 5.000%, 11/1/36 | 656,314 | ||
22,408 | FNMA, Pool #889060, 6.000%, 1/1/38 | 27,076 | ||
55,361 | FNMA, Pool #889061, 6.000%, 1/1/38 | 65,439 | ||
3,738 | FNMA, Pool #895657, 6.500%, 8/1/36 | 4,192 | ||
103,146 | FNMA, Pool #905049, 5.500%, 11/1/36 | 115,491 | ||
397,055 | FNMA, Pool #928553, 5.500%, 8/1/37 | 462,849 | ||
296,397 | FNMA, Pool #931535, 5.500%, 7/1/39 | 317,002 | ||
120,324 | FNMA, Pool #AA3467, 4.500%, 4/1/39 | 134,894 | ||
197,131 | FNMA, Pool #AA4584, 4.500%, 4/1/39 | 221,001 | ||
45,598 | FNMA, Pool #AB1800, 4.000%, 11/1/40 | 50,487 | ||
98,877 | FNMA, Pool #AB2452, 4.000%, 3/1/26 | 105,118 | ||
27,371 | FNMA, Pool #AD3775, 4.500%, 3/1/25 | 28,777 | ||
45,198 | FNMA, Pool #AD6193, 5.000%, 6/1/40 | 51,700 | ||
59,634 | FNMA, Pool #AE1568, 4.000%, 9/1/40 | 65,423 | ||
357,770 | FNMA, Pool #AE2497, 4.500%, 9/1/40 | 402,212 | ||
34,101 | FNMA, Pool #AE5441, 5.000%, 10/1/40 | 38,397 | ||
134,527 | FNMA, Pool #AH1135, 5.000%, 1/1/41 | 152,028 | ||
50,918 | FNMA, Pool #AH3671, 4.000%, 2/1/26 | 54,090 | ||
337,587 | FNMA, Pool #AH6622, 4.000%, 3/1/41 | 380,308 | ||
326,120 | FNMA, Pool #AL0150, 4.000%, 2/1/41 | 361,037 | ||
65,175 | FNMA, Pool #AL0211, 5.000%, 4/1/41 | 74,484 | ||
1,878,458 | FNMA, Pool #AL5718, 3.500%, 9/1/44 | 2,050,290 | ||
388,936 | FNMA, Pool #AS0779, 4.000%, 10/1/43 | 434,331 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 6.9% (Continued) | ||||
$ 27,995 | FNMA, Pool #AS7813, 4.000%, 8/1/46 | $ 30,498 | ||
2,445,454 | FNMA, Pool #BT7156, 2.000%, 8/1/51 | 2,452,256 | ||
1,762,674 | FNMA, Pool #FM4660, 2.000%, 10/1/35 | 1,819,122 | ||
1,913,452 | FNMA, Pool #FM4702, 2.500%, 10/1/50 | 1,983,781 | ||
641,308 | FNMA, Pool #FM4996, 2.000%, 12/1/50 | 645,067 | ||
2,445,520 | FNMA, Pool #FM5085, 2.000%, 12/1/50 | 2,458,612 | ||
1,147,979 | FNMA, Pool #FM8360, 2.500%, 8/1/51 | 1,188,431 | ||
1,197,965 | FNMA, Pool #FM8361, 2.500%, 8/1/51 | 1,235,925 | ||
1,129,710 | FNMA, Pool #MA4128, 2.000%, 9/1/40 | 1,138,397 | ||
852,191 | GNMA, Pool #4424, 5.000%, 4/20/39 | 971,831 | ||
Total U.S. Government Mortgage-Backed Obligations | $26,895,325 | |||
Non-Agency Collateralized Mortgage Obligations — 4.8% | ||||
1,912 | Adjustable Rate Mortgage Trust, Ser 2004-4, Class 3A1, 2.545%, 3/25/35(A)(B) | 1,951 | ||
1,442,976 | Agate Bay Mortgage Trust, Ser 2015-7, Class B1, 144a, 3.698%, 10/25/45(A)(B) | 1,469,212 | ||
2,248,794 | Agate Bay Mortgage Trust, Ser 2015-7, Class B2, 144a, 3.698%, 10/25/45(A)(B) | 2,284,990 | ||
638,357 | CSMC Trust, Ser 2013-7, Class B3, 144a, 3.539%, 8/25/43(A)(B) | 643,731 | ||
814,960 | CSMC Trust, Ser 2014-OAK1, Class B4, 144a, 3.691%, 11/25/44(A)(B) | 820,587 | ||
1,208,153 | CSMC Trust, Ser 2015-1, Class B3, 144a, 3.938%, 1/25/45(A)(B) | 1,220,413 | ||
1,275,904 | CSMC Trust, Ser 2015-2, Class B4, 144a, 3.902%, 2/25/45(A)(B) | 1,284,053 | ||
1,236,377 | CSMC Trust, Ser 2015-WIN1, Class B3, 144a, 3.817%, 12/25/44(A)(B) | 1,243,773 | ||
795,675 | CSMC Trust, Ser 2018-RPL9, Class A, 144a, 3.850%, 9/25/57(A)(B) | 837,460 | ||
92,089 | Galton Funding Mortgage Trust, Ser 2019-1, Class A22, 144a, 4.000%, 2/25/59(A)(B) | 92,993 | ||
525,278 | GS Mortgage-Backed Securities Corp. Trust, Ser 2020-PJ3, Class A14, 144a, 3.000%, 10/25/50(A)(B) | 533,711 | ||
1,028,233 | GS Mortgage-Backed Securities Trust, Ser 2021-PJ6, Class A2, 144a, 2.500%, 11/25/51(A)(B) | 1,039,921 | ||
25,135 | JP Morgan Mortgage Trust, Ser 2005-A1, Class 2A1, 2.161%, 2/25/35(A)(B) | 26,356 | ||
18,800 | JP Morgan Mortgage Trust, Ser 2005-A2, Class 7CB1, 2.696%, 4/25/35(A)(B) | 19,077 | ||
20,628 | JP Morgan Mortgage Trust, Ser 2006-A4, Class 2A2, 2.319%, 6/25/36(A)(B) | 16,973 | ||
964,405 | JP Morgan Mortgage Trust, Ser 2015-IVR2, Class B3, 144a, 2.342%, 1/25/45(A)(B) | 972,010 | ||
1,696,564 | JP Morgan Mortgage Trust, Ser 2017-1, Class B2, 144a, 3.480%, 1/25/47(A)(B) | 1,702,576 | ||
586,945 | JP Morgan Mortgage Trust, Ser 2019-INV1, Class A15, 144a, 4.000%, 10/25/49(A)(B) | 594,899 | ||
1,572,332 | JP Morgan Mortgage Trust, Ser 2021-10, Class A4, 144a, 2.500%, 12/25/51(A)(B) | 1,597,576 | ||
18,625 | MASTR Alternative Loan Trust, Ser 2004-7, Class 10A1, 6.000%, 6/25/34 | 19,782 | ||
146,359 | Residential Asset Securitization Trust, Ser 2006-A1, Class 1A3, 6.000%, 4/25/36 | 98,057 | ||
212,888 | Sequoia Mortgage Trust, Ser 2013-10, Class B2, 144a, 3.545%, 8/25/43(A)(B) | 214,782 | ||
201,348 | Sequoia Mortgage Trust, Ser 2013-5, Class B1, 144a, 3.506%, 5/25/43(A)(B) | 203,609 | ||
44,556 | Sequoia Mortgage Trust, Ser 2017-1, Class A4, 144a, 3.500%, 2/25/47(A)(B) | 44,526 |
Principal Amount | Market Value | |||
Non-Agency Collateralized Mortgage Obligations — 4.8% (Continued) | ||||
$ 962,249 | Sequoia Mortgage Trust, Ser 2017-2, Class A1, 144a, 3.500%, 2/25/47(A)(B) | $ 979,235 | ||
509,248 | Sequoia Mortgage Trust, Ser 2018-CH4, Class A13, 144a, 4.500%, 10/25/48(A)(B) | 514,995 | ||
51,507 | Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-9, Class 2A4, 5.500%, 11/25/35 | 52,803 | ||
Total Non-Agency Collateralized Mortgage Obligations | $18,530,051 | |||
Commercial Mortgage-Backed Securities — 4.7% | ||||
2,500,000 | Austin Fairmont Hotel Trust, Ser 2019-FAIR, Class C, 144a, (1M LIBOR +1.450%), 1.534%, 9/15/32(A) | 2,489,015 | ||
500,000 | BANK, Ser 2018-BN14, Class A3, 3.966%, 9/15/60 | 557,611 | ||
1,000,000 | BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 2.034%, 2/15/29(A) | 1,000,469 | ||
1,365,549 | COMM Mortgage Trust, Ser 2014-CR14, Class A2, 3.147%, 2/10/47 | 1,377,019 | ||
580,000 | DBUBS Mortgage Trust, Ser 2017-BRBK, Class B, 144a, 3.648%, 10/10/34(A)(B) | 611,419 | ||
550,000 | Eleven Madison Trust Mortgage Trust, Ser 2015-11MD, Class C, 144a, 3.673%, 9/10/35(A)(B) | 577,150 | ||
595,000 | GS Mortgage Securities Corp. II, Ser 2017-SLP, Class B, 144a, 3.772%, 10/10/32 | 607,174 | ||
1,750,000 | GS Mortgage Securities Trust, Ser 2017-FARM, Class B, 144a, 3.659%, 1/10/43(A)(B) | 1,879,213 | ||
1,150,000 | HONO Mortgage Trust, Ser 2021-LULU, Class B, 144a, (1M LIBOR +1.450%), 1.550%, 10/15/36 | 1,149,986 | ||
3,000,000 | Hudson Yards Mortgage Trust, Ser 2016-10HY, Class A, 144a, 2.835%, 8/10/38 | 3,169,711 | ||
528,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2016-NINE, Class B, 144a, 2.949%, 9/6/38(A)(B) | 554,044 | ||
1,600,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2016-WIKI, Class D, 144a, 4.143%, 10/5/31(A)(B) | 1,597,896 | ||
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) | 1,204,827 | ||
575,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Class B, 4.443%, 8/15/45(A)(B) | 587,534 | ||
695,000 | WFRBS Commercial Mortgage Trust, Ser 2013-C12, Class B, 3.863%, 3/15/48(A)(B) | 717,822 | ||
Total Commercial Mortgage-Backed Securities | $18,080,890 | |||
Sovereign Government Obligations — 3.9% | ||||
200,000 | Abu Dhabi Government International Bond, 144a, 3.875%, 4/16/50 | 228,338 | ||
200,000 | Angolan Government International Bond, 144a, 8.000%, 11/26/29 | 204,624 | ||
275,000 | Angolan Government International Bond, 144a, 8.250%, 5/9/28 | 284,625 | ||
12,043 | Argentine Republic Government International Bond, 1.000%, 7/9/29 | 4,605 | ||
242,500 | Argentine Republic Government International Bond, 1.125%, 7/9/35(A)(B) | 78,815 | ||
200,000 | Bahrain Government International Bond, 144a, 4.250%, 1/25/28 | 197,000 | ||
200,000 | Banque Centrale de Tunisie International Bond, 8.250%, 9/19/27 | 181,952 | ||
604,000 | Colombia Government International Bond, 5.000%, 6/15/45 | 587,378 | ||
250,000 | Colombia Government International Bond, 6.125%, 1/18/41 | 274,410 |
Principal Amount | Market Value | |||
Sovereign Government Obligations — 3.9% (Continued) | ||||
$ 200,000 | Costa Rica Government International Bond, 144a, 5.625%, 4/30/43 | $ 177,502 | ||
200,000 | Dominican Republic International Bond, 144a, 4.875%, 9/23/32 | 204,002 | ||
200,000 | Dominican Republic International Bond, 144a, 5.875%, 4/18/24 | 211,820 | ||
150,000 | Dominican Republic International Bond, 144a, 5.950%, 1/25/27 | 168,751 | ||
100,000 | Dominican Republic International Bond, 144a, 6.850%, 1/27/45 | 111,501 | ||
26,958 | Ecuador Government International Bond, 144a, 7/31/30# | 14,389 | ||
102,150 | Ecuador Government International Bond, 144a, 0.500%, 7/31/40(A)(B) | 59,376 | ||
347,885 | Ecuador Government International Bond, 144a, 1.000%, 7/31/35(A)(B) | 229,173 | ||
220,050 | Ecuador Government International Bond, 144a, 5.000%, 7/31/30(A)(B) | 184,844 | ||
350,000 | Egypt Government International Bond, 144a, 5.750%, 5/29/24 | 363,610 | ||
200,000 | Egypt Government International Bond, 144a, 5.800%, 9/30/27 | 196,372 | ||
200,000 | Egypt Government International Bond, 144a, 5.875%, 2/16/31 | 183,754 | ||
200,000 | Egypt Government International Bond, 144a, 7.500%, 1/31/27 | 211,272 | ||
200,000 | Egypt Government International Bond, 144a, 7.500%, 2/16/61 | 175,216 | ||
200,000 | Egypt Government International Bond, 144a, 8.150%, 11/20/59 | 184,258 | ||
25,000 | El Salvador Government International Bond, 144a, 5.875%, 1/30/25 | 19,063 | ||
100,000 | El Salvador Government International Bond, 144a, 6.375%, 1/18/27 | 74,251 | ||
100,000 | El Salvador Government International Bond, 144a, 7.650%, 6/15/35 | 72,000 | ||
75,000 | El Salvador Government International Bond, 144a, 8.625%, 2/28/29 | 57,188 | ||
200,000 | Ghana Government International Bond, 144a, 7.625%, 5/16/29 | 189,968 | ||
200,000 | Ghana Government International Bond, 144a, 8.950%, 3/26/51 | 182,250 | ||
200,000 | Government of Sharjah Finance Department, 144a, 4.000%, 7/28/50 | 177,880 | ||
200,000 | Guatemala Government Bond, 144a, 6.125%, 6/1/50 | 230,512 | ||
300,000 | Hungary Government International Bond, 144a, 3.125%, 9/21/51 | 295,407 | ||
200,000 | Israel Government International Bond, 4.500%, 4/3/2120 | 251,050 | ||
200,000 | Ivory Coast Government International Bond, 144a, 6.375%, 3/3/28 | 219,500 | ||
150,000 | Jamaica Government International Bond, 8.000%, 3/15/39 | 208,126 | ||
200,000 | Kenya Government International Bond, 144a, 7.250%, 2/28/28 | 219,468 | ||
200,000 | Lebanese Republic Government International Bond, MTN, 6.650%, 2/26/30 | 32,978 | ||
656,000 | Mexico Government International Bond, 3.771%, 5/24/61 | 581,892 | ||
200,000 | Mexico Government International Bond, 4.125%, 1/21/26 | 223,496 | ||
200,000 | Mexico Government International Bond, 4.750%, 4/27/32 | 224,840 |
Principal Amount | Market Value | |||
Sovereign Government Obligations — 3.9% (Continued) | ||||
$ 300,000 | Mexico Government International Bond, 5.000%, 4/27/51 | $ 328,737 | ||
200,000 | Mongolia Government International Bond, 144a, 4.450%, 7/7/31 | 193,691 | ||
200,000 | Mongolia Government International Bond, 144a, 5.625%, 5/1/23 | 209,909 | ||
200,000 | Nigeria Government International Bond, 5.625%, 6/27/22 | 204,514 | ||
200,000 | Nigeria Government International Bond, 144a, 6.125%, 9/28/28 | 200,552 | ||
200,000 | Nigeria Government International Bond, 144a, 7.875%, 2/16/32 | 207,758 | ||
250,000 | Oman Government International Bond, 144a, 4.125%, 1/17/23 | 255,000 | ||
200,000 | Oman Government International Bond, 144a, 5.375%, 3/8/27 | 208,500 | ||
200,000 | Oman Sovereign Sukuk Co., 144a, 4.875%, 6/15/30 | 210,382 | ||
200,000 | Pakistan Government International Bond, 144a, 6.000%, 4/8/26 | 198,750 | ||
300,000 | Pakistan Government International Bond, 144a, 7.875%, 3/31/36 | 293,823 | ||
216,000 | Paraguay Government International Bond, 144a, 2.739%, 1/29/33 | 207,146 | ||
200,000 | Paraguay Government International Bond, 144a, 5.600%, 3/13/48 | 231,502 | ||
300,000 | Perusahaan Penerbit SBSN Indonesia III, 144a, 4.350%, 9/10/24 | 328,476 | ||
1,633,000 | Peruvian Government International Bond, 2.780%, 12/1/60 | 1,376,194 | ||
300,000 | Province of Santa Fe (Argentina), 144a, 7.000%, 3/23/23 | 277,503 | ||
200,000 | Republic of Belarus International Bond, 144a, 6.875%, 2/28/23 | 202,956 | ||
300,000 | Republic of South Africa Government International Bond, 4.850%, 9/27/27 | 314,235 | ||
200,000 | Republic of South Africa Government International Bond, 5.750%, 9/30/49 | 190,500 | ||
375,000 | Sri Lanka Government International Bond, 144a, 6.125%, 6/3/25 | 234,049 | ||
200,000 | Sri Lanka Government International Bond, 144a, 7.550%, 3/28/30 | 121,116 | ||
350,000 | Turkey Government International Bond, 4.875%, 4/16/43 | 271,915 | ||
400,000 | Turkey Government International Bond, 5.750%, 5/11/47 | 331,360 | ||
200,000 | Ukraine Government International Bond, 7.750%, 9/1/26 | 216,868 | ||
400,000 | Ukraine Government International Bond, 144a, 7.375%, 9/25/32 | 409,504 | ||
Total Sovereign Government Obligations | $15,202,396 | |||
Agency Collateralized Mortgage Obligations — 2.1% | ||||
2,924,376 | FHLMC REMIC, Ser 3331, Class PE, 6.000%, 6/15/37 | 3,415,905 | ||
770,321 | FHLMC REMIC, Ser 3859, Class JB, 5.000%, 5/15/41 | 862,393 | ||
160,824 | FNMA REMIC, Ser 2003-32, Class BZ, 6.000%, 11/25/32 | 185,570 | ||
102,974 | FNMA REMIC, Ser 2012-47, Class AI, 3.000%, 5/25/22(C) | 537 | ||
19,479 | FNMA REMIC, Ser 2015-51, Class KC, 3.000%, 6/25/45 | 19,798 | ||
502,584 | FNMA REMIC, Ser 2017-90, Class KA, 3.000%, 11/25/47 | 531,577 | ||
59,760 | FNMA Trust, Ser 2004-W15, Class 2AF, (1M LIBOR +0.250%), 0.336%, 8/25/44(A) | 59,449 |
Principal Amount | Market Value | |||
Agency Collateralized Mortgage Obligations — 2.1% (Continued) | ||||
$ 1,189,000 | FREMF Mortgage Trust, Ser 2012-K23, Class C, 144a, 3.782%, 10/25/45(A)(B) | $ 1,216,114 | ||
1,160,830 | GNMA, Ser 2010-169, Class AW, 4.500%, 12/20/40 | 1,274,686 | ||
5,080,035 | GNMA, Ser 2012-147, Class IO, 0.566%, 4/16/54(A)(B)(C) | 91,183 | ||
2,127,644 | GNMA, Ser 2016-113, Class IO, 1.090%, 2/16/58(A)(B)(C) | 130,253 | ||
10,575,428 | GNMA, Ser 2016-140, Class IO, 0.772%, 5/16/58(A)(B)(C) | 489,898 | ||
Total Agency Collateralized Mortgage Obligations | $8,277,363 |
Shares | ||||
Short-Term Investment Funds — 1.4% | ||||
4,377,169 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 4,377,169 | ||
1,088,958 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 1,088,958 | ||
Total Short-Term Investment Funds | $5,466,127 | |||
Total Investment Securities—99.2% (Cost $376,249,136) | $385,251,585 | |||
Other Assets in Excess of Liabilities — 0.8% | 3,280,394 | |||
Net Assets — 100.0% | $388,531,979 |
(A) | Variable rate security - Rate reflected is the rate in effect as of September 30, 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 September 30, 2021 was $1,046,360. |
# | 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 September 30, 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 September 30, 2021, these securities were valued at $109,022,586 or 28.1% 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 | $— | $139,243,044 | $— | $139,243,044 |
U.S. Treasury Obligations | — | 118,955,850 | — | 118,955,850 |
Asset-Backed Securities | — | 34,600,539 | — | 34,600,539 |
U.S. Government Mortgage-Backed Obligations | — | 26,895,325 | — | 26,895,325 |
Non-Agency Collateralized Mortgage Obligations | — | 18,530,051 | — | 18,530,051 |
Commercial Mortgage-Backed Securities | — | 18,080,890 | — | 18,080,890 |
Sovereign Government Obligations | — | 15,202,396 | — | 15,202,396 |
Agency Collateralized Mortgage Obligations | — | 8,277,363 | — | 8,277,363 |
Short-Term Investment Funds | 5,466,127 | — | — | 5,466,127 |
Total | $5,466,127 | $379,785,458 | $— | $385,251,585 |
Shares | Market Value | |||
Common Stocks — 98.8% | ||||
Japan — 30.4% | ||||
Communication Services — 4.7% | ||||
6,400 | Capcom Co. Ltd. | $ 177,831 | ||
24,400 | CyberAgent, Inc. | 470,737 | ||
24,600 | Nexon Co. Ltd. | 394,844 | ||
9,100 | Nippon Telegraph & Telephone Corp. | 252,153 | ||
5,600 | Square Enix Holdings Co. Ltd. | 299,296 | ||
41,200 | Z Holdings Corp. | 263,683 | ||
Consumer Discretionary — 6.4% | ||||
17,600 | K's Holdings Corp. | 181,847 | ||
20,800 | Pan Pacific International Holdings Corp. | 429,174 | ||
6,700 | Shimamura Co. Ltd. | 626,252 | ||
2,000 | Shimano, Inc. | 584,374 | ||
16,300 | Skylark Holdings Co. Ltd.* | 239,340 | ||
12,500 | ZOZO, Inc. | 468,313 | ||
Consumer Staples — 7.7% | ||||
6,400 | Kobayashi Pharmaceutical Co. Ltd. | 507,410 | ||
36,000 | Lion Corp. | 582,273 | ||
10,900 | Pigeon Corp. | 253,401 | ||
11,000 | Sundrug Co. Ltd. | 335,544 | ||
1,500 | Tsuruha Holdings, Inc. | 184,983 | ||
15,300 | Welcia Holdings Co. Ltd. | 551,453 | ||
35,000 | Yamazaki Baking Co. Ltd. | 611,977 | ||
Energy — 0.5% | ||||
3,700 | Iwatani Corp. | 216,274 | ||
Health Care — 1.1% | ||||
6,300 | Chugai Pharmaceutical Co. Ltd. | 230,541 | ||
2,500 | Eisai Co. Ltd. | 187,269 | ||
Industrials — 5.6% | ||||
18,900 | ANA Holdings, Inc.* | 491,352 | ||
700 | BayCurrent Consulting, Inc. | 350,504 | ||
3,700 | Japan Airlines Co. Ltd.* | 88,085 | ||
20,800 | MonotaRO Co. Ltd. | 466,131 | ||
15,700 | SG Holdings Co. Ltd. | 444,169 | ||
7,300 | West Japan Railway Co. | 366,950 | ||
Information Technology — 0.2% | ||||
1,500 | NET One Systems Co. Ltd. | 49,224 | ||
200 | SHIFT, Inc.* | 42,555 | ||
Real Estate — 2.6% | ||||
277 | GLP J-Reit | 455,963 | ||
170 | Nippon Prologis REIT, Inc. | 568,983 | ||
Utilities — 1.6% | ||||
12,500 | Toho Gas Co. Ltd. | 543,674 | ||
25,200 | Tokyo Electric Power Co. Holdings, Inc.* | 71,752 | ||
Total Japan | 11,988,311 | |||
Hong Kong — 9.3% | ||||
Communication Services — 1.5% | ||||
1,182,844 | PCCW Ltd. | 606,987 | ||
Consumer Discretionary — 0.8% | ||||
29,968 | Melco Resorts & Entertainment Ltd. ADR* | 306,872 | ||
Consumer Staples — 1.3% | ||||
202,000 | Vitasoy International Holdings Ltd.† | 513,780 | ||
Financials — 1.5% | ||||
11,000 | Hang Seng Bank Ltd. | 188,417 | ||
6,800 | Hong Kong Exchanges & Clearing Ltd. | 417,864 |
Shares | Market Value | |||
Hong Kong — (Continued) | ||||
Industrials — 1.8% | ||||
11,300 | Jardine Matheson Holdings Ltd. | $ 597,298 | ||
30,000 | Xinyi Glass Holdings, Ltd. | 89,492 | ||
Information Technology — 0.9% | ||||
33,900 | ASM Pacific Technology Ltd. | 370,063 | ||
Real Estate — 1.5% | ||||
67,100 | Link REIT | 574,601 | ||
Total Hong Kong | 3,665,374 | |||
United Kingdom — 8.1% | ||||
Communication Services — 0.9% | ||||
37,891 | Pearson PLC | 363,383 | ||
Consumer Discretionary — 0.7% | ||||
1,987 | Games Workshop Group PLC | 274,957 | ||
Consumer Staples — 2.4% | ||||
138,600 | J Sainsbury PLC | 531,224 | ||
19,174 | Ocado Group PLC* | 428,497 | ||
Financials — 1.1% | ||||
34,613 | Hiscox Ltd. | 391,569 | ||
4,685 | IG Group Holdings PLC | 50,785 | ||
Health Care — 1.3% | ||||
181,755 | ConvaTec Group PLC, 144a | 528,977 | ||
Industrials — 1.3% | ||||
84,946 | International Consolidated Airlines Group SA* | 202,810 | ||
52,167 | Royal Mail PLC | 296,061 | ||
Information Technology — 0.4% | ||||
1,017 | Endava PLC ADR* | 138,159 | ||
Total United Kingdom | 3,206,422 | |||
Denmark — 5.7% | ||||
Health Care — 3.3% | ||||
9,987 | Ambu A/S - Class B | 295,332 | ||
2,920 | Ascendis Pharma A/S ADR* | 465,419 | ||
3,515 | Coloplast A/S - Class B | 549,614 | ||
Industrials — 0.6% | ||||
11,522 | ISS A/S* | 243,539 | ||
Materials — 1.8% | ||||
6,513 | Chr Hansen Holding A/S | 531,997 | ||
2,671 | Novozymes A/S - Class B | 183,059 | ||
Total Denmark | 2,268,960 | |||
France — 4.9% | ||||
Communication Services — 0.3% | ||||
1,449 | Publicis Groupe SA | 97,341 | ||
Consumer Discretionary — 0.1% | ||||
386 | SEB SA | 54,304 | ||
Consumer Staples — 1.4% | ||||
31,530 | Carrefour SA | 565,063 | ||
Health Care — 1.3% | ||||
4,391 | BioMerieux | 501,307 | ||
Real Estate — 1.8% | ||||
4,629 | Covivio REIT | 389,008 | ||
14,474 | Klepierre SA REIT | 323,689 | ||
Total France | 1,930,712 |
Shares | Market Value | |||
Common Stocks — 98.8% (Continued) | ||||
Spain — 4.9% | ||||
Communication Services — 0.4% | ||||
2,302 | Cellnex Telecom SA, 144a | $ 142,126 | ||
Consumer Staples — 1.2% | ||||
7,370 | Viscofan SA | 482,769 | ||
Financials — 3.3% | ||||
410,214 | Banco de Sabadell SA* | 342,929 | ||
86,018 | Bankinter SA† | 503,303 | ||
145,174 | CaixaBank SA | 450,189 | ||
Total Spain | 1,921,316 | |||
Israel — 4.3% | ||||
Financials — 2.3% | ||||
35,072 | Bank Hapoalim BM | 308,059 | ||
71,490 | Bank Leumi Le-Israel BM | 605,738 | ||
Health Care — 1.1% | ||||
43,960 | Teva Pharmaceutical Industries Ltd.* | 431,193 | ||
Information Technology — 0.9% | ||||
1,316 | Nice Ltd.* | 372,641 | ||
Total Israel | 1,717,631 | |||
Australia — 4.2% | ||||
Consumer Discretionary — 2.2% | ||||
4,401 | Domino's Pizza Enterprises Ltd. | 503,379 | ||
14,873 | IDP Education Ltd. | 360,121 | ||
Consumer Staples — 1.2% | ||||
53,194 | Treasury Wine Estates Ltd. | 469,064 | ||
Information Technology — 0.4% | ||||
4,176 | WiseTech Global Ltd. | 158,367 | ||
Materials — 0.4% | ||||
70,869 | Evolution Mining Ltd. | 179,194 | ||
Total Australia | 1,670,125 | |||
Finland — 3.6% | ||||
Communication Services — 1.5% | ||||
9,659 | Elisa Oyj | 600,151 | ||
Consumer Discretionary — 0.7% | ||||
7,084 | Nokian Renkaat Oyj | 253,136 | ||
Health Care — 1.4% | ||||
14,025 | Orion Oyj - Class B | 556,421 | ||
Total Finland | 1,409,708 | |||
Germany — 2.7% | ||||
Consumer Discretionary — 0.7% | ||||
66,640 | TUI AG* | 287,966 | ||
Consumer Staples — 0.8% | ||||
3,458 | HelloFresh SE* | 320,286 | ||
Industrials — 1.2% | ||||
4,242 | Knorr-Bremse AG | 453,858 | ||
Total Germany | 1,062,110 | |||
Belgium — 2.6% | ||||
Consumer Staples — 1.4% | ||||
11,124 | Etablissements Franz Colruyt NV | 566,961 | ||
Materials — 1.2% | ||||
8,100 | Umicore SA | 479,193 | ||
Total Belgium | 1,046,154 |
Shares | Market Value | |||
Switzerland — 2.5% | ||||
Consumer Staples — 1.9% | ||||
38 | Chocoladefabriken Lindt & Spruengli AG | $ 424,873 | ||
821 | Zur Rose Group AG* | 329,475 | ||
Real Estate — 0.6% | ||||
1,981 | PSP Swiss Property AG | 238,677 | ||
Total Switzerland | 993,025 | |||
Luxembourg — 2.5% | ||||
Communication Services — 1.2% | ||||
52,018 | SES SA | 465,772 | ||
Health Care — 1.3% | ||||
4,092 | Eurofins Scientific SE | 525,378 | ||
Total Luxembourg | 991,150 | |||
Italy — 2.0% | ||||
Communication Services — 0.8% | ||||
843,349 | Telecom Italia SpA/Milano | 329,759 | ||
Health Care — 1.2% | ||||
2,203 | DiaSorin SpA | 462,777 | ||
Total Italy | 792,536 | |||
China — 1.5% | ||||
Communication Services — 0.1% | ||||
1,171 | JOYY, Inc. ADR | 64,206 | ||
Consumer Discretionary — 0.4% | ||||
79,800 | Chow Tai Fook Jewellery Group Ltd. | 151,763 | ||
Consumer Staples — 0.7% | ||||
109,100 | Budweiser Brewing Co. APAC Ltd., 144a | 277,119 | ||
Industrials — 0.3% | ||||
32,000 | SITC International Holdings Co., Ltd. | 113,868 | ||
Total China | 606,956 | |||
Sweden — 1.5% | ||||
Consumer Staples — 1.5% | ||||
12,641 | ICA Gruppen AB | 580,616 | ||
United States — 1.5% | ||||
Health Care — 1.5% | ||||
11,093 | QIAGEN NV* | 575,533 | ||
Ireland — 1.5% | ||||
Consumer Staples — 1.5% | ||||
4,273 | Kerry Group PLC - Class A | 574,157 | ||
New Zealand — 1.3% | ||||
Health Care — 1.3% | ||||
23,203 | Fisher & Paykel Healthcare Corp. Ltd. | 512,582 | ||
Norway — 1.3% | ||||
Consumer Staples — 1.3% | ||||
19,945 | Mowi ASA | 506,739 | ||
Netherlands — 1.1% | ||||
Consumer Staples — 1.1% | ||||
13,076 | Koninklijke Ahold Delhaize NV | 435,237 | ||
Jordan — 0.9% | ||||
Health Care — 0.9% | ||||
10,810 | Hikma Pharmaceuticals PLC | 355,606 | ||
Portugal — 0.5% | ||||
Consumer Staples — 0.5% | ||||
10,536 | Jeronimo Martins SGPS SA | 210,037 |
Shares | Market Value | |||
Common Stocks — 98.8% (Continued) | ||||
United Arab Emirates — 0.0% | ||||
Health Care — 0.0% | ||||
15,156 | NMC Health PLC(A)* | $ 0 | ||
Total Common Stocks | $39,020,997 | |||
Short-Term Investment Funds — 3.2% | ||||
383,681 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 383,681 | ||
863,950 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 863,950 | ||
Total Short-Term Investment Funds | $1,247,631 | |||
Total Investment Securities — 102.0% (Cost $37,155,450) | $40,268,628 | |||
Liabilities in Excess of Other Assets — (2.0)% | (770,808) | |||
Net Assets — 100.0% | $39,497,820 |
(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. |
** | 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 September 30, 2021 was $818,742. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 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 September 30, 2021, these securities were valued at $948,222 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 | $1,636,923 | $10,351,388 | $— | $11,988,311 |
Hong Kong | 820,652 | 2,844,722 | — | 3,665,374 |
United Kingdom | 1,680,508 | 1,525,914 | — | 3,206,422 |
Denmark | 1,475,807 | 793,153 | — | 2,268,960 |
France | 501,307 | 1,429,405 | — | 1,930,712 |
Spain | 624,895 | 1,296,421 | — | 1,921,316 |
Israel | — | 1,717,631 | — | 1,717,631 |
Australia | — | 1,670,125 | — | 1,670,125 |
Finland | 1,156,572 | 253,136 | — | 1,409,708 |
Germany | 320,286 | 741,824 | — | 1,062,110 |
Belgium | 566,961 | 479,193 | — | 1,046,154 |
Switzerland | 754,348 | 238,677 | — | 993,025 |
Luxembourg | 991,150 | — | — | 991,150 |
Italy | 462,777 | 329,759 | — | 792,536 |
China | 64,206 | 542,750 | — | 606,956 |
Sweden | 580,616 | — | — | 580,616 |
United States | 575,533 | — | — | 575,533 |
Ireland | 574,157 | — | — | 574,157 |
New Zealand | 512,582 | — | — | 512,582 |
Norway | 506,739 | — | — | 506,739 |
Netherlands | 435,237 | — | — | 435,237 |
Jordan | — | 355,606 | — | 355,606 |
Portugal | 210,037 | — | — | 210,037 |
United Arab Emirates | — | — | 0 | 0 |
Short-Term Investment Funds | 1,247,631 | — | — | 1,247,631 |
Total | $15,698,924 | $24,569,704 | $0 | $40,268,628 |
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, September 30, 2021 | $— |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at September 30, 2021 | $(1,975) |
Principal Amount | Market Value | |||
Corporate Bonds — 52.4% | ||||
Energy — 7.9% | ||||
$ 621,000 | Antero Resources Corp., 144a, 7.625%, 2/1/29 | $ 694,278 | ||
1,887,000 | Apache Corp., 5.100%, 9/1/40 | 2,113,402 | ||
626,000 | Archrock Partners LP / Archrock Partners Finance Corp., 144a, 6.250%, 4/1/28 | 646,345 | ||
105,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 5.875%, 6/30/29 | 107,100 | ||
190,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 7.000%, 11/1/26 | 196,409 | ||
131,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 8.250%, 12/31/28 | 142,790 | ||
1,171,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 9.000%, 11/1/27 | 1,604,270 | ||
829,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 7.625%, 12/15/25 | 896,356 | ||
267,000 | Cheniere Energy Partners LP, 144a, 3.250%, 1/31/32 | 267,881 | ||
239,000 | Cheniere Energy Partners LP, 144a, 4.000%, 3/1/31 | 250,281 | ||
470,000 | Cheniere Energy Partners LP, 4.500%, 10/1/29 | 502,858 | ||
1,663,000 | Citgo Holding, Inc., 144a, 9.250%, 8/1/24 | 1,675,473 | ||
63,000 | CITGO Petroleum Corp., 144a, 6.375%, 6/15/26 | 64,260 | ||
446,000 | CrownRock LP / CrownRock Finance, Inc., 144a, 5.625%, 10/15/25 | 456,459 | ||
489,000 | Enviva Partners LP / Enviva Partners Finance Corp., 144a, 6.500%, 1/15/26 | 505,809 | ||
555,000 | EQM Midstream Partners LP, 6.500%, 7/15/48 | 635,475 | ||
777,000 | Exterran Energy Solutions LP / EES Finance Corp., 8.125%, 5/1/25(A) | 742,035 | ||
1,074,000 | Great Western Petroleum LLC / Great Western Finance Corp., 144a, 12.000%, 9/1/25 | 1,090,416 | ||
1,840,000 | ITT Holdings LLC, 144a, 6.500%, 8/1/29 | 1,856,100 | ||
1,632,000 | New Fortress Energy, Inc., 144a, 6.500%, 9/30/26 | 1,560,600 | ||
65,000 | NGL Energy Operating LLC / NGL Energy Finance Corp., 144a, 7.500%, 2/1/26 | 66,219 | ||
362,000 | NGL Energy Partners LP / NGL Energy Finance Corp., 6.125%, 3/1/25† | 319,534 | ||
674,000 | NGL Energy Partners LP / NGL Energy Finance Corp., 7.500%, 11/1/23 | 655,013 | ||
238,000 | Occidental Petroleum Corp., 3.200%, 8/15/26 | 242,984 | ||
58,000 | Occidental Petroleum Corp., 3.400%, 4/15/26 | 59,827 | ||
85,000 | Occidental Petroleum Corp., 8.000%, 7/15/25 | 101,490 | ||
297,426 | Rockcliff Energy II LLC, 144a, 5.500%, 10/15/29 | 301,887 | ||
255,000 | Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 5.500%, 8/15/22 | 253,383 | ||
536,000 | Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 5.750%, 4/15/25 | 487,760 | ||
924,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 12/31/30 | 948,089 | ||
645,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 9/1/31 | 648,225 | ||
1,550,000 | Western Midstream Operating LP, 6.500%, 2/1/50 | 1,824,001 | ||
21,917,009 | ||||
Communication Services — 7.4% | ||||
2,558,000 | Altice Financing SA (Luxembourg), 144a, 5.000%, 1/15/28 | 2,438,375 | ||
298,000 | Altice France SA (France), 144a, 7.375%, 5/1/26 | 309,238 | ||
396,000 | ANGI Group LLC, 144a, 3.875%, 8/15/28 | 394,020 | ||
351,000 | Avaya, Inc., 144a, 6.125%, 9/15/28 | 369,066 | ||
72,000 | Belo Corp., 7.250%, 9/15/27 | 83,700 | ||
500,000 | Belo Corp., 7.750%, 6/1/27 | 583,750 | ||
175,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 177,625 | ||
634,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.500%, 8/15/30 | 654,110 |
Principal Amount | Market Value | |||
Communication Services — (Continued) | ||||
$ 460,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 5.125%, 5/1/27 | $ 479,003 | ||
310,000 | CommScope, Inc., 144a, 6.000%, 3/1/26(A) | 323,122 | ||
87,000 | Consolidated Communications, Inc., 144a, 5.000%, 10/1/28 | 89,828 | ||
293,000 | Consolidated Communications, Inc., 144a, 6.500%, 10/1/28 | 318,271 | ||
300,000 | CSC Holdings LLC, 144a, 3.375%, 2/15/31 | 279,000 | ||
225,000 | CSC Holdings LLC, 144a, 4.500%, 11/15/31 | 222,188 | ||
430,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 407,425 | ||
890,000 | CSC Holdings LLC, 144a, 5.750%, 1/15/30 | 903,190 | ||
312,000 | Cumulus Media New Holdings, Inc., 144a, 6.750%, 7/1/26 | 322,920 | ||
575,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 144a, 5.375%, 8/15/26 | 379,500 | ||
133,000 | Digicel Group Ltd. (Jamaica), 144a, 8.250%, 9/30/22(B) | 1 | ||
250,000 | DKT Finance ApS (Denmark), 7.000%, 6/17/23 | 294,872 | ||
1,571,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., 144a, 3.500%, 3/1/29 | 1,557,254 | ||
400,000 | Houghton Mifflin Harcourt Publishers, Inc., 144a, 9.000%, 2/15/25 | �� 425,420 | ||
214,000 | Lumen Technologies, Inc., 144a, 4.000%, 2/15/27 | 218,665 | ||
565,000 | Lumen Technologies, Inc., 144a, 5.125%, 12/15/26 | 586,188 | ||
128,000 | Netflix, Inc., 4.875%, 4/15/28 | 147,520 | ||
116,000 | Netflix, Inc., 144a, 4.875%, 6/15/30 | 136,590 | ||
105,000 | Nexstar Broadcasting, Inc., 144a, 5.625%, 7/15/27 | 111,200 | ||
853,000 | Scripps Escrow II, Inc., 144a, 3.875%, 1/15/29 | 855,977 | ||
197,000 | Sirius XM Radio, Inc., 144a, 4.000%, 7/15/28 | 200,324 | ||
934,000 | Sirius XM Radio, Inc., 144a, 4.125%, 7/1/30 | 938,331 | ||
20,000 | Sirius XM Radio, Inc., 144a, 5.000%, 8/1/27 | 20,900 | ||
240,000 | Sirius XM Radio, Inc., 144a, 5.500%, 7/1/29 | 259,500 | ||
491,000 | TEGNA, Inc., 4.625%, 3/15/28 | 501,974 | ||
1,000,000 | Telenet Finance Luxembourg Notes Sarl (Belgium), 144a, 5.500%, 3/1/28 | 1,050,500 | ||
909,000 | Telesat Canada / Telesat LLC (Canada), 144a, 5.625%, 12/6/26 | 872,640 | ||
1,345,000 | Telesat Canada / Telesat LLC (Canada), 144a, 6.500%, 10/15/27 | 1,165,725 | ||
366,000 | ViaSat, Inc., 144a, 5.625%, 9/15/25 | 370,916 | ||
420,000 | ViaSat, Inc., 144a, 6.500%, 7/15/28 | 442,352 | ||
132,000 | Virgin Media Finance PLC (United Kingdom), 144a, 5.000%, 7/15/30 | 134,820 | ||
131,000 | Virgin Media Secured Finance PLC (United Kingdom), 144a, 4.500%, 8/15/30 | 133,129 | ||
910,000 | Virgin Media Vendor Financing Notes IV DAC (Ireland), 144a, 5.000%, 7/15/28 | 939,893 | ||
400,000 | Vmed O2 UK Financing I PLC (United Kingdom), 144a, 4.250%, 1/31/31 | 399,000 | ||
20,498,022 | ||||
Consumer Staples — 6.9% | ||||
275,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.000%, 10/15/30 | 272,250 | ||
271,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.375%, 1/15/28 | 275,122 | ||
1,500,000 | American Builders & Contractors Supply Co., Inc., 144a, 4.000%, 1/15/28 | 1,531,875 | ||
405,000 | Bath & Body Works, Inc., 144a, 6.625%, 10/1/30 | 459,675 | ||
550,000 | BCPE Ulysses Intermediate, Inc., 144a, 7.750%, 4/1/27(C) | 545,875 | ||
357,000 | Bellis Acquisition Co. PLC (United Kingdom), 3.250%, 2/16/26 | 472,464 | ||
470,000 | Chobani LLC / Chobani Finance Corp., Inc., 144a, 4.625%, 11/15/28 | 485,275 |
Principal Amount | Market Value | |||
Corporate Bonds — 52.4% (Continued) | ||||
Consumer Staples — (Continued) | ||||
$ 226,000 | Chobani LLC / Chobani Finance Corp., Inc., 144a, 7.500%, 4/15/25 | $ 235,153 | ||
200,000 | Chrome Holdco SASU (France), 5.000%, 5/31/29 | 237,462 | ||
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 | 401,355 | ||
663,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 5.500%, 1/15/30 | 737,402 | ||
1,095,000 | Korn Ferry, 144a, 4.625%, 12/15/27 | 1,136,063 | ||
1,240,000 | LBM Acquisition LLC, 144a, 6.250%, 1/15/29 | 1,239,380 | ||
956,000 | LCM Investments Holdings II LLC, 144a, 4.875%, 5/1/29 | 980,923 | ||
303,000 | LCM Investments Holdings II LLC, Ser SEP, 144a, 4.875%, 5/1/29 | 310,899 | ||
894,000 | Legacy LifePoint Health LLC, 144a, 4.375%, 2/15/27 | 889,351 | ||
300,000 | Mobilux Finance SAS (France), 4.250%, 7/15/28 | 349,670 | ||
400,000 | Ocado Group PLC, 3.875%, 10/8/26 | 538,960 | ||
633,000 | Paysafe Finance PLC / Paysafe Holdings US Corp., 144a, 4.000%, 6/15/29 | 606,098 | ||
429,000 | Picard BondCo S.A. (France), 5.375%, 7/1/27 | 500,460 | ||
1,837,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 144a, 4.625%, 3/1/29 | 1,850,777 | ||
1,542,000 | Specialty Building Products Holdings LLC / SBP Finance Corp., 144a, 6.375%, 9/30/26 | 1,622,955 | ||
1,260,000 | SRS Distribution, Inc., 144a, 4.625%, 7/1/28 | 1,285,452 | ||
364,000 | SRS Distribution, Inc., 144a, 6.125%, 7/1/29 | 374,920 | ||
100,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 144a, 5.000%, 6/1/31 | 103,750 | ||
1,509,000 | Team Health Holdings, Inc., 144a, 6.375%, 2/1/25 | 1,447,795 | ||
19,080,524 | ||||
Industrials — 6.6% | ||||
220,000 | Advanced Drainage Systems, Inc., 144a, 5.000%, 9/30/27 | 229,680 | ||
195,000 | American Builders & Contractors Supply Co., Inc., 144a, 3.875%, 11/15/29 | 194,454 | ||
211,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 144a, 4.125%, 8/15/26 | 218,898 | ||
343,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 144a, 5.250%, 4/30/25 | 358,188 | ||
818,912 | Artera Services LLC, 144a, 9.033%, 12/4/25 | 888,520 | ||
250,000 | Brand Industrial Services, Inc., 144a, 8.500%, 7/15/25 | 250,937 | ||
139,000 | BWX Technologies, Inc., 144a, 4.125%, 4/15/29 | 142,301 | ||
758,000 | BWX Technologies, Inc., 144a, 4.125%, 6/30/28 | 777,897 | ||
702,000 | Cargo Aircraft Management, Inc., 144a, 4.750%, 2/1/28 | 725,868 | ||
689,000 | Clark Equipment Co. (South Korea), 144a, 5.875%, 6/1/25(A) | 720,866 | ||
594,000 | Clean Harbors, Inc., 144a, 4.875%, 7/15/27 | 616,275 | ||
1,384,676 | CP Atlas Buyer, Inc., 144a, 7.000%, 12/1/28 | 1,388,138 | ||
365,000 | Crown Americas LLC / Crown Americas Capital Corp. V, 4.250%, 9/30/26 | 391,240 | ||
31,000 | Crown Americas LLC / Crown Americas Capital Corp. VI, 4.750%, 2/1/26 | 31,949 | ||
958,000 | GFL Environmental, Inc. (Canada), 144a, 3.500%, 9/1/28 | 963,987 | ||
142,000 | GFL Environmental, Inc. (Canada), 144a, 3.750%, 8/1/25 | 146,236 | ||
480,271 | GFL Environmental, Inc. (Canada), 144a, 4.375%, 8/15/29 | 485,074 | ||
97,000 | GFL Environmental, Inc. (Canada), 144a, 5.125%, 12/15/26 | 101,861 | ||
1,764,000 | H&E Equipment Services, Inc., 144a, 3.875%, 12/15/28 | 1,759,590 | ||
2,137,000 | Mauser Packaging Solutions Holding Co., 144a, 7.250%, 4/15/25 | 2,123,975 | ||
431,000 | OI European Group BV, 144a, 4.000%, 3/15/23 | 439,620 |
Principal Amount | Market Value | |||
Industrials — (Continued) | ||||
$ 529,000 | Owens-Brockway Glass Container, Inc., 144a, 5.375%, 1/15/25 | $ 564,707 | ||
67,000 | Owens-Brockway Glass Container, Inc., 144a, 6.625%, 5/13/27 | 71,945 | ||
348,000 | PGT Innovations, Inc., 144a, 4.375%, 10/1/29 | 350,610 | ||
723,000 | Sensata Technologies, Inc., 144a, 3.750%, 2/15/31 | 727,945 | ||
474,000 | Sensata Technologies, Inc., 144a, 4.375%, 2/15/30 | 510,005 | ||
40,000 | Tervita Corp. (Canada), 144a, 11.000%, 12/1/25 | 45,400 | ||
653,000 | TransDigm, Inc., 144a, 6.250%, 3/15/26 | 683,280 | ||
129,000 | TransDigm, Inc., 144a, 8.000%, 12/15/25 | 137,546 | ||
295,000 | Trident TPI Holdings, Inc., 144a, 9.250%, 8/1/24 | 310,004 | ||
1,789,000 | Tutor Perini Corp., 144a, 6.875%, 5/1/25† | 1,829,252 | ||
94,000 | XPO Logistics, Inc., 144a, 6.250%, 5/1/25 | 99,112 | ||
18,285,360 | ||||
Consumer Discretionary — 5.2% | ||||
665,000 | Allison Transmission, Inc., 144a, 4.750%, 10/1/27 | 692,484 | ||
239,000 | American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 144a, 5.750%, 4/20/29 | 257,534 | ||
565,000 | Asbury Automotive Group, Inc., 4.500%, 3/1/28 | 580,891 | ||
1,291,000 | Ashton Woods USA LLC / Ashton Woods Finance Co., 144a, 4.625%, 8/1/29 | 1,303,561 | ||
653,000 | Ashton Woods USA LLC / Ashton Woods Finance Co., 144a, 6.625%, 1/15/28 | 693,812 | ||
28,000 | Bath & Body Works, Inc., 6.694%, 1/15/27 | 32,270 | ||
300,000 | Bath & Body Works, Inc., 6.750%, 7/1/36 | 372,000 | ||
208,000 | Bath & Body Works, Inc., 6.875%, 11/1/35 | 261,040 | ||
92,000 | Bath & Body Works, Inc., 7.500%, 6/15/29 | 104,481 | ||
250,000 | Boyd Gaming Corp., 4.750%, 12/1/27 | 258,350 | ||
250,000 | Boyd Gaming Corp., 144a, 8.625%, 6/1/25 | 270,938 | ||
150,000 | Caesars Entertainment, Inc., 144a, 8.125%, 7/1/27 | 168,563 | ||
356,000 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp., 5.375%, 6/1/24 | 359,453 | ||
372,000 | Century Communities, Inc., 144a, 3.875%, 8/15/29 | 375,720 | ||
179,000 | Century Communities, Inc., 6.750%, 6/1/27 | 191,081 | ||
125,000 | Clarios Global LP, 144a, 6.750%, 5/15/25 | 131,875 | ||
364,000 | Clarios Global LP / Clarios US Finance Co., 144a, 6.250%, 5/15/26 | 382,444 | ||
148,000 | Dana, Inc., 4.250%, 9/1/30 | 152,211 | ||
147,000 | Dana, Inc., 5.375%, 11/15/27 | 154,901 | ||
326,000 | Dana, Inc., 5.625%, 6/15/28 | 351,053 | ||
57,000 | Ford Motor Co., 8.500%, 4/21/23 | 62,697 | ||
75,000 | Ford Motor Co., 9.000%, 4/22/25 | 90,133 | ||
90,000 | Ford Motor Credit Co. LLC, (3M LIBOR +0.880%), 0.999%, 10/12/21(D) | 90,000 | ||
185,000 | Ford Motor Credit Co. LLC, 2.979%, 8/3/22 | 187,018 | ||
57,000 | Ford Motor Credit Co. LLC, 3.096%, 5/4/23 | 57,926 | ||
11,000 | Ford Motor Credit Co. LLC, 3.810%, 1/9/24 | 11,358 | ||
307,000 | Ford Motor Credit Co. LLC, 3.813%, 10/12/21 | 307,154 | ||
227,000 | Ford Motor Credit Co. LLC, 4.063%, 11/1/24 | 238,688 | ||
256,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 271,616 | ||
55,000 | Ford Motor Credit Co. LLC, 5.125%, 6/16/25 | 59,744 | ||
233,000 | Hanesbrands, Inc., 144a, 4.625%, 5/15/24 | 245,647 | ||
201,313 | Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., 144a, 5.750%, 1/20/26 | 210,624 | ||
320,000 | Lithia Motors, Inc., 144a, 3.875%, 6/1/29 | 332,147 | ||
363,000 | Lithia Motors, Inc., 144a, 4.375%, 1/15/31 | 387,502 | ||
124,000 | Live Nation Entertainment, Inc., 144a, 4.750%, 10/15/27 | 126,013 | ||
217,000 | Live Nation Entertainment, Inc., 144a, 4.875%, 11/1/24 | 219,424 | ||
204,000 | Live Nation Entertainment, Inc., 144a, 5.625%, 3/15/26 | 211,140 | ||
778,000 | Meritage Homes Corp., 144a, 3.875%, 4/15/29 | 816,900 |
Principal Amount | Market Value | |||
Corporate Bonds — 52.4% (Continued) | ||||
Consumer Discretionary — (Continued) | ||||
$1,797,000 | Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In, 144a, 8.500%, 11/15/27 | $ 1,948,307 | ||
841,000 | Six Flags Entertainment Corp., 144a, 4.875%, 7/31/24 | 848,884 | ||
115,000 | Six Flags Theme Parks, Inc., 144a, 7.000%, 7/1/25 | 122,475 | ||
177,000 | Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 144a, 8.000%, 9/20/25 | 198,506 | ||
162,000 | United Airlines, Inc., 144a, 4.375%, 4/15/26 | 166,253 | ||
162,000 | United Airlines, Inc., 144a, 4.625%, 4/15/29 | 167,419 | ||
14,472,237 | ||||
Health Care — 4.2% | ||||
2,342,000 | Air Methods Corp., 144a, 8.000%, 5/15/25 | 2,236,610 | ||
854,000 | Akumin Escrow, Inc., 144a, 7.500%, 8/1/28 | 826,245 | ||
385,000 | Bausch Health Cos, Inc., 144a, 9.000%, 12/15/25 | 407,619 | ||
100,000 | Bausch Health Cos, Inc., 144a, 5.000%, 1/30/28 | 94,872 | ||
100,000 | Bausch Health Cos, Inc., 144a, 5.250%, 1/30/30 | 93,250 | ||
324,000 | Bausch Health Cos, Inc., 144a, 6.125%, 4/15/25 | 330,486 | ||
326,000 | Emergent BioSolutions, Inc., 144a, 3.875%, 8/15/28 | 317,905 | ||
2,181,000 | Global Medical Response, Inc., 144a, 6.500%, 10/1/25 | 2,254,609 | ||
244,000 | HCA, Inc., 5.625%, 9/1/28 | 290,287 | ||
325,000 | HCA, Inc., 7.690%, 6/15/25 | 390,689 | ||
210,000 | Hill-Rom Holdings, Inc., 144a, 4.375%, 9/15/27 | 219,587 | ||
414,000 | LifePoint Health, Inc., 144a, 5.375%, 1/15/29 | 402,615 | ||
756,000 | Molina Healthcare, Inc., 144a, 4.375%, 6/15/28 | 784,350 | ||
341,000 | Mozart Debt Merger Sub, Inc., 144a, 3.875%, 4/1/29 | 341,000 | ||
1,135,000 | Mozart Debt Merger Sub, Inc., 144a, 5.250%, 10/1/29 | 1,135,000 | ||
990,000 | Syneos Health, Inc., 144a, 3.625%, 1/15/29 | 987,228 | ||
494,000 | Tenet Healthcare Corp., 144a, 4.625%, 6/15/28 | 511,863 | ||
11,624,215 | ||||
Materials — 4.2% | ||||
207,000 | CF Industries, Inc., 4.950%, 6/1/43 | 249,447 | ||
1,590,000 | Chemours Co. (The), 144a, 4.625%, 11/15/29 | 1,552,476 | ||
817,000 | Chemours Co. (The), 144a, 5.750%, 11/15/28 | 856,829 | ||
1,419,000 | Constellium SE, 144a, 3.750%, 4/15/29 | 1,381,992 | ||
163,000 | Constellium SE, 144a, 5.625%, 6/15/28 | 171,247 | ||
330,000 | First Quantum Minerals Ltd. (Zambia), 144a, 6.500%, 3/1/24 | 334,125 | ||
129,000 | Freeport-McMoRan, Inc., 4.375%, 8/1/28 | 134,846 | ||
412,000 | Freeport-McMoRan, Inc., 4.625%, 8/1/30 | 445,475 | ||
300,000 | Freeport-McMoRan, Inc., 5.000%, 9/1/27 | 312,750 | ||
397,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/34(A) | 476,896 | ||
63,000 | Freeport-McMoRan, Inc., 5.450%, 3/15/43(A) | 77,569 | ||
753,000 | Kraton Polymers LLC / Kraton Polymers Capital Corp., 144a, 4.250%, 12/15/25 | 786,885 | ||
500,000 | Novelis Corp., 144a, 4.750%, 1/30/30 | 526,350 | ||
223,000 | OCI NV (Netherlands), 144a, 4.625%, 10/15/25 | 234,306 | ||
585,000 | SCIH Salt Holdings, Inc., 144a, 6.625%, 5/1/29 | 561,600 | ||
590,000 | Tronox, Inc., 144a, 4.625%, 3/15/29 | 587,050 | ||
259,636 | Unifrax Escrow Issuer Corp., 144a, 5.250%, 9/30/28 | 263,536 | ||
700,000 | Unifrax Escrow Issuer Corp., 144a, 7.500%, 9/30/29 | 717,339 | ||
1,730,000 | Venator Finance Sarl / Venator Materials LLC, 144a, 5.750%, 7/15/25 | 1,634,850 | ||
215,000 | Venator Finance Sarl / Venator Materials LLC, 144a, 9.500%, 7/1/25 | 237,844 | ||
11,543,412 | ||||
Financials — 4.0% | ||||
1,182,000 | Acrisure LLC / Acrisure Finance, Inc., 144a, 4.250%, 2/15/29 | 1,168,702 | ||
1,097,000 | Coinbase Global, Inc., 144a, 3.375%, 10/1/28 | 1,055,862 | ||
627,000 | Coinbase Global, Inc., 144a, 3.625%, 10/1/31 | 600,353 | ||
538,000 | LD Holdings Group LLC, 144a, 6.125%, 4/1/28 | 507,065 |
Principal Amount | Market Value | |||
Financials — (Continued) | ||||
$1,805,000 | LD Holdings Group LLC, 144a, 6.500%, 11/1/25 | $ 1,795,975 | ||
479,000 | LPL Holdings, Inc., 144a, 4.375%, 5/15/31 | 499,956 | ||
374,000 | LPL Holdings, Inc., 144a, 4.625%, 11/15/27 | 388,025 | ||
657,441 | Midcap Financial Issuer Trust, 144a, 5.625%, 1/15/30 | 650,867 | ||
692,000 | Midcap Financial Issuer Trust, 144a, 6.500%, 5/1/28 | 721,202 | ||
435,000 | Nationstar Mortgage Holdings, Inc., 144a, 5.500%, 8/15/28 | 448,050 | ||
461,000 | NFP Corp., 144a, 4.875%, 8/15/28 | 466,763 | ||
326,000 | NFP Corp., 144a, 6.875%, 8/15/28 | 332,862 | ||
392,000 | OneMain Finance Corp., 3.875%, 9/15/28 | 389,546 | ||
1,690,000 | OneMain Finance Corp., 4.000%, 9/15/30 | 1,681,550 | ||
299,000 | PennyMac Financial Services, Inc., 144a, 5.750%, 9/15/31 | 298,549 | ||
206,000 | United Wholesale Mortgage LLC, 144a, 5.500%, 11/15/25 | 207,545 | ||
11,212,872 | ||||
Real Estate — 2.4% | ||||
1,392,000 | Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 144a, 4.500%, 4/1/27 | 1,376,270 | ||
716,000 | Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 144a, 5.750%, 5/15/26 | 744,640 | ||
875,000 | HAT Holdings I LLC / HAT Holdings II LLC REIT, 144a, 3.750%, 9/15/30 | 883,750 | ||
720,000 | HAT Holdings I LLC / HAT Holdings II LLC REIT, 144a, 6.000%, 4/15/25 | 752,400 | ||
390,000 | Iron Mountain, Inc. REIT, 144a, 4.875%, 9/15/29 | 408,525 | ||
531,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 3/15/28 | 554,895 | ||
105,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 7/15/30 | 111,429 | ||
315,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. REIT, 144a, 4.250%, 2/1/27 | 311,850 | ||
963,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. REIT, 144a, 4.750%, 6/15/29 | 958,185 | ||
197,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. REIT, 144a, 5.250%, 10/1/25 | 199,448 | ||
110,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 3.750%, 2/15/27 | 113,850 | ||
201,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 4.125%, 8/15/30 | 213,060 | ||
46,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 4.625%, 12/1/29 | 49,450 | ||
6,677,752 | ||||
Information Technology — 2.2% | ||||
493,000 | Ahead DB Holdings LLC, 144a, 6.625%, 5/1/28 | 496,697 | ||
241,000 | Diebold Nixdorf, Inc., 144a, 9.375%, 7/15/25 | 263,746 | ||
777,000 | Elastic NV, 144a, 4.125%, 7/15/29 | 780,885 | ||
105,000 | Entegris, Inc., 144a, 4.375%, 4/15/28 | 109,988 | ||
330,000 | Open Text Corp. (Canada), 144a, 3.875%, 2/15/28 | 336,600 | ||
908,000 | PTC, Inc., 144a, 4.000%, 2/15/28 | 931,835 | ||
787,000 | Science Applications International Corp., 144a, 4.875%, 4/1/28 | 813,325 | ||
440,000 | Seagate HDD Cayman, 144a, 3.125%, 7/15/29 | 425,524 | ||
746,000 | Seagate HDD Cayman, 144a, 3.375%, 7/15/31 | 725,485 | ||
500,000 | SS&C Technologies, Inc., 144a, 5.500%, 9/30/27 | 528,315 | ||
630,000 | Synaptics, Inc., 144a, 4.000%, 6/15/29 | 644,534 | ||
6,056,934 | ||||
Utilities — 1.4% | ||||
1,039,000 | Calpine Corp., 144a, 4.500%, 2/15/28(A) | 1,059,780 | ||
497,000 | NRG Energy, Inc., 144a, 3.625%, 2/15/31 | 488,178 | ||
160,000 | NRG Energy, Inc., 144a, 3.875%, 2/15/32 | 157,600 | ||
208,000 | NRG Energy, Inc., 6.625%, 1/15/27 | 215,478 |
Principal Amount | Market Value | |||
Corporate Bonds — 52.4% (Continued) | ||||
Utilities — (Continued) | ||||
$ 756,000 | Pattern Energy Operations LP / Pattern Energy Operations, Inc., 144a, 4.500%, 8/15/28 | $ 788,130 | ||
1,000,000 | Vistra Operations Co. LLC, 144a, 5.000%, 7/31/27 | 1,032,500 | ||
268,000 | Vistra Operations Co. LLC, 144a, 4.300%, 7/15/29(A) | 285,367 | ||
4,027,033 | ||||
Total Corporate Bonds | $145,395,370 | |||
Bank Loans — 33.2%(E) | ||||
Health Care — 9.0% | ||||
995,000 | AlixPartners LLP, Initial Dollar Term Loan, (1M LIBOR + 2.750%), 3.250%, 2/04/28 | 991,955 | ||
528,313 | Amentum Government Services Holdings LLC, First Lien Initial Term Loan, (1M LIBOR + 3.500%), 3.584%, 1/29/27 | 526,992 | ||
330,797 | Atkins Nutritionals Inc., Initial Term Loan, (1M LIBOR + 3.750%), 4.750%, 7/08/24 | 331,389 | ||
681,575 | Avantor Funding Inc., Incremental B-5 Dollar Term Loan, (1M LIBOR + 2.250%), 2.750%, 11/08/27 | 682,427 | ||
808,258 | Bausch Health Companies Inc., First Incremental Term Loan, (1M LIBOR + 2.750%), 2.834%, 11/27/25 | 805,833 | ||
792,782 | Bausch Health Companies Inc., Initial Term Loan, (1M LIBOR + 3.000%), 3.084%, 6/02/25 | 791,593 | ||
325,000 | Bellis Acquisition Company PLC, Facility B Loan (EUR), (3M EURIBOR + 2.750%), 2.750%, 2/12/26(F) | 374,254 | ||
583,500 | Belron Finance US LLC, First Incremental Loan, (3M LIBOR + 2.250%), 2.375%, 11/13/25 | 580,098 | ||
986,280 | BrightView Landscapes LLC, Initial Term Loan, (3M LIBOR + 2.500%), 2.625%, 8/15/25 | 980,116 | ||
710,000 | CAB, Facility B Loan, (6M EURIBOR + 3.500%), 3.500%, 2/09/28(F) | 817,971 | ||
827,414 | Change Healthcare Holdings LLC, Closing Date Term Loan, (3M LIBOR + 2.500%), 3.500%, 3/01/24 | 826,421 | ||
758,636 | Elanco Animal Health Inc., Term Loan, (1M LIBOR + 1.750%), 1.836%, 8/01/27 | 748,880 | ||
845,934 | eResearch Technology Inc., First Lien Initial Term Loan, (1M LIBOR + 4.500%), 5.500%, 2/04/27 | 849,639 | ||
2,531 | EVO Payments International LLC, First Lien Term Loan, (1M LIBOR + 3.250%), 3.340%, 12/22/23 | 2,526 | ||
715,187 | EyeCare Partners LLC, First Lien Initial Term Loan, (3M LIBOR + 3.750%), 3.882%, 2/18/27 | 710,452 | ||
482,536 | Fly Funding II SARL, Term Loan B, (3M LIBOR + 1.750%), 1.910%, 8/11/25 | 475,901 | ||
700,000 | Froneri Lux Finco Sarl, Facility B1, (6M EURIBOR + 2.375%), 2.375%, 1/29/27(F) | 792,260 | ||
641,875 | Froneri US Inc., Facility B2, (1M LIBOR + 2.250%), 2.334%, 1/29/27 | 633,852 | ||
690,384 | Gainwell Acquisition Corp, Term B Loan, (3M LIBOR + 4.000%), 4.750%, 10/01/27 | 691,392 | ||
755,695 | Gentiva Health Services Inc., Term B-1 Loan, (1M LIBOR + 2.750%), 2.875%, 7/02/25 | 755,377 | ||
611,925 | Horizon Therapeutics USA Inc., Incremental Term B-2 Loan, (1M LIBOR + 2.000%), 2.500%, 3/15/28 | 610,505 | ||
244,388 | Insulet Corporation, Term B Loan, (1M LIBOR + 3.250%), 3.750%, 4/28/28 | 244,796 | ||
195,121 | Lifescan Global Corporation, First Lien Initial Term Loan, (3M LIBOR + 6.000%), 6.202%, 10/01/24 | 193,332 | ||
1,461,697 | Med ParentCo LP, First Lien Initial Term Loan, (1M LIBOR + 4.250%), 4.334%, 8/31/26 | 1,457,356 | ||
811,493 | Medline Industries, Term Loan B, (1M LIBOR + 3.250%), 3.750%, 9/30/28 | 807,436 | ||
403,121 | Midwest Physician Administrative Services LLC, First Lien Term Loan, (3M LIBOR + 3.000%), 3.750%, 3/12/28 | 400,477 |
Principal Amount | Market Value | |||
Health Care — (Continued) | ||||
$ 932,663 | Organon & Co, Senior Secured Dollar Term Loan, (3M LIBOR + 3.000%), 3.500%, 6/02/28 | $ 934,164 | ||
378,100 | Packaging Coordinators Midco Inc., First Lien Term B Loan, (3M LIBOR + 3.500%), 4.250%, 11/30/27 | 378,338 | ||
417,900 | PPD Inc., Initial Term Loan, (1M LIBOR + 2.000%), 2.500%, 1/13/28 | 417,031 | ||
490,909 | Sterigenics-Nordion Holdings LLC, Term Loan, (1M LIBOR + 2.750%), 3.250%, 12/11/26 | 489,274 | ||
985,050 | Sunshine Luxembourg VII SARL, Term Loan B3 (USD), (3M LIBOR + 3.750%), 4.500%, 10/01/26 | 987,513 | ||
710,535 | Surgery Center Holdings, Inc., 2021 New Term Loan, (1M LIBOR + 3.750%), 4.500%, 8/31/26 | 711,225 | ||
344,121 | The Hertz Corporation, Initial Term B Loan, 4.000%, 6/30/28(G) | 344,176 | ||
65,016 | The Hertz Corporation, Initial Term C Loan, 4.000%, 6/30/28(G) | 65,026 | ||
406,877 | Trans Union LLC, Term B-5 Loan, (1M LIBOR + 1.750%), 1.834%, 11/16/26 | 404,142 | ||
529,200 | US Foods Inc., Incremental B-2019 Term Loan, (1M LIBOR + 2.000%), 2.084%, 9/13/26 | 521,791 | ||
651,352 | US Foods Inc., Repriced Term Loan, (1M LIBOR + 1.750%), 1.834%, 6/27/23 | 647,281 | ||
600,000 | Verisure Holding AB, (3M EURIBOR + 3.500%), 3.500%, 7/14/26(F) | 691,132 | ||
600,000 | Verisure Holding AB (Publ), New Facility B Loan, (3M EURIBOR + 3.250%), 3.250%, 3/27/28(F) | 690,534 | ||
613,463 | WW International Inc., Initial Term Loan, (1M LIBOR + 3.500%), 4.000%, 4/13/28 | 612,315 | ||
24,977,172 | ||||
Consumer Discretionary — 7.5% | ||||
394,013 | Adient US LLC, Term B-1 Loan, (1M LIBOR + 3.500%), 3.584%, 4/10/28 | 393,847 | ||
850,951 | Alpha Topco Limited - Delta 2 (Lux) Sarl, 2018 Incremental New Facility B3 (USD) Loan, (1M LIBOR + 2.500%), 3.500%, 2/01/24 | 847,760 | ||
505,000 | American Airlines Inc., Initial Term Loan, (3M LIBOR + 4.750%), 5.500%, 4/20/28 | 521,902 | ||
781,519 | American Builders & Contractors Supply Co Inc., Restatement Effective Date Term Loan, (1M LIBOR + 2.000%), 2.084%, 1/15/27 | 775,939 | ||
596,904 | Aramark Services Inc., US Term B-3 Loan, (1M LIBOR + 1.750%), 1.834%, 3/11/25 | 583,223 | ||
370,475 | Autokiniton US Holdings, Inc., Closing Date Term B Loan, 5.000%, 4/06/28(G) | 370,360 | ||
458,850 | Birkenstock US Bidco Inc., Facility B (USD) Loan, (3M LIBOR + 3.750%), 4.250%, 4/28/28 | 457,896 | ||
613,280 | Boyd Gaming Corporation, Refinancing Term B Loan, (1 week LIBOR + 2.250%), 2.322%, 9/15/23 | 612,323 | ||
984,713 | Caesars Resort Collection LLC, Term B Loan, (1M LIBOR + 2.750%), 2.834%, 12/23/24 | 978,293 | ||
836,550 | Caesars Resort Collection LLC, Term B-1 Loan, (3M LIBOR + 3.500%), 3.583%, 7/21/25 | 836,851 | ||
589,949 | Clarios Global LP, Amendment No. 1 Dollar Term Loan (First Lien), (3M LIBOR + 3.250%), 3.334%, 4/30/26 | 586,999 | ||
635,000 | Delta Air Lines Inc., Initial Term Loan, (3M LIBOR + 3.750%), 4.750%, 10/20/27 | 674,967 | ||
350,000 | EG Group Limited, Additional Second Lien Loan Facility, 7.000%, 4/12/27(F)(G) | 411,504 | ||
392,925 | Enterprise Development Authority, Term B Loan, (1M LIBOR + 4.250%), 5.000%, 2/28/28 | 393,397 | ||
473,832 | First Brands Group LLC, First Lien 2021 Term Loan, (3M LIBOR + 5.000%), 6.000%, 3/30/27 | 478,097 |
Principal Amount | Market Value | |||
Bank Loans — 33.2%(E) (Continued) | ||||
Consumer Discretionary — (Continued) | ||||
$ 219,353 | Golden Entertainment Inc., Term B Facility Loan (First Lien), (1M LIBOR + 3.000%), 3.750%, 10/21/24 | $ 218,531 | ||
1,027,238 | Great Outdoors Group LLC, Term B-1 Loan, (3M LIBOR + 4.250%), 5.000%, 3/06/28 | 1,030,319 | ||
548,625 | Hayward Industries Inc., First Lien Initial Term Loan, (1M LIBOR + 2.500%), 3.000%, 5/28/28 | 546,913 | ||
500,000 | Installed Building Products Inc., Tranche B-3 Term Loan, (1M LIBOR + 2.250%), 2.334%, 4/15/25 | 498,750 | ||
481,363 | IRB Holding Corp, Fourth Amendment Incremental Term Loan, (3M LIBOR + 3.250%), 4.250%, 12/15/27 | 481,964 | ||
576,516 | LBM Acquisition LLC, First Lien Initial Term Loan, 4.500%, 12/17/27(G) | 570,751 | ||
297,750 | LS Group OpCo Acquisition LLC, Initial Term Loan, (3M LIBOR + 3.250%), 4.000%, 11/02/27 | 297,193 | ||
359,100 | MajorDrive Holdings IV LLC, Initial Term Loan, (3M LIBOR + 4.000%), 4.500%, 5/12/28 | 359,660 | ||
217,934 | MI Windows and Doors LLC, Initial Term Loan, (1M LIBOR + 3.750%), 4.500%, 12/18/27 | 218,206 | ||
629,157 | Mileage Plus Holdings, LLC, Initial Term Loan, (3M LIBOR + 5.250%), 6.250%, 6/21/27 | 668,090 | ||
412,000 | Nai Entertainment Holdings LLC, Tranche B Term Loan, (1M LIBOR + 2.500%), 3.500%, 5/08/25 | 402,730 | ||
65,899 | Osmosis Debt Merger Sub Inc., Delayed Draw Term Loan, 4.500%, 7/31/28(G) | 66,080 | ||
527,192 | Osmosis Debt Merger Sub Inc., Initial Term B Loan, (1M LIBOR + 4.000%), 4.500%, 7/30/28 | 528,641 | ||
172,706 | SRAM LLC, Initial Term Loan, 3.250%, 5/18/28(G) | 172,417 | ||
560,000 | SRS Distribution Inc., 2021 Refinancing Term Loan, (6M LIBOR + 3.750%), 4.250%, 6/02/28 | 559,765 | ||
402,526 | Station Casinos LLC, Term B-1 Facility Loan, (1M LIBOR + 2.250%), 2.500%, 2/08/27 | 398,437 | ||
847,875 | Tecta America Corp, First Lien Initial Term Loan, (1M LIBOR + 4.250%), 5.000%, 4/10/28 | 848,935 | ||
213,925 | Truck Hero Inc., Initial Term Loan, (1M LIBOR + 3.250%), 4.000%, 1/29/28 | 213,345 | ||
872,759 | UFC Holdings LLC, Term Loan B-3, (6M LIBOR + 2.750%), 3.500%, 4/29/26 | 870,332 | ||
980,075 | United AirLines, Inc., Class B Term Loan, 4.500%, 4/21/28(G) | 986,093 | ||
877,677 | Whatabrands LLC, Initial Term B Loan, (1M LIBOR + 3.250%), 3.750%, 8/03/28 | 876,378 | ||
530,988 | White Cap Buyer LLC, Initial Closing Date Term Loan, (1M LIBOR + 4.000%), 4.500%, 10/19/27 | 532,193 | ||
391,914 | William Morris Endeavor Entertainment LLC, New Term Loan B-1, (1M LIBOR + 2.750%), 2.840%, 5/18/25 | 383,585 | ||
20,652,666 | ||||
Communication Services — 4.4% | ||||
608,475 | Cable One Inc., Incremental Term B-4 Loan, (1M LIBOR + 2.000%), 2.084%, 5/03/28 | 604,100 | ||
365,660 | Charter Communications Operating LLC, Term Loan B2, (1M LIBOR + 1.750%), 1.840%, 2/01/27 | 363,273 | ||
488,923 | CSC Holdings LLC, 2017 Refinancing Term Loan, (1M LIBOR + 2.250%), 2.334%, 7/17/25 | 481,590 | ||
262,500 | Delta TopCo Inc., Initial Term Loan (Second Lien), (3M LIBOR + 7.250%), 8.000%, 12/01/28 | 264,358 | ||
152,949 | E.W. Scripps Company (The), Tranche B-3 Term Loan, (1M LIBOR + 3.000%), 3.750%, 1/07/28 | 153,161 | ||
624,064 | E.W. Scripps Company, The, Tranche B-2 Term Loan, (1M LIBOR + 2.563%), 3.313%, 5/01/26 | 621,836 | ||
842,888 | Endurance International Group Holdings, Inc., Initial Term Loan, (LIBOR + 3.500%), 4.250%, 2/10/28 | 837,619 |
Principal Amount | Market Value | |||
Communication Services — (Continued) | ||||
$ 388,983 | Go Daddy Operating Company, LLC (GD Finance Co, Inc.), Tranche B-2 Term Loan, (1M LIBOR + 1.750%), 1.835%, 2/15/24 | $ 386,505 | ||
1,007,627 | Gray Television Inc., Term C Loan, (1M LIBOR + 2.500%), 2.586%, 1/02/26 | 1,003,596 | ||
6,345 | Houghton Mifflin Harcourt Publishers Inc., Term Loan, (3M LIBOR + 6.250%), 7.250%, 11/22/24 | 6,336 | ||
845,000 | Lorca Holdco Limited, Facility B, (6M EURIBOR + 4.250%), 4.250%, 9/17/27(F) | 979,462 | ||
469,508 | MH Sub I, LLC, 2020 June New Term Loan, (1M LIBOR + 3.750%), 4.750%, 9/13/24 | 470,536 | ||
984,853 | MTN Infrastructure TopCo Inc., Initial Term Loan, (1M LIBOR + 3.000%), 4.000%, 11/15/24 | 981,977 | ||
514,563 | NEP Group Inc., First Lien Initial Dollar Term Loan, (1M LIBOR + 3.250%), 3.334%, 10/20/25 | 494,408 | ||
500,393 | Nexstar Broadcasting Inc., Term B-4 Loan, (1M LIBOR + 2.500%), 2.586%, 9/18/26 | 499,643 | ||
982,509 | Numericable U.S. LLC, USD TLB-12 Term Loan, (3M LIBOR + 3.688%), 3.814%, 1/31/26 | 973,421 | ||
910,000 | Proofpoint Inc., Initial Term Loan, 3.750%, 8/31/28(G) | 904,995 | ||
258,050 | Radiate Holdco LLC, Term B Loan, (1M LIBOR + 3.500%), 4.250%, 9/25/26 | 257,678 | ||
370,000 | Telenet Financing USD LLC, Term Loan AR Facility, (1M LIBOR + 2.000%), 2.084%, 4/30/28 | 365,530 | ||
300,000 | UPC Broadband Holding BV, Facility AY, (6M EURIBOR + 3.000%), 3.000%, 1/31/29(F) | 344,947 | ||
715,000 | UPC Financing Partnership, Facility AX, (1M LIBOR + 3.000%), 3.084%, 1/31/29 | 712,469 | ||
480,000 | Virgin Media Bristol LLC, Facility Q Advance, (1M LIBOR + 3.250%), 3.334%, 1/31/29 | 479,866 | ||
12,187,306 | ||||
Information Technology — 3.8% | ||||
567,610 | Ceridian HCM Holding, Inc., Initial Term Loan, (1 week LIBOR + 2.500%), 2.572%, 4/30/25 | 559,379 | ||
1,645 | DCert Buyer Inc., First Lien Initial Term Loan, (1M LIBOR + 4.000%), 4.084%, 10/16/26 | 1,644 | ||
993,051 | Dun & Bradstreet Corporation (The), Term Loan B, (1M LIBOR + 3.250%), 3.336%, 2/06/26 | 991,809 | ||
240,000 | Epicor Software Corporation, Second Lien Initial Term Loan, (1M LIBOR + 7.750%), 8.750%, 7/31/28 | 246,300 | ||
380,546 | Epicor Software Corporation, Term C Loan, (1M LIBOR + 3.250%), 4.000%, 7/30/27 | 380,375 | ||
230,000 | Finastra USA Inc., Dollar Term Loan (Second Lien), (3M LIBOR + 7.250%), 8.250%, 6/13/25 | 231,072 | ||
487,542 | Finastra USA Inc., First Lien Dollar Term Loan, (3M LIBOR + 3.500%), 4.500%, 6/13/24 | 483,325 | ||
411,078 | Grab Holdings, Inc., Initial Term Loan, (6M LIBOR + 4.500%), 5.500%, 1/29/26 | 414,502 | ||
1,425,315 | Hyland Software Inc., 2018 Refinancing Term Loan, (1M LIBOR + 3.500%), 4.250%, 7/01/24 | 1,426,056 | ||
470,800 | Hyland Software Inc., 2021-1 Incremental Term Facility, (1M LIBOR + 6.250%), 7.000%, 7/07/25 | 474,920 | ||
439,790 | Ivanti Software Inc., First Lien Initial Term Loan, (3M LIBOR + 4.750%), 5.750%, 12/01/27 | 440,546 | ||
87,560 | Ivanti Software, Inc., First Amendment Term Loan, (3M LIBOR + 4.000%), 4.750%, 12/01/27 | 87,582 | ||
753,113 | Panther Purchaser LP, Initial Term Loan, (3M LIBOR + 4.250%), 4.750%, 1/07/28 | 754,995 | ||
570,192 | Peraton Corp, First Lien Term B Loan, 4.500%, 2/01/28(G) | 570,284 | ||
378,100 | Playtika Holding Corp, Term B-1 Loan, (1M LIBOR + 2.750%), 2.834%, 3/13/28 | 377,798 |
Principal Amount | Market Value | |||
Bank Loans — 33.2%(E) (Continued) | ||||
Information Technology — (Continued) | ||||
$ 253,719 | SS&C Technologies Inc., Term B-3 Loan, (1M LIBOR + 1.750%), 1.834%, 4/16/25 | $ 251,288 | ||
192,127 | SS&C Technologies Inc., Term B-4 Loan, (1M LIBOR + 1.750%), 1.834%, 4/16/25 | 190,038 | ||
744,356 | SS&C Technologies Inc., Term B-5 Loan, (1M LIBOR + 1.750%), 1.834%, 4/16/25 | 736,265 | ||
965,701 | Tempo Acquisition LLC, Extending Term Loan, (1M LIBOR + 3.250%), 3.334%, 11/02/26 | 967,111 | ||
982,575 | Zelis Cost Management Buyer Inc., Term B-1 Loan, (1M LIBOR + 3.500%), 3.586%, 9/30/26 | 978,104 | ||
10,563,393 | ||||
Industrials — 3.3% | ||||
374,176 | Altra Industrial Motion Corp, Term Loan, (1M LIBOR + 2.000%), 2.084%, 10/01/25 | 371,744 | ||
103,998 | Ameriforge Group Inc., Term Loan Non-PIK, (3M LIBOR + 9.000%), 14.000%, 6/01/22 | 51,523 | ||
457,775 | Cornerstone Building Brands Inc., New Term Loan B, (1M LIBOR + 3.250%), 3.750%, 4/12/28 | 456,251 | ||
442,775 | CP Atlas Buyer Inc., Term B Loan, (3M LIBOR + 3.750%), 4.250%, 11/23/27 | 441,115 | ||
176,648 | First Student Bidco Inc., Initial Term B Loan, (3M LIBOR + 3.000%), 3.500%, 7/13/28 | 175,588 | ||
65,206 | First Student Bidco Inc., Initial Term C Loan, (3M LIBOR + 3.000%), 3.500%, 7/21/28 | 64,815 | ||
199,500 | Ingram Micro Inc., Initial Term Loan, (3M LIBOR + 3.500%), 4.000%, 6/30/28 | 199,899 | ||
121,779 | Madison IAQ LLC, Initial Term Loan, (6M LIBOR + 3.250%), 3.750%, 6/21/28 | 121,575 | ||
602,650 | PowerTeam Services LLC, Initial Term Loan (First Lien), (3M LIBOR + 3.250%), 4.250%, 3/06/25 | 597,190 | ||
585,000 | PowerTeam Services LLC, Initial Term Loan (Second Lien), (3M LIBOR + 7.250%), 8.250%, 3/06/26 | 579,150 | ||
737,545 | Quikrete Holdings, Inc., Initial Loan (First Lien), (1M LIBOR + 2.500%), 2.584%, 2/01/27 | 730,936 | ||
348 | Spirit Aerosystems Inc., Initial Term Loan, (1M LIBOR + 5.250%), 6.000%, 1/15/25 | 349 | ||
875,875 | Summit Materials LLC, New Term Loan B, (1M LIBOR + 2.000%), 2.084%, 11/21/24 | 873,957 | ||
852,475 | Transdigm Inc., Tranche F Refinancing Term Loan, (1M LIBOR + 2.250%), 2.334%, 12/09/25 | 841,819 | ||
411 | UTEX Industries, Inc. Second Out Exit Term Loan - PIK, 9.500%, 12/03/25(G) | 399 | ||
717,777 | Vertical Midco Gmbh, Term Loan B, (6M LIBOR + 3.500%), 4.000%, 7/30/27 | 718,775 | ||
500,000 | Welbilt Inc., Term Loan, (1M LIBOR + 2.500%), 2.584%, 10/23/25 | 498,335 | ||
1,504,325 | Wilsonart LLC, Tranche E Term Loan, (3M LIBOR + 3.500%), 4.500%, 12/31/26 | 1,504,791 | ||
575,547 | WireCo WorldGroup, Inc., (3M LIBOR + 5.000%), 6.000%, 9/30/23 | 575,306 | ||
368,320 | Zodiac Pool Solutions LLC, Tranche B1 USD, (1M LIBOR + 2.000%), 2.084%, 7/02/25 | 366,323 | ||
9,169,840 | ||||
Financials — 3.1% | ||||
361,175 | Acrisure LLC, Term Loan B 2020, (3M LIBOR + 3.500%), 3.632%, 2/15/27 | 357,487 | ||
498,214 | Asurion LLC, New B-7 Term Loan, (1M LIBOR + 3.000%), 3.084%, 11/03/24 | 492,609 | ||
460,363 | Asurion LLC, New B-8 Term Loan, 3.334%, 12/23/26(G) | 453,292 | ||
289,608 | Asurion LLC, Replacement B-6 Term Loan, (1M LIBOR + 3.125%), 3.209%, 11/03/23 | 287,798 |
Principal Amount | Market Value | |||
Financials — (Continued) | ||||
$ 720,000 | Asurion LLC, Second Lien Term Loan B3, (1M LIBOR + 5.250%), 5.334%, 1/31/28 | $ 717,451 | ||
592,747 | Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan, (1M LIBOR + 3.750%), 4.750%, 4/09/27 | 593,951 | ||
262,709 | HIG Finance 2 Limited, 2020 Dollar Incremental Term Loan, (3M LIBOR + 3.750%), 4.750%, 11/12/27 | 262,381 | ||
114,000 | Hightower Holding LLC, (3M LIBOR + 4.000%), 4.750%, 4/21/28 | 113,858 | ||
552,057 | HighTower Holding LLC, Initial Term Loan, (3M LIBOR + 4.000%), 4.750%, 4/21/28 | 551,367 | ||
264,334 | Howden Group Holdings, Ltd., (1M LIBOR + 3.250%), 4.000%, 11/12/27 | 263,840 | ||
952,988 | HUB International Ltd, Initial Term Loan, (3M LIBOR + 2.750%), 2.875%, 4/25/25 | 943,362 | ||
663,259 | NFP Corp, Closing Date Term Loan, (1M LIBOR + 3.250%), 3.334%, 2/15/27 | 655,916 | ||
375,000 | Russell Investments US Institutional Holdco Inc., New 2025 Term Loan, (6M LIBOR + 3.500%), 4.500%, 5/30/25 | 375,469 | ||
267,300 | Ryan Specialty Group, LLC, Term Loan B-1, (1M LIBOR + 3.000%), 3.750%, 9/01/27 | 267,033 | ||
1,140,826 | Sedgwick Claims Management Services Inc., Term Loan, (1M LIBOR + 3.250%), 3.334%, 12/31/25 | 1,131,380 | ||
1,057,515 | USI Inc., Term Loan B, (3M LIBOR + 3.000%), 3.132%, 5/16/24 | 1,049,774 | ||
8,516,968 | ||||
Energy — 1.4% | ||||
1,805,353 | Gulf Finance LLC, Tranche B Term Loan, (1M LIBOR + 5.250%), 6.250%, 8/25/23 | 1,732,381 | ||
691,112 | Medallion Midland Acquisition LLC, Initial Term Loan, (1M LIBOR + 3.250%), 4.250%, 10/30/24 | 686,218 | ||
587,716 | NorthRiver Midstream Finance LP, Initial Term B Loan, (3M LIBOR + 3.250%), 3.395%, 10/01/25 | 586,164 | ||
852,145 | PES Holdings LLC, Tranche C Loan Non-PIK, 6.311%, 12/31/22(G) | 12,782 | ||
270,343 | Traverse Midstream Partners LLC, Advance, (1M LIBOR + 5.500%), 6.500%, 9/27/24 | 270,343 | ||
733,770 | Woodford Express LLC, Initial Term Loan, (3M LIBOR + 5.000%), 6.000%, 1/27/25 | 720,379 | ||
4,008,267 | ||||
Materials — 0.7% | ||||
302,240 | Aruba Investments Holdings LLC, Second Lien Initial Term Loan, (6M LIBOR + 7.750%), 8.500%, 11/24/28 | 302,995 | ||
387,110 | Axalta Coating Systems US Holdings, Inc., Term B-3 Dollar Loan, (3M LIBOR + 1.750%), 1.882%, 6/01/24 | 385,949 | ||
200,719 | BWay Holding Company, Initial Term Loan, (1M LIBOR + 3.250%), 3.334%, 4/03/24 | 196,421 | ||
254,362 | Ineos US Petrochem LLC, 2026 Tranche B Dollar Term Loan, (1M LIBOR + 2.750%), 3.250%, 1/29/26 | 254,362 | ||
348,517 | Messer Industries USA Inc., Initial Term B-1 Loan, (3M LIBOR + 2.500%), 2.584%, 3/02/26 | 346,513 | ||
553,792 | Tronox Finance LLC, First Lien Term Loan B, (1M LIBOR + 2.250%), 2.334%, 3/10/28 | 551,272 | ||
2,037,512 | ||||
Total Bank Loans | $92,113,124 | |||
Asset-Backed Securities — 4.6% | ||||
250,000 | AMMC CLO 22 Ltd. (Cayman Islands), Ser 2018-22X, Class SUB, 4/25/31(D)(H) | 162,739 | ||
340,000 | Atrium XV (Cayman Islands), Ser 15A, Class SUB, 144a, 1/23/31(D)(H) | 244,740 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 4.6% (Continued) | ||||
$1,000,000 | Bain Capital Credit CLO (Cayman Islands), Ser 2019-2A, Class ER, 144a, (3M LIBOR +6.320%), 10/17/32(D)(H) | $ 997,500 | ||
250,000 | Bain Capital Credit CLO Ltd. (Cayman Islands), Ser 2019-4A, Class D, 144a, (3M LIBOR +4.250%), 4.388%, 1/23/33(D) | 250,986 | ||
500,000 | Cedar Funding IV CLO Ltd. (Cayman Islands), Ser 2014-4A, Class ERR, 144a, (3M LIBOR +6.610%), 6.748%, 7/23/34(D) | 496,446 | ||
1,000,000 | CIFC Funding Ltd., Ser 2019-4A, Class DR, 144a, 10/15/34(D)(H) | 1,000,000 | ||
250,000 | Dryden 45 Senior Loan Fund (Cayman Islands), Ser 2016-45A, Class ER, 144a, (3M LIBOR +5.850%), 5.976%, 10/15/30(D) | 244,582 | ||
250,000 | Dryden 57 CLO Ltd. (Cayman Islands), Ser 2018-57A, Class E, 144a, (3M LIBOR +5.200%), 5.325%, 5/15/31(D) | 238,980 | ||
250,000 | Dryden 78 CLO Ltd. (Cayman Islands), Ser 2020-78A, Class SUB, 144a, 4/17/33(D)(H) | 228,256 | ||
250,000 | Elmwood CLO VIII Ltd. (Cayman Islands), Ser 2021-1A, Class F1, 144a, (3M LIBOR +8.000%), 8.134%, 1/20/34(D) | 249,159 | ||
500,000 | Fillmore Park CLO Ltd. (Cayman Islands), Ser 2018-1A, Class E, 144a, (3M LIBOR +5.400%), 5.526%, 7/15/30(D) | 489,904 | ||
300,000 | Madison Park Funding XII Ltd. (Cayman Islands), Ser 2014-12A, Class SUB, 144a, 7/20/26(D)(H) | 92,011 | ||
500,000 | Madison Park Funding XXII Ltd. (Cayman Islands), Ser 2016-22A, Class ER, 144a, (3M LIBOR +6.700%), 6.826%, 1/15/33(D) | 499,341 | ||
1,000,000 | Madison Park Funding XXII Ltd. (Cayman Islands), Ser 2016-22A, Class SUB, 144a, 1/15/33(D)(H) | 772,847 | ||
500,000 | Madison Park Funding XXVIII Ltd. (Cayman Islands), Ser 2018-28A, Class SUB, 144a, 7/15/30(D)(H) | 381,841 | ||
250,000 | Madison Park Funding XXXI Ltd. (Cayman Islands), Ser 2018-31A, Class SUB, 144a, 1/23/48(D)(H) | 205,103 | ||
540,000 | Madison Park Funding XXXVII Ltd. (Cayman Islands), Ser 2019-37A, Class SUB, 144a, 7/15/49(D)(H) | ��� 559,942 | ||
500,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2018-1A, Class SUB, 144a, 10/20/30(D)(H) | 275,153 | ||
250,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2019-2A, Class D, 144a, (3M LIBOR +6.770%), 6.896%, 4/15/31(D) | 239,900 | ||
500,000 | Oaktree CLO Ltd. (Cayman Islands), Ser 2019-3A, Class E, 144a, (3M LIBOR +6.770%), 6.904%, 7/20/31(D) | 500,000 | ||
250,000 | Octagon Loan Funding Ltd. (Cayman Islands), Ser 2014-1A, Class DRR, 144a, (3M LIBOR +2.900%), 3.024%, 11/18/31(D) | 248,767 | ||
350,000 | OHA Loan Funding Ltd. (Cayman Islands), Ser 2016-1A, Class SUB, 144a, 1/20/33(D)(H) | 278,298 | ||
500,000 | OZLM XXI Ltd. (Cayman Islands), Ser 2017-21A, Class SUB, 144a, 1/20/31(D)(H) | 289,216 | ||
500,000 | RR 6 Ltd. (Cayman Islands), Ser 2019-6A, Class SUB, 144a, 4/15/36(D)(H) | 543,965 | ||
250,000 | Signal Peak CLO 7 Ltd. (Cayman Islands), Ser 2019-1A, Class E, 144a, (3M LIBOR +6.890%), 7.018%, 4/30/32(D) | 250,118 | ||
500,000 | Steele Creek CLO Ltd. (Cayman Islands), Ser 2019-2A, Class E, 144a, (3M LIBOR +7.700%), 7.826%, 7/15/32(D) | 487,515 | ||
250,000 | TCI-Flatiron CLO Ltd. (Cayman Islands), Ser 2017-1A, Class D, 144a, (3M LIBOR +2.750%), 2.874%, 11/18/30(D) | 250,000 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 4.6% (Continued) | ||||
$ 500,000 | Thompson Park CLO Ltd. (Cayman Islands), Ser 2021-1A, Class E, 144a, (3M LIBOR +6.310%), 6.509%, 4/15/34(D) | $ 499,606 | ||
1,000,000 | Voya CLO Ltd., Ser 2020-3A, Class ER, 144a, 10/20/34(D)(H) | 1,000,000 | ||
250,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2018-3A, Class D, 144a, (3M LIBOR +6.250%), 6.384%, 1/20/32(D) | 242,647 | ||
250,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2018-3A, Class SUB, 144a, 1/20/32(D)(H) | 176,465 | ||
280,000 | Wellfleet CLO Ltd. (Cayman Islands), Ser 2020-1A, Class SUB, 144a, 4/15/33(D)(H) | 213,178 | ||
Total Asset-Backed Securities | $12,609,205 |
Shares | ||||
Common Stocks — 2.0% | ||||
Energy — 1.5% | ||||
70,000 | Antero Resources Corp.* | 1,316,700 | ||
187,384 | Ascent Resources Marcellus Holdings, LLC* | 0 | ||
17,856 | Extraction Oil & Gas, Inc.* | 1,007,971 | ||
932 | Extraction Oil & Gas, Inc.(I) | 52,612 | ||
9,907 | Foresight Energy LLC | 138,697 | ||
73,177 | FTS International, Inc. - Class A* | 1,800,154 | ||
4,316,134 | ||||
Industrials — 0.5% | ||||
2,571 | Allegiant Travel Co.* | 502,579 | ||
12,500 | Delta Air Lines, Inc.* | 532,625 | ||
23,087 | Tutor Perini Corp.* | 299,669 | ||
1,334,873 | ||||
Information Technology — 0.0% | ||||
14,309 | AFG Holdings, Inc. | 21,464 | ||
8,386 | Aquity Holdings, Inc. New Escrow | 1,048 | ||
22,512 | ||||
Total Common Stocks | $5,673,519 | |||
Exchange-Traded Fund — 0.4% | ||||
43,000 | US Global Jets ETF | 1,016,090 | ||
Warrants — 0.0% | ||||
Energy — 0.0% | ||||
48,515 | Ascent Resources Marcellus Holdings, LLC, Exp 3/30/23, Price 0.00* | 0 | ||
Total Warrants | $0 |
Number of Contracts | Notional Amount | |||
Purchased Options — 0.0% | ||||
Purchased Call Options — 0.0% | ||||
565 | Antero Resources Corp., Strike @21.00, Exp 11/21 | $1,062,765 | 64,964 | |
64 | Chicago Board Options Exchange Volatility Index, Strike @30.00, Exp 10/21(A) | 148,096 | 8,320 | |
Total Purchased Options | $73,284 |
Shares | MarketValue | |||
Short-Term Investment Funds — 2.5% | ||||
5,725,697 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | $ 5,725,697 | ||
1,191,570 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 1,191,570 | ||
Total Short-Term Investment Funds | $6,917,267 | |||
Total Long Positions—95.1% (Cost $262,686,480) | $263,797,859 |
Principal Amount | ||||
Securities Sold Short — (0.3)% | ||||
Corporate Bonds — (0.3)% | ||||
Consumer Staples — (0.1)% | ||||
$ (500,000) | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., 7.000%, 12/31/27 | (478,750) | ||
Consumer Discretionary — (0.2)% | ||||
(500,000) | Sally Holdings LLC / Sally Capital, Inc., 5.625%, 12/01/25 | (512,255) | ||
Total Corporate Bonds | $(991,005) | |||
Total Securities Sold Short (Proceeds $998,255) | $(991,005) |
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 10/21 | $ 148,096 | (3,840) | |
Total Written Options (Premiums received $4,862) | $(3,840) | |||
Total Investment Securities—94.8% | $262,803,014 | |||
Other Assets in Excess of Liabilities — 5.2% | 14,463,693 | |||
Net Assets — 100.0% | $277,266,707 |
(A) | All or a portion of these securities are pledged as collateral for securities sold short. The total value of the securities pledged as collateral as of September 30, 2021 was $2,887,322. |
(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) | Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amounts. |
(D) | Variable rate security - Rate reflected is the rate in effect as of September 30, 2021. |
(E) | Bank loans pay interest at rates which adjust periodically unless otherwise indicated. The interest rates shown are the current interest rates as of September 30, 2021. |
(F) | The referenced index is less than 0.00% as of September 30, 2021. The loan has an interest rate floor whereby the floating rate used the coupon rate calculation cannot be less than zero. |
(G) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(H) | 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. |
(I) | Security is subject to restrictions on resale. At September 30, 2021, these securities were valued at $52,612 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 September 30, 2021 was $1,134,003. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2021. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
ETF – Exchange-Traded Fund |
EUR – Euro |
EURIBOR – Euro Interbank Offered Rate |
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 |
MTN – Medium Term Note |
PIK – Payment In Kind |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
USD – United States Dollar |
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 September 30, 2021, these securities were valued at $136,432,705 or 49.2% 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 | $— | $145,395,369 | $1 | $145,395,370 |
Bank Loans | — | 92,113,124 | — | 92,113,124 |
Asset-Backed Securities | — | 12,609,205 | — | 12,609,205 |
Common Stocks | 5,512,310 | 161,209 | — | 5,673,519 |
Exchange-Traded Fund | 1,016,090 | — | — | 1,016,090 |
Warrants | — | 0 | — | 0 |
Purchased Call Options | ||||
Equity contracts | 73,284 | — | — | 73,284 |
Short-Term Investment Funds | 6,917,267 | — | — | 6,917,267 |
Other Financial Instruments | ||||
Foreign currency exchange contracts | — | 102,844 | — | 102,844 |
Total Assets | $13,518,951 | $250,381,751 | $1 | $263,900,703 |
Liabilities: | ||||
Securities Sold Short | ||||
Corporate Bonds | $— | $(991,005) | $— | $(991,005) |
Other Financial Instruments | ||||
Swap Agreements | ||||
Credit contracts | — | (56,669) | — | (56,669) |
Written Options | ||||
Equity contracts | (3,840) | — | — | (3,840) |
Total Liabilities | $(3,840) | $(1,047,674) | $— | $(1,051,514) |
Total | $13,515,111 | $249,334,077 | $1 | $262,849,189 |
Measurements Using Unobservable Inputs (Level 3) | |
Assets | |
Beginning balance, September 30, 2020 | $— |
Transfer into Level 3 | 1 |
Net realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | — |
Ending balance, September 30, 2021 | $1 |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at September 30, 2021 | $— |
Corporate Bond | Fair Value | Valuation Technique | Unobservable Input |
Digicel Group Ltd. | $1 | Discounted Market Value | 99.9% Discount Rate |
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 | $630 | $22,642 | $(22,012) |
Wells Fargo | 6/20/25 | $500,000 | 5.000% | ICE | American Axle & Manufacturing Inc. USD SR 5Y D14 | $(35,673) | $(3,115) | $(32,558) |
Wells Fargo | 12/20/25 | $793,750 | 5.000% | ICE | Markit CDX North America High Yield Series 33 5Y Index | $(72,345) | $(70,246) | $(2,099) |
$(56,669) |
(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 | ||
Wells Fargo | 10/28/2021 | USD | 9,004,488 | EUR | 7,692,593 | $89,081 |
Wells Fargo | 10/28/2021 | USD | 837,160 | GBP | 611,079 | 13,763 |
$102,844 |
Shares | Market Value | |||
Common Stocks — 99.9% | ||||
Information Technology — 23.9% | ||||
178,880 | Analog Devices, Inc. | $ 29,958,822 | ||
585,473 | Apple, Inc. | 82,844,429 | ||
192,364 | Automatic Data Processing, Inc. | 38,457,411 | ||
117,934 | Broadcom, Inc. | 57,189,735 | ||
1,362,976 | Cisco Systems, Inc. | 74,186,784 | ||
1,250,621 | Intel Corp. | 66,633,087 | ||
439,651 | International Business Machines Corp. | 61,080,713 | ||
137,525 | KLA Corp. | 46,003,488 | ||
562,769 | Microsoft Corp. | 158,655,836 | ||
867,182 | Oracle Corp. | 75,557,568 | ||
357,010 | Paychex, Inc. | 40,145,775 | ||
386,482 | QUALCOMM, Inc. | 49,848,448 | ||
203,375 | TE Connectivity Ltd. | 27,907,118 | ||
402,473 | Texas Instruments, Inc. | 77,359,335 | ||
885,828,549 | ||||
Financials — 14.0% | ||||
206,335 | Arthur J Gallagher & Co. | 30,671,698 | ||
72,600 | BlackRock, Inc. | 60,886,716 | ||
192,769 | Goldman Sachs Group, Inc. (The) | 72,872,465 | ||
2,064,032 | Huntington Bancshares, Inc. | 31,909,935 | ||
434,290 | JPMorgan Chase & Co. | 71,088,930 | ||
329,739 | MetLife, Inc. | 20,354,788 | ||
407,211 | Principal Financial Group, Inc. | 26,224,388 | ||
210,730 | Prudential Financial, Inc. | 22,168,796 | ||
284,871 | T Rowe Price Group, Inc. | 56,034,126 | ||
418,053 | Truist Financial Corp. | 24,518,808 | ||
408,383 | US Bancorp | 24,274,286 | ||
1,656,993 | Wells Fargo & Co. | 76,901,045 | ||
517,905,981 | ||||
Health Care — 13.5% | ||||
396,349 | AbbVie, Inc. | 42,754,167 | ||
206,140 | AmerisourceBergen Corp. | 24,623,423 | ||
1,127,159 | Bristol-Myers Squibb Co. | 66,693,998 | ||
476,997 | CVS Health Corp. | 40,477,965 | ||
265,968 | Gilead Sciences, Inc. | 18,577,865 | ||
137,972 | HCA Healthcare, Inc. | 33,488,564 | ||
472,484 | Johnson & Johnson | 76,306,166 | ||
378,887 | Medtronic PLC | 47,493,486 | ||
537,900 | Merck & Co., Inc. | 40,401,669 | ||
1,209,237 | Pfizer, Inc. | 52,009,283 | ||
151,318 | UnitedHealth Group, Inc. | 59,125,995 | ||
501,952,581 | ||||
Consumer Discretionary — 10.2% | ||||
179,630 | Dollar General Corp. | 38,106,708 | ||
208,618 | Home Depot, Inc. (The) | 68,480,945 | ||
295,302 | McDonald's Corp. | 71,200,265 | ||
493,300 | Starbucks Corp. | 54,415,923 | ||
131,296 | Target Corp. | 30,036,586 | ||
490,115 | VF Corp. | 32,832,804 | ||
141,828 | Whirlpool Corp. | 28,913,056 | ||
444,410 | Yum! Brands, Inc. | 54,355,787 | ||
378,342,074 | ||||
Industrials — 10.0% | ||||
278,507 | 3M Co. | 48,855,698 | ||
203,173 | Caterpillar, Inc. | 39,003,121 | ||
104,761 | Cummins, Inc. | 23,525,130 | ||
84,275 | Deere & Co. | 28,238,024 | ||
217,446 | Eaton Corp. PLC | 32,466,862 | ||
207,521 | Lockheed Martin Corp. | 71,615,497 |
Shares | Market Value | |||
Industrials — (Continued) | ||||
125,521 | Parker-Hannifin Corp. | $ 35,098,182 | ||
853,000 | Raytheon Technologies Corp. | 73,323,880 | ||
90,987 | United Parcel Service, Inc. - Class B | 16,568,733 | ||
368,695,127 | ||||
Communication Services — 8.6% | ||||
1,522,069 | AT&T, Inc. | 41,111,084 | ||
1,595,921 | Comcast Corp. - Class A | 89,259,861 | ||
1,120,098 | Fox Corp. - Class A | 44,927,131 | ||
1,114,686 | Interpublic Group of Cos., Inc. (The) | 40,875,536 | ||
516,379 | Omnicom Group, Inc. | 37,416,822 | ||
1,211,591 | Verizon Communications, Inc. | 65,438,030 | ||
319,028,464 | ||||
Consumer Staples — 7.0% | ||||
925,605 | Coca-Cola Co. (The) | 48,566,494 | ||
278,151 | Kimberly-Clark Corp. | 36,838,319 | ||
412,420 | PepsiCo, Inc. | 62,032,092 | ||
652,235 | Philip Morris International, Inc. | 61,825,356 | ||
284,054 | Sysco Corp. | 22,298,239 | ||
208,700 | Walmart, Inc. | 29,088,606 | ||
260,649,106 | ||||
Energy — 4.4% | ||||
384,726 | Chevron Corp. | 39,030,453 | ||
673,625 | Exxon Mobil Corp. | 39,622,623 | ||
586,207 | Phillips 66 | 41,052,076 | ||
615,250 | Valero Energy Corp. | 43,418,192 | ||
163,123,344 | ||||
Utilities — 2.9% | ||||
659,259 | Dominion Energy, Inc. | 48,139,092 | ||
324,003 | Duke Energy Corp. | 31,619,453 | ||
353,173 | NextEra Energy, Inc. | 27,731,144 | ||
107,489,689 | ||||
Materials — 2.8% | ||||
110,884 | Air Products & Chemicals, Inc. | 28,398,501 | ||
825,149 | DuPont de Nemours, Inc. | 56,101,881 | ||
65,238 | Linde PLC (United Kingdom) | 19,139,524 | ||
103,639,906 | ||||
Real Estate — 2.6% | ||||
188,530 | Alexandria Real Estate Equities, Inc. REIT | 36,022,427 | ||
137,893 | American Tower Corp. REIT | 36,598,181 | ||
190,746 | Simon Property Group, Inc. REIT | 24,791,258 | ||
97,411,866 | ||||
Total Common Stocks | $3,704,066,687 | |||
Short-Term Investment Fund — 0.6% | ||||
20,474,072 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 20,474,072 | ||
Total Investment Securities—100.5% (Cost $3,643,459,044) | $3,724,540,759 | |||
Liabilities in Excess of Other Assets — (0.5%) | (18,243,668) | |||
Net Assets — 100.0% | $3,706,297,091 |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 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 | $3,704,066,687 | $— | $— | $3,704,066,687 |
Short-Term Investment Fund | 20,474,072 | — | — | 20,474,072 |
Total | $3,724,540,759 | $— | $— | $3,724,540,759 |
Principal Amount | Market Value | |||
Corporate Bonds — 99.8% | ||||
Energy — 16.4% | ||||
$ 181,000 | Antero Resources Corp., 144a, 5.375%, 3/1/30 | $ 190,620 | ||
288,000 | Antero Resources Corp., 144a, 7.625%, 2/1/29 | 321,984 | ||
1,383,000 | Apache Corp., 4.875%, 11/15/27 | 1,508,189 | ||
595,000 | Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144a, 7.000%, 11/1/26 | 615,069 | ||
1,221,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 6.625%, 7/15/26 | 1,275,945 | ||
458,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., 144a, 7.625%, 12/15/25 | 495,213 | ||
297,000 | Bristow Group, Inc., 144a, 6.875%, 3/1/28 | 309,034 | ||
771,000 | California Resources Corp., 144a, 7.125%, 2/1/26 | 813,640 | ||
1,975,000 | CQP Holdco LP / BIP-V Chinook Holdco LLC, 144a, 5.500%, 6/15/31 | 2,100,511 | ||
467,000 | CVR Energy, Inc., 144a, 5.250%, 2/15/25 | 462,330 | ||
429,000 | DT Midstream, Inc., 144a, 4.125%, 6/15/29 | 435,032 | ||
1,277,000 | Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 1,273,808 | ||
312,000 | Genesis Energy LP / Genesis Energy Finance Corp., 8.000%, 1/15/27 | 316,742 | ||
194,000 | Global Partners LP / GLP Finance Corp., 6.875%, 1/15/29 | 201,366 | ||
147,000 | Global Partners LP / GLP Finance Corp., 7.000%, 8/1/27 | 153,248 | ||
283,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 5.750%, 2/1/29 | 290,783 | ||
225,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 5.750%, 10/1/25 | 227,531 | ||
283,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 6.250%, 11/1/28 | 293,250 | ||
610,000 | Independence Energy Finance LLC, 144a, 7.250%, 5/1/26 | 628,123 | ||
326,000 | MEG Energy Corp. (Canada), 144a, 7.125%, 2/1/27 | 342,238 | ||
724,000 | Murphy Oil Corp., 6.375%, 7/15/28 | 765,630 | ||
1,072,000 | NuStar Logistics LP, 5.625%, 4/28/27 | 1,141,680 | ||
531,000 | NuStar Logistics LP, 6.000%, 6/1/26 | 573,480 | ||
657,000 | Occidental Petroleum Corp., 4.200%, 3/15/48 | 629,078 | ||
284,000 | Occidental Petroleum Corp., 6.125%, 1/1/31 | 340,800 | ||
438,000 | Occidental Petroleum Corp., 6.375%, 9/1/28 | 512,460 | ||
597,000 | Occidental Petroleum Corp., 6.625%, 9/1/30 | 736,549 | ||
502,000 | Occidental Petroleum Corp., 8.500%, 7/15/27 | 628,720 | ||
923,000 | Parkland Corp. (Canada), 144a, 4.500%, 10/1/29 | 935,553 | ||
756,000 | Precision Drilling Corp. (Canada), 144a, 6.875%, 1/15/29 | 789,600 | ||
245,000 | Rockies Express Pipeline LLC, 144a, 4.950%, 7/15/29 | 254,800 | ||
788,000 | Southwestern Energy Co., 8.375%, 9/15/28 | 892,591 | ||
165,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 5.500%, 1/15/28 | 168,919 | ||
915,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 144a, 6.000%, 12/31/30 | 938,854 | ||
1,091,000 | TerraForm Power Operating LLC, 144a, 5.000%, 1/31/28 | 1,172,825 | ||
140,000 | Weatherford International, Ltd., 144a, 6.500%, 9/15/28 | 144,200 | ||
22,880,395 | ||||
Communication Services — 15.3% | ||||
666,000 | Altice Financing SA (Luxembourg), 144a, 5.750%, 8/15/29 | 647,452 | ||
483,000 | Altice Financing SA (Luxembourg), 144a, 5.000%, 1/15/28 | 460,413 | ||
514,000 | Altice France SA (France), 144a, 5.125%, 7/15/29 | 504,763 | ||
446,000 | Altice France SA (France), 144a, 5.500%, 10/15/29 | 441,488 | ||
875,000 | AMC Networks, Inc., 4.250%, 2/15/29 | 870,078 | ||
478,000 | Belo Corp., 7.250%, 9/15/27 | 555,675 | ||
337,000 | C&W Senior Financing DAC (Ireland), 144a, 6.875%, 9/15/27 | 354,271 | ||
626,000 | Cars.com, Inc., 144a, 6.375%, 11/1/28 | 660,430 |
Principal Amount | Market Value | |||
Communication Services — (Continued) | ||||
$ 97,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | $ 98,455 | ||
138,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.500%, 5/1/32 | 141,968 | ||
627,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.750%, 3/1/30 | 655,102 | ||
836,000 | Connect Finco SARL / Connect US Finco LLC (United Kingdom), 144a, 6.750%, 10/1/26 | 874,665 | ||
467,000 | CSC Holdings LLC, 144a, 3.375%, 2/15/31 | 434,310 | ||
1,268,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 1,201,430 | ||
720,000 | CSC Holdings LLC, 144a, 5.750%, 1/15/30 | 730,670 | ||
315,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 144a, 5.375%, 8/15/26 | 207,900 | ||
774,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 144a, 6.625%, 8/15/27 | 338,625 | ||
975,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 144a, 5.875%, 8/15/27 | 1,017,656 | ||
228,000 | Frontier Communications Corp., 144a, 5.875%, 10/15/27 | 242,250 | ||
351,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., 144a, 3.500%, 3/1/29 | 347,929 | ||
245,000 | LCPR Senior Secured Financing DAC, 144a, 5.125%, 7/15/29 | 252,962 | ||
444,000 | LCPR Senior Secured Financing DAC (Ireland), 144a, 6.750%, 10/15/27 | 470,640 | ||
1,032,000 | LogMeIn, Inc., 144a, 5.500%, 9/1/27 | 1,051,226 | ||
266,000 | Lumen Technologies, Inc., 144a, 5.375%, 6/15/29 | 269,990 | ||
136,000 | Match Group Holdings II LLC, 144a, 3.625%, 10/1/31 | 134,246 | ||
673,000 | Midas OpCo Holdings LLC, 144a, 5.625%, 8/15/29 | 696,387 | ||
750,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 144a, 4.750%, 4/30/27 | 750,000 | ||
1,196,000 | Photo Holdings Merger Sub, Inc., 144a, 8.500%, 10/1/26 | 1,293,175 | ||
408,000 | Sprint Capital Corp, 6.875%, 11/15/28 | 522,240 | ||
300,000 | Summer BC Bidco B LLC, 144a, 5.500%, 10/31/26 | 307,470 | ||
200,000 | Switch Ltd., 144a, 4.125%, 6/15/29 | 205,250 | ||
230,000 | Telecom Italia Capital SA (Italy), 6.000%, 9/30/34 | 258,175 | ||
562,000 | Telecom Italia Capital SA (Italy), 6.375%, 11/15/33 | 653,999 | ||
334,000 | T-Mobile USA, Inc., 144a, 3.375%, 4/15/29 | 348,445 | ||
939,000 | Univision Communications, Inc., 144a, 4.500%, 5/1/29 | 954,259 | ||
294,000 | Virgin Media Finance PLC (United Kingdom), 144a, 5.000%, 7/15/30 | 300,280 | ||
200,000 | Virgin Media Secured Finance PLC (United Kingdom), 144a, 5.500%, 5/15/29 | 211,772 | ||
848,000 | Vmed O2 UK Financing I PLC (United Kingdom), 144a, 4.750%, 7/15/31 | 866,385 | ||
335,000 | Zayo Group Holdings, Inc., 144a, 4.000%, 3/1/27 | 333,402 | ||
650,000 | Ziggo Bond Co. BV (Netherlands), 144a, 5.125%, 2/28/30 | 666,380 | ||
21,332,213 | ||||
Consumer Staples — 12.9% | ||||
580,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.000%, 10/15/30 | 574,200 | ||
80,000 | 1011778 BC ULC / New Red Finance, Inc. (Canada), 144a, 4.375%, 1/15/28 | 81,217 | ||
446,000 | ACCO Brands Corp., 144a, 4.250%, 3/15/29 | 447,829 | ||
650,000 | AHP Health Partners, Inc., 144a, 5.750%, 7/15/29 | 656,500 | ||
328,000 | Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144a, 5.750%, 7/15/27 | 341,871 | ||
289,000 | CHS/Community Health Systems, Inc., 144a, 6.875%, 4/15/29 | 289,322 | ||
699,000 | Gap, Inc. (The), 144a, 3.875%, 10/1/31 | 699,874 | ||
835,000 | Ingles Markets, Inc., 144a, 4.000%, 6/15/31 | 845,438 | ||
564,000 | JBS Finance Luxembourg Sarl, 144a, 3.625%, 1/15/32 | 574,581 |
Principal Amount | Market Value | |||
Corporate Bonds — 99.8% (Continued) | ||||
Consumer Staples — (Continued) | ||||
$ 167,000 | JBS USA LUX SA / JBS USA Finance, Inc., 144a, 6.750%, 2/15/28 | $ 181,197 | ||
597,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 3.750%, 12/1/31 | 621,196 | ||
381,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 5.500%, 1/15/30 | 423,756 | ||
997,000 | Macy's Retail Holdings LLC, 144a, 5.875%, 4/1/29† | 1,081,745 | ||
529,000 | NESCO Holdings II, Inc., 144a, 5.500%, 4/15/29 | 548,679 | ||
616,000 | Papa John's International, Inc., 144a, 3.875%, 9/15/29 | 611,306 | ||
676,000 | Performance Food Group, Inc., 144a, 4.250%, 8/1/29 | 677,690 | ||
1,013,000 | Pilgrim's Pride Corp., 144a, 3.500%, 3/1/32 | 1,030,094 | ||
298,000 | Pilgrim's Pride Corp., 144a, 4.250%, 4/15/31 | 320,201 | ||
269,000 | Post Holdings, Inc., 144a, 4.500%, 9/15/31 | 265,807 | ||
314,000 | Post Holdings, Inc., 144a, 4.625%, 4/15/30 | 316,427 | ||
908,000 | Primo Water Holdings, Inc. (Canada), 144a, 4.375%, 4/30/29 | 907,750 | ||
1,325,000 | QVC, Inc., 4.375%, 9/1/28 | 1,369,719 | ||
448,000 | QVC, Inc., 4.750%, 2/15/27 | 474,880 | ||
1,163,000 | SEG Holding LLC / SEG Finance Corp., 144a, 5.625%, 10/15/28 | 1,212,427 | ||
325,000 | Triton Water Holdings, Inc., 144a, 6.250%, 4/1/29 | 330,281 | ||
1,689,000 | Turning Point Brands, Inc., 144a, 5.625%, 2/15/26 | 1,760,782 | ||
966,000 | United Rentals North America, Inc., 3.750%, 1/15/32 | 976,868 | ||
334,000 | Wolverine World Wide, Inc., 144a, 4.000%, 8/15/29 | 337,340 | ||
17,958,977 | ||||
Industrials — 12.4% | ||||
683,000 | American Builders & Contractors Supply Co., Inc., 144a, 3.875%, 11/15/29 | 681,088 | ||
306,000 | BWX Technologies, Inc., 144a, 4.125%, 6/30/28 | 314,033 | ||
1,382,000 | Cimpress PLC (Ireland), 144a, 7.000%, 6/15/26 | 1,441,315 | ||
415,000 | Delta Air Lines, Inc., 3.750%, 10/28/29 | 422,440 | ||
941,000 | Dycom Industries, Inc., 144a, 4.500%, 4/15/29 | 946,599 | ||
976,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 6.500%, 10/1/25 | 1,006,607 | ||
348,000 | GFL Environmental, Inc. (Canada), 144a, 3.500%, 9/1/28 | 350,175 | ||
1,000,000 | Granite US Holdings Corp., 144a, 11.000%, 10/1/27 | 1,095,000 | ||
937,000 | H&E Equipment Services, Inc., 144a, 3.875%, 12/15/28 | 934,657 | ||
467,000 | Howmet Aerospace, Inc., 3.000%, 1/15/29 | 469,919 | ||
86,000 | Howmet Aerospace, Inc., 5.950%, 2/1/37 | 107,070 | ||
214,000 | Howmet Aerospace, Inc., 6.750%, 1/15/28 | 260,545 | ||
1,165,000 | Imola Merger Corp., 144a, 4.750%, 5/15/29 | 1,204,738 | ||
685,000 | Meritor, Inc., 144a, 4.500%, 12/15/28 | 686,713 | ||
159,000 | Meritor, Inc., 144a, 6.250%, 6/1/25 | 167,141 | ||
606,000 | Moog, Inc., 144a, 4.250%, 12/15/27 | 622,665 | ||
652,000 | New Enterprise Stone & Lime Co., Inc., 144a, 5.250%, 7/15/28 | 659,335 | ||
250,000 | New Enterprise Stone & Lime Co., Inc., 144a, 9.750%, 7/15/28 | 271,875 | ||
258,000 | New Enterprise Stone & Lime Co., Inc., 144a, 6.250%, 3/15/26 | 266,772 | ||
486,000 | Owens-Brockway Glass Container, Inc., 144a, 6.625%, 5/13/27 | 521,867 | ||
970,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 144a, 4.000%, 10/15/27 | 960,300 | ||
244,000 | Roller Bearing Co. of America, Inc., 144a, 4.375%, 10/15/29 | 250,100 | ||
479,000 | Seaspan Corp. (Hong Kong), 144a, 5.500%, 8/1/29 | 488,685 | ||
226,000 | Spirit AeroSystems, Inc., 144a, 7.500%, 4/15/25 | 239,040 | ||
412,000 | Standard Industries, Inc., 144a, 3.375%, 1/15/31 | 392,100 | ||
493,000 | Standard Industries, Inc., 144a, 5.000%, 2/15/27 | 508,406 |
Principal Amount | Market Value | |||
Industrials — (Continued) | ||||
$ 523,000 | Summit Materials LLC / Summit Materials Finance Corp., 144a, 5.250%, 1/15/29 | $ 549,150 | ||
1,000,000 | TransDigm, Inc., 4.625%, 1/15/29 | 995,000 | ||
455,000 | WESCO Distribution, Inc., 144a, 7.250%, 6/15/28 | 503,913 | ||
17,317,248 | ||||
Consumer Discretionary — 12.1% | ||||
200,000 | Allison Transmission, Inc., 144a, 3.750%, 1/30/31 | 194,500 | ||
766,000 | American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 144a, 5.750%, 4/20/29 | 825,403 | ||
1,000,000 | Ashton Woods USA LLC / Ashton Woods Finance Co., 144a, 4.625%, 4/1/30 | 1,006,250 | ||
84,000 | Carnival Corp., 144a, 7.625%, 3/1/26 | 89,670 | ||
532,000 | Carnival Corp., 144a, 9.875%, 8/1/27 | 613,987 | ||
449,000 | Carriage Services, Inc., 144a, 4.250%, 5/15/29 | 452,839 | ||
1,153,000 | Churchill Downs, Inc., 144a, 4.750%, 1/15/28 | 1,206,326 | ||
1,169,000 | Colt Merger Sub, Inc., 144a, 6.250%, 7/1/25 | 1,230,674 | ||
67,000 | Everi Holdings, Inc., 144a, 5.000%, 7/15/29 | 68,654 | ||
71,000 | Ford Motor Co., 9.625%, 4/22/30 | 100,665 | ||
367,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 389,387 | ||
700,000 | Ford Motor Credit Co. LLC, 4.271%, 1/9/27 | 744,922 | ||
460,000 | Ford Motor Credit Co. LLC, 5.125%, 6/16/25 | 499,675 | ||
487,000 | Ford Motor Credit Co. LLC, MTN, 4.389%, 1/8/26 | 519,264 | ||
296,000 | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/27 | 319,310 | ||
198,000 | Goodyear Tire & Rubber Co. (The), 144a, 5.000%, 7/15/29 | 210,751 | ||
502,000 | Group 1 Automotive, Inc., 144a, 4.000%, 8/15/28 | 510,785 | ||
372,000 | Hilton Domestic Operating Co., Inc., 144a, 3.625%, 2/15/32 | 366,420 | ||
445,000 | International Game Technology PLC (United Kingdom), 144a, 6.250%, 1/15/27 | 502,850 | ||
692,000 | JB Poindexter & Co., Inc., 144a, 7.125%, 4/15/26 | 728,330 | ||
617,000 | KB Home, 4.000%, 6/15/31 | 633,196 | ||
415,000 | L Brands, Inc., 5.250%, 2/1/28 | 457,745 | ||
936,000 | Meritage Homes Corp., 144a, 3.875%, 4/15/29 | 982,800 | ||
172,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/27 | 199,950 | ||
735,000 | Royal Caribbean Cruises Ltd., 144a, 11.500%, 6/1/25 | 838,635 | ||
267,000 | Scotts Miracle-Gro Co. (The), 144a, 4.375%, 2/1/32 | 269,169 | ||
568,000 | Speedway Motorsports LLC / Speedway Funding II, Inc., 144a, 4.875%, 11/1/27 | 579,360 | ||
950,000 | Tempur Sealy International, Inc., 144a, 3.875%, 10/15/31 | 951,187 | ||
506,000 | Twin River Worldwide Holdings Inc., 144a, 6.750%, 6/1/27 | 550,908 | ||
340,000 | United Airlines, Inc., 144a, 4.625%, 4/15/29 | 351,373 | ||
182,000 | Viking Ocean Cruises Ship VII Ltd., 144a, 5.625%, 2/15/29 | 181,318 | ||
238,000 | WW International, Inc., 144a, 4.500%, 4/15/29 | 232,645 | ||
16,808,948 | ||||
Financials — 7.4% | ||||
1,307,000 | Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc. (Canada), 144a, 8.500%, 12/15/22 | 1,329,872 | ||
106,000 | Credit Acceptance Corp., 6.625%, 3/15/26 | 110,770 | ||
2,401,000 | ESC GCB Unit Corp. ESCROW, 6.625%, 5/15/51(A) | 0 | ||
706,000 | FirstCash, Inc., 144a, 4.625%, 9/1/28 | 732,475 | ||
888,000 | goeasy Ltd. (Canada), 144a, 4.375%, 5/1/26 | 912,420 | ||
611,000 | Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.250%, 5/15/27 | 635,183 | ||
400,000 | MGIC Investment Corp., 5.250%, 8/15/28 | 426,820 | ||
950,000 | Navient Corp., 5.875%, 10/25/24 | 1,014,125 | ||
315,000 | OneMain Finance Corp., 3.875%, 9/15/28 | 313,028 | ||
228,000 | OneMain Finance Corp., 4.000%, 9/15/30 | 226,860 | ||
89,000 | PennyMac Financial Services, Inc., 144a, 4.250%, 2/15/29 | 84,735 |
Principal Amount | Market Value | |||
Corporate Bonds — 99.8% (Continued) | ||||
Financials — (Continued) | ||||
$ 273,000 | PennyMac Financial Services, Inc., 144a, 5.375%, 10/15/25 | $ 280,767 | ||
414,000 | PennyMac Financial Services, Inc., 144a, 5.750%, 9/15/31 | 413,375 | ||
650,000 | PRA Group, Inc., 144a, 5.000%, 10/1/29 | 650,813 | ||
274,000 | PRA Group, Inc., 144a, 7.375%, 9/1/25 | 293,180 | ||
206,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144a, 3.375%, 8/31/27 | 198,069 | ||
741,000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144a, 5.750%, 4/15/26 | 801,584 | ||
661,000 | Quicken Loans LLC / Quicken Loans Co.-Issuer, Inc., 144a, 3.875%, 3/1/31 | 666,784 | ||
718,000 | Rocket Mortgage LLC / Rocket Mortgage Co.-Issuer, Inc., 144a, 2.875%, 10/15/26 | 712,615 | ||
399,000 | Springleaf Finance Corp., 6.625%, 1/15/28 | 458,850 | ||
112,000 | Springleaf Finance Corp., 7.125%, 3/15/26 | 129,780 | ||
10,392,105 | ||||
Health Care — 7.4% | ||||
730,000 | AdaptHealth LLC, 144a, 4.625%, 8/1/29 | 729,452 | ||
293,000 | AdaptHealth LLC, 144a, 5.125%, 3/1/30 | 293,149 | ||
373,000 | Bausch Health Cos, Inc., 144a, 5.250%, 2/15/31 | 343,015 | ||
187,000 | Bausch Health Cos, Inc., 144a, 7.000%, 1/15/28 | 191,619 | ||
264,000 | Bausch Health Cos., Inc., 144a, 4.875%, 6/1/28 | 273,570 | ||
441,000 | DaVita, Inc., 144a, 3.750%, 2/15/31 | 429,424 | ||
466,000 | DaVita, Inc., 144a, 4.625%, 6/1/30 | 479,333 | ||
650,000 | Endo Luxembourg Finance Co. I Sarl / Endo US, Inc., 144a, 6.125%, 4/1/29 | 650,000 | ||
237,000 | Grifols Escrow Issuer SA (Spain), 144a, 4.750%, 10/15/28 | 241,965 | ||
186,000 | Herbalife Nutrition Ltd. / HLF Financing, Inc., 144a, 7.875%, 9/1/25 | 199,485 | ||
400,000 | HLF Financing Sarl LLC / Herbalife International, Inc., 144a, 4.875%, 6/1/29 | 400,000 | ||
765,000 | Jazz Securities DAC, 144a, 4.375%, 1/15/29 | 792,769 | ||
549,000 | MEDNAX, Inc., 144a, 6.250%, 1/15/27 | 577,136 | ||
67,000 | ModivCare Escrow Issuer, Inc., 144a, 5.000%, 10/1/29 | 69,449 | ||
587,000 | ModivCare, Inc., 144a, 5.875%, 11/15/25 | 620,752 | ||
759,000 | Mozart Debt Merger Sub, Inc., 144a, 3.875%, 4/1/29 | 759,000 | ||
750,000 | Mozart Debt Merger Sub, Inc., 144a, 5.250%, 10/1/29 | 750,000 | ||
444,000 | Tenet Healthcare Corp., 144a, 4.250%, 6/1/29 | 450,660 | ||
623,000 | Tenet Healthcare Corp., 144a, 6.125%, 10/1/28 | 654,088 | ||
155,000 | Tenet Healthcare Corp., 144a, 6.250%, 2/1/27 | 160,813 | ||
729,000 | Teva Pharmaceutical Finance Netherlands III BV (Israel), 3.150%, 10/1/26 | 698,929 | ||
464,000 | Valeant Pharmaceuticals International, 144a, 8.500%, 1/31/27 | 497,640 | ||
10,262,248 | ||||
Materials — 4.8% | ||||
386,000 | Alcoa Nederland Holding BV, 144a, 4.125%, 3/31/29 | 402,405 | ||
184,000 | Alcoa Nederland Holding BV (Netherlands), 144a, 6.125%, 5/15/28 | 199,410 | ||
355,000 | Arconic Corp., 144a, 6.125%, 2/15/28 | 376,307 | ||
938,000 | Clearwater Paper Corp., 144a, 4.750%, 8/15/28 | 963,795 | ||
219,000 | Clearwater Paper Corp., 144a, 5.375%, 2/1/25 | 235,973 | ||
650,000 | Cleveland-Cliffs, Inc., 144a, 4.875%, 3/1/31 | 671,125 | ||
233,000 | Hudbay Minerals, Inc. (Peru), 144a, 4.500%, 4/1/26 | 230,670 | ||
356,000 | Hudbay Minerals, Inc. (Peru), 144a, 6.125%, 4/1/29 | 372,855 | ||
275,000 | INEOS Quattro Finance 2 PLC (United Kingdom), 144a, 3.375%, 1/15/26 | 277,750 | ||
443,000 | Kaiser Aluminum Corp., 144a, 4.500%, 6/1/31 | 454,075 | ||
594,000 | Mercer International, Inc. (Germany), 5.125%, 2/1/29 | 606,622 | ||
1,076,000 | NOVA Chemicals Corp. (Canada), 144a, 4.250%, 5/15/29 | 1,076,000 |
Principal Amount | Market Value | |||
Materials — (Continued) | ||||
$ 305,000 | Novelis Corp., 144a, 3.250%, 11/15/26 | $ 309,325 | ||
578,000 | Nufarm Australia Ltd. / Nufarm Americas, Inc. (Australia), 144a, 5.750%, 4/30/26 | 593,895 | ||
6,770,207 | ||||
Information Technology — 4.2% | ||||
434,000 | Booz Allen Hamilton, Inc., 144a, 3.875%, 9/1/28 | 444,902 | ||
179,000 | Booz Allen Hamilton, Inc., 144a, 4.000%, 7/1/29 | 183,699 | ||
1,299,000 | Clarivate Science Holdings Corp., 144a, 4.875%, 7/1/29 | 1,302,572 | ||
918,000 | Consensus Cloud Solutions, Inc., 144a, 6.500%, 10/15/28 | 952,654 | ||
361,000 | J2 Global, Inc., 144a, 4.625%, 10/15/30 | 383,563 | ||
389,000 | MSCI, Inc., MSCI, 144a, 3.625%, 9/1/30 | 402,129 | ||
264,000 | NCR Corp., 144a, 5.125%, 4/15/29 | 272,250 | ||
299,000 | NCR Corp., 144a, 5.750%, 9/1/27 | 315,445 | ||
560,000 | Open Text Corp. (Canada), 144a, 3.875%, 2/15/28 | 571,200 | ||
975,000 | TTM Technologies, Inc., 144a, 4.000%, 3/1/29 | 976,657 | ||
5,805,071 | ||||
Real Estate — 4.1% | ||||
910,000 | CTR Partnership LP / CareTrust Capital Corp. REIT, 144a, 3.875%, 6/30/28 | 946,400 | ||
85,000 | Diversified Healthcare Trust REIT, 4.750%, 5/1/24 | 87,550 | ||
535,000 | Diversified Healthcare Trust REIT, 4.750%, 2/15/28 | 537,675 | ||
431,000 | Diversified Healthcare Trust REIT, 9.750%, 6/15/25 | 469,790 | ||
325,000 | Howard Hughes Corp. (The), 144a, 4.375%, 2/1/31 | 326,921 | ||
132,000 | Iron Mountain, Inc. REIT, 144a, 4.500%, 2/15/31 | 133,888 | ||
172,000 | Iron Mountain, Inc. REIT, 144a, 4.875%, 9/15/27 | 178,567 | ||
301,000 | Iron Mountain, Inc. REIT, 144a, 4.875%, 9/15/29 | 315,297 | ||
112,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 3/15/28 | 117,040 | ||
660,000 | Iron Mountain, Inc. REIT, 144a, 5.250%, 7/15/30 | 700,412 | ||
310,000 | Kennedy-Wilson, Inc., 4.750%, 2/1/30 | 315,425 | ||
710,000 | RHP Hotel Properties LP / RHP Finance Corp. REIT, 144a, 4.500%, 2/15/29 | 711,434 | ||
420,000 | Service Properties Trust REIT, 4.650%, 3/15/24 | 424,200 | ||
110,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 3.750%, 2/15/27 | 113,850 | ||
338,000 | VICI Properties LP / VICI Note Co., Inc. REIT, 144a, 4.250%, 12/1/26 | 352,983 | ||
5,731,432 | ||||
Utilities — 2.8% | ||||
425,000 | Calpine Corp., 144a, 4.500%, 2/15/28 | 433,500 | ||
236,000 | Calpine Corp., 144a, 5.000%, 2/1/31 | 236,000 | ||
1,815,000 | Rockpoint Gas Storage Canada Ltd. (Canada), 144a, 7.000%, 3/31/23 | 1,842,225 | ||
1,111,000 | Talen Energy Supply LLC, 144a, 7.625%, 6/1/28 | 1,041,562 | ||
297,000 | Vistra Operations Co. LLC, 144a, 4.375%, 5/1/29 | 297,743 | ||
3,851,030 | ||||
Total Corporate Bonds | $139,109,874 |
Shares | ||||
Common Stocks — 0.9% | ||||
Energy — 0.9% | ||||
41,410 | Unit Corp.* | 1,263,005 |
Shares | MarketValue | |||
Short-Term Investment Funds — 0.8% | ||||
800,476 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | $ 800,476 | ||
396,750 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 396,750 | ||
Total Short-Term Investment Funds | $1,197,226 | |||
Total Investment Securities—101.5% (Cost $138,876,827) | $141,570,105 | |||
Liabilities in Excess of Other Assets — (1.5%) | (2,150,243) | |||
Net Assets — 100.0% | $139,419,862 |
(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. |
** | 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 September 30, 2021 was $374,325. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 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 September 30, 2021, these securities were valued at $111,037,236 or 79.6% 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 | $— | $139,109,874 | $0 | $139,109,874 |
Common Stocks | 1,263,005 | — | — | 1,263,005 |
Short-Term Investment Funds | 1,197,226 | — | — | 1,197,226 |
Total | $2,460,231 | $139,109,874 | $0 | $141,570,105 |
Principal Amount | Market Value | |||
Corporate Bonds — 27.1% | ||||
Financials — 7.0% | ||||
$ 2,444,000 | Aflac, Inc., 3.250%, 3/17/25 | $ 2,627,254 | ||
1,456,395 | Fishers Lane Associates LLC, 144a, 3.666%, 8/5/30 | 1,576,548 | ||
545,000 | Fishers Lane Associates LLC, 144a, 5.477%, 8/5/40 | 659,665 | ||
1,398,000 | Globe Life, Inc., 3.800%, 9/15/22 | 1,442,131 | ||
1,191,000 | Globe Life, Inc., 4.550%, 9/15/28 | 1,380,897 | ||
2,000,000 | MassMutual Global Funding II, 144a, 0.850%, 6/9/23 | 2,016,996 | ||
2,386,000 | National Rural Utilities Cooperative Finance Corp., 3.400%, 11/15/23 | 2,517,746 | ||
708,000 | Nationwide Mutual Insurance Co., 144a, 9.375%, 8/15/39 | 1,232,030 | ||
1,000,000 | Northwestern Mutual Global Funding, 144a, 0.600%, 3/25/24 | 997,905 | ||
1,280,000 | Northwestern Mutual Life Insurance Co. (The), 144a, 3.625%, 9/30/59 | 1,385,809 | ||
2,175,000 | Pacific Life Global Funding II, 144a, 1.375%, 4/14/26 | 2,182,879 | ||
2,000,000 | PNC Bank NA, 2.700%, 10/22/29 | 2,096,519 | ||
1,500,000 | Progressive Corp. (The), 4.200%, 3/15/48 | 1,836,522 | ||
2,000,000 | Protective Life Global Funding, 144a, 1.170%, 7/15/25 | 1,996,847 | ||
2,040,000 | Reliance Standard Life Global Funding II, 144a, 2.750%, 1/21/27 | 2,147,715 | ||
1,450,000 | SBA Tower Trust REIT, 144a, 2.836%, 1/15/25 | 1,501,460 | ||
844,000 | Unum Group, 7.250%, 3/15/28 | 1,070,887 | ||
2,000,000 | USB Capital IX, (3M LIBOR +1.020%), 3.500%(A)(B) | 1,973,133 | ||
30,642,943 | ||||
Industrials — 5.8% | ||||
26,617 | Burlington Northern and Santa Fe Railway Co. 2005-3 Pass Through Trust, 4.830%, 1/15/23 | 27,222 | ||
342,859 | Burlington Northern and Santa Fe Railway Co. 2005-4 Pass Through Trust, 4.967%, 4/1/23 | 355,204 | ||
2,355,000 | Burlington Northern Santa Fe LLC, 6.700%, 8/1/28 | 3,050,202 | ||
1,453,229 | CSX Transportation, Inc., 6.251%, 1/15/23 | 1,547,872 | ||
116,361 | Federal Express Corp. 1999 Pass Through Trust, 7.650%, 1/15/23 | 121,931 | ||
932,329 | FedEx Corp. 2020-1 Class AA Pass Through Trust, 1.875%, 2/20/34 | 920,310 | ||
2,823,000 | GATX Corp., 3.250%, 3/30/25 | 2,988,995 | ||
1,180,000 | Kansas City Southern, 3.000%, 5/15/23 | 1,222,573 | ||
1,625,000 | Kansas City Southern, 3.125%, 6/1/26 | 1,744,579 | ||
1,941,000 | Norfolk Southern Corp., 2.903%, 2/15/23 | 1,994,871 | ||
1,000,000 | Republic Services, Inc., 2.300%, 3/1/30 | 1,011,655 | ||
667,000 | TOTE Maritime Alaska LLC, 6.365%, 4/15/28 | 776,935 | ||
2,514,000 | Tote Shipholdings LLC, 3.400%, 10/16/40 | 2,720,841 | ||
1,960,000 | Union Pacific Corp., 144a, 2.891%, 4/6/36 | 2,031,796 | ||
150,519 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 1/2/24 | 157,938 | ||
732,866 | Union Pacific Railroad Co. 2006 Pass Through Trust, 5.866%, 7/2/30 | 846,313 | ||
1,267,109 | Union Pacific Railroad Co. 2014-1 Pass Through Trust, 3.227%, 5/14/26 | 1,359,896 | ||
2,100,000 | Waste Management, Inc., 3.900%, 3/1/35 | 2,375,945 | ||
25,255,078 | ||||
Utilities — 5.7% | ||||
2,104,000 | American Water Capital Corp., 2.950%, 9/1/27 | 2,262,765 | ||
1,623,000 | California Water Service Co., 5.500%, 12/1/40 | 2,126,602 | ||
2,008,000 | Commonwealth Edison Co., 5.900%, 3/15/36 | 2,801,278 | ||
2,163,000 | Dominion Energy South Carolina, Inc., 4.600%, 6/15/43 | 2,697,933 | ||
2,080,000 | Duke Energy Progress LLC, 6.300%, 4/1/38 | 2,960,560 | ||
2,532,000 | Entergy Louisiana LLC, 4.440%, 1/15/26 | 2,818,276 | ||
1,642,000 | Georgia Power Co., 4.750%, 9/1/40 | 1,989,144 | ||
1,845,000 | Kentucky Utilities Co., 5.125%, 11/1/40 | 2,368,013 |
Principal Amount | Market Value | |||
Utilities — (Continued) | ||||
$ 2,000,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +2.067%), 2.198%, 10/1/66(B) | $ 1,920,036 | ||
2,926,000 | PacifiCorp., 8.050%, 9/1/22 | 3,106,340 | ||
25,050,947 | ||||
Consumer Discretionary — 3.0% | ||||
2,465,570 | American Airlines 2016-3 Class AA Pass Through Trust, 3.000%, 10/15/28 | 2,457,312 | ||
846,968 | Continental Airlines 2007-1 Class A Pass Through Trust, 5.983%, 4/19/22 | 857,990 | ||
632,920 | Continental Airlines 2012-2 Class A Pass Through Trust, 4.000%, 10/29/24 | 666,852 | ||
2,400,000 | Delta Air Lines 2019-1 Class AA Pass Through Trust, 3.204%, 4/25/24 | 2,532,811 | ||
2,347,000 | Ford Motor Credit Co. LLC, 4.375%, 8/6/23 | 2,444,072 | ||
1,535,000 | PulteGroup, Inc., 7.875%, 6/15/32 | 2,208,481 | ||
1,300,000 | Royal Caribbean Cruises Ltd., 5.250%, 11/15/22 | 1,332,500 | ||
362,708 | Southwest Airlines Co. 2007-1 Pass Through Trust, 6.150%, 8/1/22 | 370,864 | ||
12,870,882 | ||||
Health Care — 1.4% | ||||
384,063 | CVS Pass Through Trust Series 2013, 144a, 4.704%, 1/10/36 | 435,209 | ||
2,333,034 | CVS Pass-Through Trust, 6.036%, 12/10/28 | 2,722,113 | ||
2,605,000 | HCA, Inc., 5.250%, 4/15/25 | 2,951,957 | ||
6,109,279 | ||||
Real Estate — 1.4% | ||||
1,800,000 | American Tower Corp. REIT, 3.125%, 1/15/27 | 1,917,804 | ||
1,350,000 | American Tower Trust #1 REIT, 144a, 3.070%, 3/15/23 | 1,351,402 | ||
1,750,000 | Crown Castle International Corp. REIT, 4.300%, 2/15/29 | 1,984,560 | ||
805,000 | SBA Tower Trust REIT, 144a, 1.631%, 11/15/26 | 802,583 | ||
6,056,349 | ||||
Consumer Staples — 1.1% | ||||
1,000,000 | Kroger Co. (The), 4.500%, 1/15/29 | 1,170,156 | ||
1,265,000 | Kroger Co. (The), Ser B, 7.700%, 6/1/29 | 1,731,487 | ||
1,600,000 | United Rentals North America, Inc., 4.875%, 1/15/28 | 1,691,584 | ||
4,593,227 | ||||
Communication Services — 0.7% | ||||
755,000 | Verizon Communications, Inc., 2.100%, 3/22/28 | 765,747 | ||
2,084,000 | Verizon Communications, Inc., 2.987%, 10/30/56 | 1,935,052 | ||
230,000 | Verizon Communications, Inc., 5.012%, 4/15/49 | 300,301 | ||
3,001,100 | ||||
Energy — 0.6% | ||||
592,000 | Spectra Energy Partners LP, 3.500%, 3/15/25 | 634,796 | ||
1,405,000 | Texas Eastern Transmission LP, 7.000%, 7/15/32 | 1,942,839 | ||
2,577,635 | ||||
Information Technology — 0.4% | ||||
1,900,000 | Lam Research Corp., 1.900%, 6/15/30 | 1,892,159 | ||
Total Corporate Bonds | $118,049,599 | |||
U.S. Government Agency Obligations — 24.2% | ||||
1,131,000 | Canal Barge Co., Inc., 4.500%, 11/12/34 | 1,282,520 | ||
772,931 | Export-Import Bank of the United States, 1.581%, 11/16/24 | 784,178 | ||
2,143,799 | Helios Leasing I LLC, 1.734%, 7/24/24 | 2,176,547 | ||
914,000 | Matson Navigation Co., Inc., 5.337%, 9/4/28 | 1,028,672 | ||
1,375,000 | Petroleos Mexicanos (Mexico), 2.290%, 2/15/24 | 1,405,680 | ||
2,253,316 | Reliance Industries Ltd. (India), 1.870%, 1/15/26 | 2,309,674 | ||
2,227,956 | SBA Small Business Investment Cos, Ser 2017-10A, Class 1, 2.845%, 3/10/27 | 2,332,573 |
Principal Amount | Market Value | |||
U.S. Government Agency Obligations — 24.2% (Continued) | ||||
$ 2,483,897 | SBA Small Business Investment Cos, Ser 2017-10B, Class 1, 2.518%, 9/10/27 | $ 2,580,399 | ||
10,813 | Small Business Administration Participation Certificates, Ser 2002-20H, Class 1, 5.310%, 8/1/22 | 11,030 | ||
6,539 | Small Business Administration Participation Certificates, Ser 2003-20D, Class 1, 4.760%, 4/1/23 | 6,678 | ||
31,693 | Small Business Administration Participation Certificates, Ser 2004-20D, Class 1, 4.770%, 4/1/24 | 32,750 | ||
76,009 | Small Business Administration Participation Certificates, Ser 2004-20K, Class 1, 4.880%, 11/1/24 | 79,447 | ||
62,069 | Small Business Administration Participation Certificates, Ser 2005-20H, Class 1, 5.110%, 8/1/25 | 65,667 | ||
110,158 | Small Business Administration Participation Certificates, Ser 2006-20H, Class 1, 5.700%, 8/1/26 | 120,213 | ||
144,532 | Small Business Administration Participation Certificates, Ser 2006-20K, Class 1, 5.360%, 11/1/26 | 154,631 | ||
242,114 | Small Business Administration Participation Certificates, Ser 2006-20L, Class 1, 5.120%, 12/1/26 | 257,534 | ||
190,040 | Small Business Administration Participation Certificates, Ser 2007-20A, Class 1, 5.320%, 1/1/27 | 204,716 | ||
351,892 | Small Business Administration Participation Certificates, Ser 2007-20E, Class 1, 5.310%, 5/1/27 | 381,143 | ||
614,721 | Small Business Administration Participation Certificates, Ser 2007-20F, Class 1, 5.710%, 6/1/27 | 670,391 | ||
605,599 | Small Business Administration Participation Certificates, Ser 2007-20L, Class 1, 5.290%, 12/1/27 | 667,262 | ||
236,764 | Small Business Administration Participation Certificates, Ser 2008-20A, Class 1, 5.170%, 1/1/28 | 259,034 | ||
294,656 | Small Business Administration Participation Certificates, Ser 2008-20K, Class 1, 6.770%, 11/1/28 | 329,649 | ||
545,267 | Small Business Administration Participation Certificates, Ser 2009-20C, Class 1, 4.660%, 3/1/29 | 591,573 | ||
322,310 | Small Business Administration Participation Certificates, Ser 2009-20D, Class 1, 4.310%, 4/1/29 | 347,907 | ||
410,643 | Small Business Administration Participation Certificates, Ser 2009-20E, Class 1, 4.430%, 5/1/29 | 447,378 | ||
256,817 | Small Business Administration Participation Certificates, Ser 2009-20F, Class 1, 4.950%, 6/1/29 | 279,852 | ||
720,315 | Small Business Administration Participation Certificates, Ser 2009-20J, Class 1, 3.920%, 10/1/29 | 760,768 | ||
1,302,340 | Small Business Administration Participation Certificates, Ser 2010-20F, Class 1, 3.880%, 6/1/30 | 1,398,574 | ||
2,161,928 | Small Business Administration Participation Certificates, Ser 2010-20I, Class 1, 3.210%, 9/1/30 | 2,280,417 | ||
123,620 | Small Business Administration Participation Certificates, Ser 2012-10C, Class 1, 1.240%, 5/1/22 | 124,043 | ||
5,013,779 | Small Business Administration Participation Certificates, Ser 2013-20C, Class 1, 2.220%, 3/1/33 | 5,152,494 | ||
3,931,971 | Small Business Administration Participation Certificates, Ser 2013-20E, Class 1, 2.070%, 5/1/33 | 4,043,208 | ||
2,119,320 | Small Business Administration Participation Certificates, Ser 2013-20G, Class 1, 3.150%, 7/1/33 | 2,251,712 | ||
2,297,743 | Small Business Administration Participation Certificates, Ser 2014-20H, Class 1, 2.880%, 8/1/34 | 2,406,248 | ||
4,107,315 | Small Business Administration Participation Certificates, Ser 2014-20I, Class 1, 2.920%, 9/1/34 | 4,311,119 |
Principal Amount | Market Value | |||
U.S. Government Agency Obligations — 24.2% (Continued) | ||||
$ 3,523,734 | Small Business Administration Participation Certificates, Ser 2014-20K, Class 1, 2.800%, 11/1/34 | $ 3,686,225 | ||
2,073,246 | Small Business Administration Participation Certificates, Ser 2015-20I, Class 1, 2.820%, 9/1/35 | 2,186,065 | ||
2,769,004 | Small Business Administration Participation Certificates, Ser 2016-20A, Class 1, 2.780%, 1/1/36 | 2,927,932 | ||
3,686,831 | Small Business Administration Participation Certificates, Ser 2016-20B, Class 1, 2.270%, 2/1/36 | 3,817,411 | ||
4,624,454 | Small Business Administration Participation Certificates, Ser 2016-20F, Class 1, 2.180%, 6/1/36 | 4,792,690 | ||
4,713,078 | Small Business Administration Participation Certificates, Ser 2017-20E, Class 1, 2.880%, 5/1/37 | 5,041,349 | ||
3,836,417 | Small Business Administration Participation Certificates, Ser 2017-20F, Class 1, 2.810%, 6/1/37 | 4,070,823 | ||
4,500,423 | Small Business Administration Participation Certificates, Ser 2017-20K, Class 1, 2.790%, 11/1/37 | 4,806,320 | ||
2,416,660 | Small Business Administration Participation Certificates, Ser 2017-20L, Class 1, 2.780%, 12/1/37 | 2,580,391 | ||
5,227,035 | Small Business Administration Participation Certificates, Ser 2018-20A, Class 1, 2.920%, 1/1/38 | 5,546,422 | ||
5,537,983 | Small Business Administration Participation Certificates, Ser 2018-20C, Class 1, 3.200%, 3/1/38 | 5,925,225 | ||
2,113,529 | Small Business Administration Participation Certificates, Ser 2018-25D, Class 1, 3.890%, 10/1/43 | 2,335,243 | ||
2,385,766 | Small Business Administration Participation Certificates, Ser 2019-25B, Class 1, 3.450%, 2/1/44 | 2,618,660 | ||
2,862,320 | Small Business Administration Participation Certificates, Ser 2019-25E, Class 1, 3.070%, 5/1/44 | 3,085,775 | ||
3,694,603 | Small Business Administration Participation Certificates, Ser 2020-25I, Class 1, 1.150%, 9/1/45 | 3,550,263 | ||
2,482,000 | Tennessee Valley Auth., 4.650%, 6/15/35 | 3,210,505 | ||
2,161,960 | United States Small Business Administration, Ser 2019-20A, Class 1, 3.370%, 1/1/39 | 2,357,984 | ||
1,103,000 | Vessel Management Services, Inc., 5.125%, 4/16/35 | 1,296,383 | ||
Total U.S. Government Agency Obligations | $105,371,347 | |||
Agency Collateralized Mortgage Obligations — 17.9% | ||||
2,590,000 | Fannie Mae-Aces, Ser 2017-M15, Class ATS2, 3.198%, 11/25/27(B)(C) | 2,753,999 | ||
3,070,630 | Fannie Mae-Aces, Ser 2019-M6, Class A1, 3.300%, 8/1/28 | 3,305,752 | ||
3,325,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser K-1511, Class A3, 3.542%, 3/25/34 | 3,834,061 | ||
3,512,146 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG01, Class A7, 2.875%, 4/25/26 | 3,768,810 | ||
3,760,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG02, Class A2, 2.412%, 8/25/29 | 3,978,040 | ||
3,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KG03, Class A1, 0.704%, 4/25/29(B)(C) | 2,925,106 | ||
2,630,000 | FHLMC Multifamily Structured Pass Through Certificates, Ser KSG1, Class A2, 1.503%, 9/25/30 | 2,602,812 | ||
3,149,357 | FHLMC Multifamily Structured Pass Through Certificates, Ser KW03, Class A1, 2.617%, 12/25/26 | 3,296,575 | ||
3,060,000 | FHLMC Multifamily Structured Pass-Through Certificates, Ser K-1513, Class A3, 2.797%, 8/25/34 | 3,289,553 | ||
2,000,000 | FREMF Mortgage Trust, Ser 2011-K16, Class B, 144a, 4.674%, 11/25/46(B)(C) | 1,999,515 | ||
1,395,037 | FREMF Mortgage Trust, Ser 2012-K19, Class B, 144a, 4.151%, 5/25/45(B)(C) | 1,412,648 |
Principal Amount | Market Value | |||
Agency Collateralized Mortgage Obligations — 17.9% (Continued) | ||||
$ 3,350,000 | FREMF Mortgage Trust, Ser 2012-K23, Class B, 144a, 3.782%, 10/25/45(B)(C) | $ 3,436,150 | ||
1,765,000 | FREMF Mortgage Trust, Ser 2013-K30, Class B, 144a, 3.667%, 6/25/45(B)(C) | 1,844,358 | ||
1,765,000 | FREMF Mortgage Trust, Ser 2014-K40, Class B, 144a, 4.209%, 11/25/47(B)(C) | 1,914,314 | ||
2,000,000 | FREMF Mortgage Trust, Ser 2014-K41, Class B, 144a, 3.964%, 11/25/47(B)(C) | 2,155,367 | ||
2,000,000 | FREMF Mortgage Trust, Ser 2017-K61, Class B, 144a, 3.812%, 12/25/49(B)(C) | 2,172,807 | ||
967,275 | FRESB Mortgage Trust, Ser 2015-SB9, Class A5, (1M LIBOR +0.700%), 0.782%, 11/25/35(B) | 966,524 | ||
362,853 | FRESB Mortgage Trust, Ser 2016-SB17, Class A5H, (1M LIBOR +0.700%), 0.782%, 5/25/36(B) | 362,533 | ||
1,065,750 | FRESB Mortgage Trust, Ser 2017-SB27, Class A10F, 3.090%, 1/25/27(B)(C) | 1,107,676 | ||
2,019,541 | FRESB Mortgage Trust, Ser 2018-SB46, Class A10F, 3.300%, 12/25/27(B)(C) | 2,127,228 | ||
2,800,000 | GNMA, Pool #785631, 4.667%, 5/20/67(B)(C) | 3,017,875 | ||
641,037 | GNMA, Ser 2011-142, Class B, 3.397%, 2/16/44(B)(C) | 644,303 | ||
2,043,584 | GNMA, Ser 2012-46, Class C, 3.176%, 5/16/50(B)(C) | 2,102,506 | ||
285,000 | GNMA, Ser 2012-53, Class AC, 2.381%, 12/16/43 | 288,902 | ||
1,594,064 | GNMA, Ser 2013-121, Class AB, 2.580%, 8/16/44(B)(C) | 1,649,094 | ||
483,087 | GNMA, Ser 2013-40, Class AC, 1.584%, 1/16/46 | 486,925 | ||
2,540,000 | GNMA, Ser 2015-32, Class HG, 3.000%, 9/16/49(B)(C) | 2,585,517 | ||
1,309,829 | GNMA, Ser 2015-37, Class AD, 2.600%, 11/16/55 | 1,346,027 | ||
3,178,101 | GNMA, Ser 2015-73, Class B, 2.700%, 10/16/55(B)(C) | 3,263,118 | ||
1,421,421 | GNMA, Ser 2017-46, Class AB, 2.600%, 1/16/52 | 1,463,960 | ||
1,299,960 | GNMA, Ser 2017-H11, Class FV, (1M LIBOR +0.500%), 0.590%, 5/20/67(B) | 1,307,041 | ||
4,195,864 | GNMA, Ser 2020-113, Class AF, 2.000%, 10/16/62 | 4,071,298 | ||
2,473,789 | GNMA, Ser 2021-21, Class AF, 1.750%, 6/16/63 | 2,415,179 | ||
3,943,146 | GNMA, Ser 2021-22, Class AD, 1.350%, 10/16/62 | 3,879,793 | ||
Total Agency Collateralized Mortgage Obligations | $77,775,366 | |||
Municipal Bonds — 9.4% | ||||
California — 3.6% | ||||
1,000,000 | California Health Facilities Financing Authority, 2.704%, 6/1/30 | 1,052,464 | ||
2,000,000 | California Health Facilities Financing Authority, 2.229%, 6/1/32 | 2,011,939 | ||
1,610,000 | California Municipal Finance Authority, Revenue, 2.519%, 10/1/35 | 1,545,721 | ||
1,465,000 | City of San Francisco Public Utilities Commission Water Revenue, Build America Bonds, 6.950%, 11/1/50 | 2,435,612 | ||
2,345,000 | East Bay Municipal Utility District Water System Revenue, Build America Bonds Sub, 5.874%, 6/1/40 | 3,390,198 | ||
1,000,000 | Los Angeles Department of Water & Power Water System Revenue, Revenue, Build America Bonds, 6.008%, 7/1/39 | 1,330,407 | ||
2,700,000 | Los Angeles Unified School District, Build America Bonds Ser RY, UTGO, 6.758%, 7/1/34 | 3,815,575 | ||
15,581,916 | ||||
Texas — 1.3% | ||||
1,770,000 | Dallas Area Rapid Transit, Revenue, Build America Bonds, 5.999%, 12/1/44 | 2,604,852 | ||
2,640,000 | Texas State Transportation Commission Highway Authority, Build America Bonds, 5.178%, 4/1/30 | 3,219,916 | ||
5,824,768 |
Principal Amount | Market Value | |||
Virginia — 0.9% | ||||
$ 1,497,404 | Virginia Housing Development Authority, 2.950%, 10/25/49 | $ 1,537,022 | ||
2,483,035 | Virginia Housing Development Authority, 2.125%, 7/25/51 | 2,458,581 | ||
3,995,603 | ||||
Minnesota — 0.9% | ||||
3,862,404 | Minnesota Housing Finance Agency, Revenue, 1.580%, 2/1/51 | 3,834,864 | ||
New York — 0.8% | ||||
1,135,000 | Port Authority of New York & New Jersey, 4.960%, 8/1/46 | 1,542,368 | ||
1,400,000 | Port Authority of New York and New Jersey, Cons One Hundred Sixty-Eight, 4.926%, 10/1/51 | 1,954,450 | ||
3,496,818 | ||||
Nevada — 0.6% | ||||
2,586,770 | Nevada Housing Division, Revenue, 1.900%, 11/1/44 | 2,605,545 | ||
Washington — 0.5% | ||||
1,515,000 | State of Washington, Build America Bonds, UTGO, 5.481%, 8/1/39 | 2,094,843 | ||
Indiana — 0.4% | ||||
1,200,000 | Indianapolis Local Public Improvement Bond Bank, Build America Bonds, 6.116%, 1/15/40 | 1,679,196 | ||
Ohio — 0.2% | ||||
1,005,000 | Ohio State HFA, Revenue, 2.650%, 11/1/41 | 1,027,747 | ||
Louisiana — 0.2% | ||||
942,833 | Louisiana Housing Corp., 2.875%, 11/1/38 | 974,892 | ||
Total Municipal Bonds | $41,116,192 | |||
U.S. Government Mortgage-Backed Obligations — 7.2% | ||||
1,020,537 | FHLMC, Pool #W30008, 7.645%, 5/1/25 | 1,134,135 | ||
583,285 | FNMA, Pool #888829, 5.888%, 6/1/37(B)(C) | 599,157 | ||
842,881 | FNMA, Pool #AH8854, 4.500%, 4/1/41 | 935,000 | ||
2,823,923 | FNMA, Pool #AN0897, 3.440%, 2/1/32 | 3,127,737 | ||
3,359,000 | FNMA, Pool #AN3613, 2.680%, 12/1/26 | 3,517,818 | ||
3,000,000 | FNMA, Pool #AN8089, 3.330%, 1/1/38 | 3,204,998 | ||
1,903,229 | FNMA, Pool #AS8650, 3.000%, 1/1/47 | 2,010,072 | ||
502,172 | FNMA, Pool #AT0924, 2.000%, 3/1/28 | 515,816 | ||
728,729 | FNMA, Pool #BC0153, 4.000%, 1/1/46 | 794,201 | ||
3,742,545 | FNMA, Pool #BL3622, 2.600%, 8/1/26 | 3,926,673 | ||
3,750,959 | FNMA, Pool #CB0455, 2.500%, 5/1/51 | 3,870,226 | ||
2,145,563 | FNMA, Pool #FM3442, 3.000%, 6/1/50 | 2,252,412 | ||
5,349,593 | FNMA, Pool #MA4269, 2.500%, 2/1/41 | 5,538,408 | ||
Total U.S. Government Mortgage-Backed Obligations | $31,426,653 | |||
U.S. Treasury Obligations — 6.4% | ||||
9,970,000 | U.S. Treasury Bond, 1.375%, 11/15/40 | 8,934,834 | ||
6,840,000 | U.S. Treasury Bond, 1.875%, 2/15/51 | 6,504,413 | ||
10,429,000 | U.S. Treasury Strip, Principal, 5/15/43(D) | 6,609,084 | ||
5,379,000 | U.S. Treasury Strip, Principal, 5/15/45(D) | 3,248,148 | ||
4,862,000 | U.S. Treasury Strip, Principal, 5/15/48(D) | 2,753,769 | ||
Total U.S. Treasury Obligations | $28,050,248 | |||
Asset-Backed Securities — 3.3% | ||||
986,909 | 321 Henderson Receivables I LLC, Ser 2012-1A, Class A, 144a, 4.210%, 2/16/65 | 1,112,064 | ||
921,752 | 321 Henderson Receivables I LLC, Ser 2012-2A, Class A, 144a, 3.840%, 10/15/59 | 1,016,845 | ||
1,234,688 | 321 Henderson Receivables I LLC, Ser 2015-2A, Class A, 144a, 3.870%, 3/15/58 | 1,377,821 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 3.3% (Continued) | ||||
$ 994,142 | CF Hippolyta LLC, Ser 2021-1A, Class A1, 144a, 1.530%, 3/15/61 | $ 1,000,321 | ||
4,000,000 | Small Business Administration Participation Certificates, Ser 2021-10B, Class 1, 1.304%, 9/10/31 | 3,986,380 | ||
4,200,000 | Small Business Administration Participation Certificates, Ser 2021-25I, Class 1, 1.560%, 9/1/46 | 4,152,965 | ||
1,699,754 | Tesla Auto Lease Trust, Ser 2021-A, Class A2, 144a, 0.360%, 3/20/25 | 1,700,767 | ||
Total Asset-Backed Securities | $14,347,163 | |||
Commercial Mortgage-Backed Securities — 2.8% | ||||
22,869 | CD Mortgage Trust, Ser 2006-CD3, Class AJ, 5.688%, 10/15/48 | 22,395 | ||
2,300,000 | COMM Mortgage Trust, Ser 2020-SBX, Class A, 144a, 1.670%, 1/10/38 | 2,325,355 | ||
2,440,000 | DOLP Trust, Ser 2021-NYC, Class A, 144a, 2.956%, 5/10/41 | 2,579,279 | ||
2,333,828 | Logistics 1 MI TN VA Senior Notes CTL Pass-Through Trust, 144a, 2.654%, 10/10/42(E) | 2,330,817 | ||
2,500,000 | MKT Mortgage Trust, Ser 2020-525M, Class A, 144a, 2.694%, 2/12/40 | 2,595,011 | ||
2,125,000 | SLG Office Trust, Ser 2021-OVA, Class A, 144a, 2.585%, 7/15/41 | 2,193,637 | ||
Total Commercial Mortgage-Backed Securities | $12,046,494 | |||
Non-Agency Collateralized Mortgage Obligations — 0.1% | ||||
556,768 | Virginia Housing Development Authority, Ser 2013-B, Class A, 2.750%, 4/25/42 | 568,098 |
Shares | ||||
Short-Term Investment Fund — 1.2% | ||||
5,314,738 | Dreyfus Government Cash Management, Institutional Shares, 0.03%���٠| 5,314,738 | ||
Total Investment Securities—99.6% (Cost $421,017,213) | $434,065,898 | |||
Other Assets in Excess of Liabilities — 0.4% | 1,760,073 | |||
Net Assets — 100.0% | $435,825,971 |
(A) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(B) | Variable rate security - Rate reflected is the rate in effect as of September 30, 2021. |
(C) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(D) | 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. |
(E) | 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. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 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 |
REIT – Real Estate Investment Trust |
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 September 30, 2021, these securities were valued at $53,485,920 or 12.3% 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 |
Corporate Bonds | $— | $118,049,599 | $— | $118,049,599 |
U.S. Government Agency Obligations | — | 105,371,347 | — | 105,371,347 |
Agency Collateralized Mortgage Obligations | — | 77,775,366 | — | 77,775,366 |
Municipal Bonds | — | 41,116,192 | — | 41,116,192 |
U.S. Government Mortgage-Backed Obligations | — | 31,426,653 | — | 31,426,653 |
U.S. Treasury Obligations | — | 28,050,248 | — | 28,050,248 |
Asset-Backed Securities | — | 14,347,163 | — | 14,347,163 |
Commercial Mortgage-Backed Securities | — | 9,715,677 | 2,330,817 | 12,046,494 |
Non-Agency Collateralized Mortgage Obligations | — | 568,098 | — | 568,098 |
Short-Term Investment Fund | 5,314,738 | — | — | 5,314,738 |
Total | $5,314,738 | $426,420,343 | $2,330,817 | $434,065,898 |
Measurements Using Unobservable Inputs (Level 3) | |
Assets | Corporate Bonds |
Beginning balance, September 30, 2020 | $— |
Transfer into Level 3 | 2,330,817 |
Net realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | — |
Ending balance, September 30, 2021 | $2,330,817 |
Net Change in Unrealized Appreciation/Depreciation for Investments in Securities still held at September 30, 2021 | $— |
Commercial Mortgage-Backed Securities | Fair Value | Valuation Technique | Unobservable Input |
Logistics 1 MI TN VA Senior Notes CTL Pass-Through Trust, 144a, 2.654%, 10/10/42 | $2,330,817 | Indicative quote | Non-transparent indicative quote |
Shares | Market Value | |||
Common Stocks — 98.2% | ||||
Japan — 15.4% | ||||
Communication Services — 1.4% | ||||
1,000 | Nintendo Co. Ltd. | $ 477,883 | ||
Consumer Discretionary — 8.7% | ||||
10,600 | Denso Corp. | 692,152 | ||
83,000 | Panasonic Corp. | 1,028,818 | ||
10,800 | Sony Group Corp. | 1,199,002 | ||
Industrials — 4.2% | ||||
16,700 | Hitachi Ltd. | 987,984 | ||
19,000 | Kubota Corp. | 404,370 | ||
Information Technology — 1.1% | ||||
800 | Tokyo Electron, Ltd. | 353,423 | ||
Total Japan | 5,143,632 | |||
France — 12.6% | ||||
Financials — 2.9% | ||||
32,933 | SCOR SE | 948,335 | ||
Industrials — 7.6% | ||||
17,195 | Cie de Saint-Gobain | 1,157,172 | ||
8,279 | Schneider Electric SE | 1,378,901 | ||
Materials — 2.1% | ||||
4,412 | Air Liquide SA | 706,627 | ||
Total France | 4,191,035 | |||
Germany — 11.5% | ||||
Consumer Discretionary — 2.2% | ||||
6,076 | Continental AG* | 659,603 | ||
1,215 | Vitesco Technologies Group AG* | 71,777 | ||
Industrials — 4.2% | ||||
22,625 | Deutsche Post AG | 1,418,810 | ||
Materials — 2.3% | ||||
10,354 | HeidelbergCement AG | 772,443 | ||
Real Estate — 2.8% | ||||
15,335 | Vonovia SE | 921,915 | ||
Total Germany | 3,844,548 | |||
Sweden — 10.2% | ||||
Communication Services — 2.4% | ||||
54,334 | Tele2 AB - Class B | 804,509 | ||
Financials — 5.3% | ||||
80,042 | Svenska Handelsbanken AB - Class A | 896,423 | ||
42,894 | Swedbank AB - Class A | 864,944 | ||
Industrials — 2.5% | ||||
40,934 | Epiroc AB - Class A | 850,999 | ||
Total Sweden | 3,416,875 | |||
United Kingdom — 8.2% | ||||
Financials — 3.6% | ||||
1,927,075 | Lloyds Banking Group PLC | 1,199,454 | ||
Industrials — 4.6% | ||||
10,197 | Ashtead Group PLC | 770,826 | ||
26,835 | RELX PLC | 772,479 | ||
Total United Kingdom | 2,742,759 | |||
South Korea — 6.1% | ||||
Communication Services — 1.9% | ||||
25,862 | KT Corp. ADR | 352,240 | ||
10,653 | KT Corp. | 291,353 |
Shares | Market Value | |||
South Korea — (Continued) | ||||
Consumer Staples — 1.6% | ||||
3,840 | E-MART, Inc. | $ 528,632 | ||
Financials — 1.8% | ||||
12,735 | KB Financial Group, Inc. | 592,273 | ||
Information Technology — 0.8% | ||||
441 | Samsung SDI Co. Ltd. | 263,154 | ||
Total South Korea | 2,027,652 | |||
Switzerland — 5.6% | ||||
Health Care — 2.9% | ||||
2,674 | Roche Holding AG | 975,930 | ||
Industrials — 2.7% | ||||
26,904 | ABB Ltd. ADR | 897,517 | ||
Total Switzerland | 1,873,447 | |||
China — 5.3% | ||||
Communication Services — 2.7% | ||||
15,100 | Tencent Holdings Ltd. | 901,451 | ||
Consumer Discretionary — 2.6% | ||||
5,840 | Alibaba Group Holding Ltd. ADR* | 864,612 | ||
Total China | 1,766,063 | |||
Taiwan — 4.1% | ||||
Information Technology — 4.1% | ||||
12,201 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 1,362,242 | ||
Denmark — 4.0% | ||||
Health Care — 2.2% | ||||
7,546 | Novo Nordisk A/S ADR | 724,491 | ||
Industrials — 0.9% | ||||
7,363 | Vestas Wind Systems A/S | 295,323 | ||
Materials — 0.9% | ||||
4,633 | Novozymes A/S - Class B | 317,527 | ||
Total Denmark | 1,337,341 | |||
India — 3.5% | ||||
Financials — 3.5% | ||||
61,623 | ICICI Bank Ltd. ADR | 1,162,826 | ||
Singapore — 2.9% | ||||
Financials — 1.4% | ||||
56,400 | Oversea-Chinese Banking Corp. Ltd. | 474,930 | ||
Real Estate — 1.5% | ||||
332,500 | CapitaLand Integrated Commercial Trust REIT | 495,112 | ||
Total Singapore | 970,042 | |||
Canada — 2.6% | ||||
Financials — 2.6% | ||||
6,651 | Intact Financial Corp. | 879,448 | ||
Italy — 2.5% | ||||
Utilities — 2.5% | ||||
108,674 | Enel SpA | 834,097 | ||
Netherlands — 2.2% | ||||
Health Care — 2.2% | ||||
16,688 | Koninklijke Philips NV | 741,133 | ||
Thailand — 1.5% | ||||
Industrials — 1.5% | ||||
277,000 | Airports of Thailand PCL | 496,405 | ||
Total Common Stocks | $32,789,545 |
Shares | Market Value | |||
Exchange-Traded Funds — 0.7% | ||||
2,612 | iShares Core MSCI EAFE ETF | $ 193,941 | ||
762 | iShares Core MSCI Emerging Markets ETF | 47,061 | ||
Total Exchange-Traded Funds | $241,002 | |||
Short-Term Investment Fund — 1.0% | ||||
332,612 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 332,612 | ||
Total Investment Securities — 99.9% (Cost $26,174,785) | $33,363,159 | |||
Other Assets in Excess of Liabilities — 0.1% | 20,353 | |||
Net Assets — 100.0% | $33,383,512 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 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 | $— | $5,143,632 | $— | $5,143,632 |
France | — | 4,191,035 | — | 4,191,035 |
Germany | 993,692 | 2,850,856 | — | 3,844,548 |
Sweden | 850,999 | 2,565,876 | — | 3,416,875 |
United Kingdom | — | 2,742,759 | — | 2,742,759 |
South Korea | 352,240 | 1,675,412 | — | 2,027,652 |
Switzerland | 897,517 | 975,930 | — | 1,873,447 |
China | 864,612 | 901,451 | — | 1,766,063 |
Taiwan | 1,362,242 | — | — | 1,362,242 |
Denmark | 1,337,341 | — | — | 1,337,341 |
India | 1,162,826 | — | — | 1,162,826 |
Singapore | — | 970,042 | — | 970,042 |
Canada | 879,448 | — | — | 879,448 |
Italy | — | 834,097 | — | 834,097 |
Netherlands | 741,133 | — | — | 741,133 |
Thailand | — | 496,405 | — | 496,405 |
Exchange-Traded Funds | 241,002 | — | — | 241,002 |
Short-Term Investment Fund | 332,612 | — | — | 332,612 |
Total | $10,015,664 | $23,347,495 | $— | $33,363,159 |
Shares | Market Value | |||
Common Stocks — 96.5% | ||||
Industrials — 23.6% | ||||
2,526,231 | Allison Transmission Holdings, Inc. | $ 89,226,479 | ||
1,788,520 | Armstrong World Industries, Inc. | 170,750,004 | ||
1,739,348 | Copart, Inc. * | 241,282,355 | ||
749,866 | Old Dominion Freight Line, Inc. | 214,446,679 | ||
2,218,082 | Otis Worldwide Corp. | 182,503,787 | ||
1,768,362 | Sensata Technologies Holding PLC* | 96,764,769 | ||
683,578 | UniFirst Corp. | 145,342,354 | ||
1,140,316,427 | ||||
Information Technology — 18.7% | ||||
1,571,766 | Amphenol Corp. - Class A | 115,100,424 | ||
1,872,913 | Black Knight, Inc.* | 134,849,736 | ||
1,182,577 | Citrix Systems, Inc. | 126,973,293 | ||
2,740,836 | Entegris, Inc. | 345,071,252 | ||
1,083,528 | Skyworks Solutions, Inc. | 178,543,744 | ||
900,538,449 | ||||
Financials — 13.3% | ||||
208,102 | Alleghany Corp.* | 129,940,970 | ||
1,743,350 | Cincinnati Financial Corp. | 199,125,437 | ||
964,470 | M&T Bank Corp. | 144,033,949 | ||
2,712,763 | Moelis & Co. - Class A | 167,838,647 | ||
640,939,003 | ||||
Materials — 11.9% | ||||
1,097,228 | AptarGroup, Inc. | 130,954,162 | ||
1,607,284 | Ball Corp. | 144,607,342 | ||
325,481 | NewMarket Corp. | 110,263,198 | ||
1,118,045 | Vulcan Materials Co. | 189,128,492 | ||
574,953,194 | ||||
Consumer Discretionary — 11.8% | ||||
1,572,766 | CarMax, Inc.* | 201,251,137 | ||
636,907 | Churchill Downs, Inc. | 152,908,633 | ||
1,322,145 | Dollar Tree, Inc.* | 126,555,719 | ||
1,011,493 | Hasbro, Inc. | 90,245,406 | ||
570,960,895 | ||||
Consumer Staples — 8.4% | ||||
1,439,202 | Brown-Forman Corp. - Class B | 96,440,926 | ||
1,749,353 | Lamb Weston Holdings, Inc. | 107,357,793 | ||
1,842,398 | Post Holdings, Inc.* | 202,958,564 | ||
406,757,283 |
Shares | Market Value | |||
Health Care — 6.4% | ||||
769,875 | Haemonetics Corp.* | $ 54,345,476 | ||
2,365,153 | Perrigo Co. PLC | 111,942,691 | ||
707,345 | STERIS PLC | 144,496,438 | ||
310,784,605 | ||||
Real Estate — 2.4% | ||||
3,634,272 | STORE Capital Corp. REIT | 116,405,732 | ||
Total Common Stocks | $4,661,655,588 | |||
Short-Term Investment Fund — 3.6% | ||||
171,393,604 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 171,393,604 | ||
Total Investment Securities—100.1% (Cost $3,764,397,622) | $4,833,049,192 | |||
Liabilities in Excess of Other Assets — (0.1%) | (3,101,828) | |||
Net Assets — 100.0% | $4,829,947,364 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 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 | $4,661,655,588 | $— | $— | $4,661,655,588 |
Short-Term Investment Fund | 171,393,604 | — | — | 171,393,604 |
Total | $4,833,049,192 | $— | $— | $4,833,049,192 |
Shares | Market Value | |||
Common Stocks — 99.3% | ||||
Financials — 17.0% | ||||
251,852 | American International Group, Inc. | $ 13,824,156 | ||
74,647 | Ameriprise Financial, Inc. | 19,715,766 | ||
375,182 | Arch Capital Group Ltd.* | 14,324,449 | ||
167,144 | Hartford Financial Services Group, Inc. (The) | 11,741,866 | ||
316,438 | PacWest Bancorp | 14,340,970 | ||
164,223 | Pinnacle Financial Partners, Inc. | 15,450,100 | ||
147,347 | Reinsurance Group of America, Inc. | 16,393,827 | ||
65,884 | Signature Bank | 17,938,895 | ||
509,222 | Sterling Bancorp. | 12,710,181 | ||
110,672 | Western Alliance Bancorp | 12,043,327 | ||
148,483,537 | ||||
Industrials — 13.3% | ||||
186,617 | AerCap Holdings N.V. (Ireland)* | 10,788,329 | ||
183,372 | Clean Harbors, Inc. * | 19,046,849 | ||
98,988 | Dover Corp. | 15,392,634 | ||
184,995 | Hexcel Corp.* | 10,986,853 | ||
26,938 | Huntington Ingalls Industries, Inc. | 5,200,650 | ||
34,403 | Parker-Hannifin Corp. | 9,619,767 | ||
151,241 | Regal-Beloit Corp. | 22,737,572 | ||
38,622 | Snap-on, Inc. | 8,070,067 | ||
165,846 | Westinghouse Air Brake Technologies Corp. | 14,297,584 | ||
116,140,305 | ||||
Consumer Discretionary — 10.5% | ||||
6,491 | AutoZone, Inc.* | 11,021,653 | ||
304,754 | BorgWarner, Inc. | 13,168,420 | ||
83,410 | Carter's, Inc. | 8,110,788 | ||
136,636 | Columbia Sportswear Co. | 13,095,194 | ||
33,104 | Dollar General Corp. | 7,022,683 | ||
154,252 | Dollar Tree, Inc.* | 14,765,002 | ||
106,453 | Hasbro, Inc. | 9,497,737 | ||
304,754 | LKQ Corp.* | 15,335,221 | ||
92,016,698 | ||||
Consumer Staples — 10.2% | ||||
42,192 | Constellation Brands, Inc. - Class A | 8,889,433 | ||
207,713 | Darling Ingredients, Inc.* | 14,934,565 | ||
202,845 | Hain Celestial Group, Inc. (The)* | 8,677,709 | ||
206,415 | Ingredion, Inc. | 18,372,999 | ||
127,873 | Lamb Weston Holdings, Inc. | 7,847,566 | ||
320,982 | TreeHouse Foods, Inc.* | 12,800,762 | ||
224,265 | Tyson Foods, Inc. - Class A | 17,703,479 | ||
89,226,513 | ||||
Health Care — 10.0% | ||||
52,577 | AmerisourceBergen Corp. | 6,280,323 | ||
343,051 | Centene Corp.* | 21,375,508 | ||
22,294 | Charles River Laboratories International, Inc.* | 9,200,065 | ||
201,220 | Encompass Health Corp. | 15,099,549 | ||
275,987 | Envista Holdings Corp.* | 11,539,016 | ||
40,471 | Laboratory Corp. of America Holdings* | 11,390,158 | ||
88,125 | Zimmer Biomet Holdings, Inc. | 12,897,975 | ||
87,782,594 | ||||
Utilities — 9.8% | ||||
697,138 | CenterPoint Energy, Inc. | 17,149,595 | ||
101,260 | DTE Energy Co. | 11,311,755 | ||
177,530 | Entergy Corp. | 17,630,504 | ||
216,801 | Evergy, Inc. | 13,485,022 | ||
493,319 | NiSource, Inc. | 11,953,119 | ||
88,278 | Pinnacle West Capital Corp. | 6,387,796 | ||
125,926 | Spire, Inc. | 7,704,153 | ||
85,621,944 |
Shares | Market Value | |||
Real Estate — 8.8% | ||||
86,655 | Alexandria Real Estate Equities, Inc. REIT | $ 16,557,171 | ||
228,809 | American Campus Communities, Inc. REIT | 11,085,796 | ||
76,270 | Boston Properties, Inc. REIT | 8,263,855 | ||
947,692 | Chimera Investment Corp. REIT | 14,073,226 | ||
55,174 | Digital Realty Trust, Inc. REIT | 7,969,884 | ||
39,920 | Essex Property Trust, Inc. REIT | 12,764,021 | ||
403,094 | Host Hotels & Resorts, Inc. REIT* | 6,582,525 | ||
77,296,478 | ||||
Information Technology — 8.2% | ||||
141,851 | Akamai Technologies, Inc.* | 14,836,196 | ||
65,609 | F5 Networks, Inc.* | 13,041,757 | ||
111,646 | Leidos Holdings, Inc. | 10,732,530 | ||
83,410 | PTC, Inc.* | 9,991,684 | ||
89,566 | Qorvo, Inc.* | 14,974,539 | ||
597,176 | Rackspace Technology, Inc.*† | 8,491,843 | ||
72,068,549 | ||||
Materials — 6.5% | ||||
276,518 | Axalta Coating Systems Ltd. * | 8,071,560 | ||
203,819 | Berry Global Group, Inc.* | 12,408,501 | ||
124,953 | FMC Corp. | 11,440,697 | ||
739,979 | Livent Corp.* | 17,100,915 | ||
258,992 | Valvoline, Inc. | 8,075,370 | ||
57,097,043 | ||||
Energy — 5.0% | ||||
138,229 | ChampionX Corp.* | 3,090,800 | ||
164,548 | Cimarex Energy Co. | 14,348,586 | ||
96,716 | Pioneer Natural Resources | 16,104,181 | ||
140,531 | Valero Energy Corp. | 9,917,273 | ||
43,460,840 | ||||
Total Common Stocks | $869,194,501 | |||
Short-Term Investment Funds — 1.7% | ||||
8,275,496 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 8,275,496 | ||
6,225,459 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 6,225,459 | ||
Total Short-Term Investment Funds | $14,500,955 | |||
Total Investment Securities—101.0% (Cost $646,205,577) | $883,695,456 | |||
Liabilities in Excess of Other Assets — (1.0%) | (8,500,466) | |||
Net Assets — 100.0% | $875,194,990 |
* | 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 September 30, 2021 was $6,127,398. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2021. |
Portfolio Abbreviations: |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $869,194,501 | $— | $— | $869,194,501 |
Short-Term Investment Funds | 14,500,955 | — | — | 14,500,955 |
Total | $883,695,456 | $— | $— | $883,695,456 |
Shares | Market Value | |||
Common Stocks — 98.2% | ||||
Information Technology — 34.0% | ||||
541,638 | Atlassian Corp. PLC - Class A* | $ 212,007,946 | ||
506,034 | Cloudflare, Inc. - Class A* | 57,004,730 | ||
445,503 | Intuit, Inc. | 240,353,324 | ||
593,330 | ServiceNow, Inc.* | 369,211,459 | ||
103,949 | Shopify, Inc. (Canada) - Class A* | 140,931,975 | ||
408,800 | Snowflake, Inc. - Class A* | 123,633,384 | ||
1,598,593 | Square, Inc. - Class A* | 383,406,545 | ||
763,662 | Twilio, Inc. - Class A* | 243,646,361 | ||
1,737,818 | Visa, Inc. - Class A | 387,098,960 | ||
2,157,294,684 | ||||
Communication Services — 32.0% | ||||
229,752 | Charter Communications, Inc. - Class A* | 167,158,365 | ||
748,876 | Facebook, Inc. - Class A* | 254,161,026 | ||
1,498,664 | Match Group, Inc.* | 235,275,261 | ||
788,740 | Netflix, Inc.* | 481,399,571 | ||
2,071,063 | Sea Ltd. (Taiwan) ADR* | 660,109,910 | ||
3,280,540 | Warner Music Group Corp. - Class A | 140,210,280 | ||
1,076,615 | Zillow Group, Inc. - Class C* | 94,892,846 | ||
2,033,207,259 | ||||
Consumer Discretionary — 13.8% | ||||
632,392 | Airbnb, Inc. - Class A* | 106,083,758 | ||
85,171 | Amazon.com, Inc.* | 279,790,142 | ||
302,206 | Carvana Co.* | 91,127,197 | ||
823,902 | DoorDash, Inc. - Class A* | 169,707,334 | ||
408,964 | Fiverr International Ltd. (Israel)*† | 74,709,543 | ||
1,289,386 | Floor & Decor Holdings, Inc. - Class A* | 155,744,935 | ||
877,162,909 | ||||
Health Care — 12.1% | ||||
340,164 | Align Technology, Inc.* | 226,355,330 | ||
303,160 | DexCom, Inc.* | 165,786,078 | ||
1,032,995 | Edwards Lifesciences Corp.* | 116,945,364 | ||
1,373,263 | Sarepta Therapeutics, Inc.* | 126,999,362 | ||
691,206 | Zoetis, Inc. | 134,190,733 | ||
770,276,867 | ||||
Industrials — 6.3% | ||||
2,099,642 | CoStar Group, Inc.* | 180,695,191 | ||
4,823,510 | Uber Technologies, Inc.* | 216,093,248 | ||
396,788,439 | ||||
Total Common Stocks | $6,234,730,158 |
Shares | Market Value | |||
Short-Term Investment Funds — 2.1% | ||||
128,986,854 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | $ 128,986,854 | ||
7,374,840 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 7,374,840 | ||
Total Short-Term Investment Funds | $136,361,694 | |||
Total Investment Securities—100.3% (Cost $3,237,766,683) | $6,371,091,852 | |||
Liabilities in Excess of Other Assets — (0.3%) | (18,894,287) | |||
Net Assets — 100.0% | $6,352,197,565 |
* | 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 September 30, 2021 was $7,435,076. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 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 | $6,234,730,158 | $— | $— | $6,234,730,158 |
Short-Term Investment Funds | 136,361,694 | — | — | 136,361,694 |
Total | $6,371,091,852 | $— | $— | $6,371,091,852 |
Shares | Market Value | |||
Common Stocks — 96.7% | ||||
Industrials — 25.7% | ||||
32,453 | Armstrong World Industries, Inc. | $ 3,098,288 | ||
91,783 | Evoqua Water Technologies Corp.* | 3,447,370 | ||
46,199 | Kaman Corp. | 1,647,918 | ||
30,918 | Landstar System, Inc. | 4,879,479 | ||
26,275 | ManTech International Corp. - Class A | 1,994,798 | ||
31,910 | Masonite International Corp. * | 3,386,608 | ||
43,910 | Matson, Inc. | 3,543,976 | ||
11,537 | UniFirst Corp. | 2,452,997 | ||
24,451,434 | ||||
Consumer Discretionary — 21.7% | ||||
59,264 | Acushnet Holdings Corp. | 2,767,629 | ||
3,484 | Graham Holdings Co. - Class B | 2,052,633 | ||
38,218 | Malibu Boats, Inc. - Class A* | 2,674,496 | ||
21,640 | Murphy USA, Inc. | 3,619,506 | ||
40,985 | Penske Automotive Group, Inc. | 4,123,091 | ||
115,907 | Tempur Sealy International, Inc. | 5,379,244 | ||
20,616,599 | ||||
Financials — 14.3% | ||||
66,239 | Atlantic Union Bankshares Corp. | 2,440,907 | ||
84,439 | Cannae Holdings, Inc.* | 2,626,897 | ||
76,118 | Moelis & Co. - Class A | 4,709,421 | ||
3,520 | White Mountains Insurance Group Ltd. | 3,765,027 | ||
13,542,252 | ||||
Materials — 9.8% | ||||
92,825 | GCP Applied Technologies, Inc.* | 2,034,724 | ||
50,581 | Ingevity Corp.* | 3,609,966 | ||
9,473 | NewMarket Corp. | 3,209,169 | ||
39,290 | Tredegar Corp. | 478,552 | ||
9,332,411 | ||||
Information Technology — 8.5% | ||||
82,049 | ACI Worldwide, Inc.* | 2,521,366 | ||
78,254 | CTS Corp. | 2,418,831 | ||
27,803 | Qualys, Inc.* | 3,094,196 | ||
8,034,393 | ||||
Real Estate — 7.8% | ||||
114,516 | Alexander & Baldwin, Inc. REIT | 2,684,255 | ||
79,297 | Essential Properties Realty Trust, Inc. REIT | 2,213,972 | ||
37,421 | First Industrial Realty Trust, Inc. REIT | 1,948,886 | ||
30,324 | Tejon Ranch Co.* | 538,554 | ||
7,385,667 |
Shares | Market Value | |||
Health Care — 4.3% | ||||
23,444 | Haemonetics Corp.* | $ 1,654,912 | ||
31,164 | LivaNova PLC* | 2,467,877 | ||
4,122,789 | ||||
Consumer Staples — 3.5% | ||||
31,982 | Energizer Holdings, Inc. | 1,248,897 | ||
27,398 | PriceSmart, Inc. | 2,124,715 | ||
3,373,612 | ||||
Energy — 1.1% | ||||
40,528 | Dril-Quip, Inc. * | 1,020,495 | ||
Total Common Stocks | $91,879,652 | |||
Short-Term Investment Fund — 3.3% | ||||
3,100,211 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | 3,100,211 | ||
Total Investment Securities—100.0% (Cost $72,497,054) | $94,979,863 | |||
Liabilities in Excess of Other Assets — (0.0%) | (19,236) | |||
Net Assets — 100.0% | $94,960,627 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 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 | $91,879,652 | $— | $— | $91,879,652 |
Short-Term Investment Fund | 3,100,211 | — | — | 3,100,211 |
Total | $94,979,863 | $— | $— | $94,979,863 |
Shares | Market Value | |||
Common Stocks — 97.3% | ||||
Industrials — 22.3% | ||||
18,004 | Altra Industrial Motion Corp. | $ 996,521 | ||
14,618 | BWX Technologies, Inc. | 787,325 | ||
3,319 | CACI International, Inc. - Class A* | 869,910 | ||
13,433 | CIRCOR International, Inc. * | 443,423 | ||
13,324 | Clean Harbors, Inc. * | 1,383,964 | ||
4,706 | EMCOR Group, Inc. | 542,978 | ||
19,674 | Enerpac Tool Group Corp. | 407,842 | ||
11,014 | EnPro Industries, Inc. | 959,540 | ||
7,479 | Gates Industrial Corp. PLC* | 121,683 | ||
30,768 | Harsco Corp.* | 521,518 | ||
12,837 | Hexcel Corp.* | 762,389 | ||
8,526 | Hillenbrand, Inc. | 363,634 | ||
14,039 | Huron Consulting Group, Inc.* | 730,028 | ||
14,558 | ITT, Inc. | 1,249,659 | ||
15,774 | Kelly Services, Inc. - Class A | 297,813 | ||
16,347 | Korn/Ferry International | 1,182,869 | ||
9,589 | Masonite International Corp. * | 1,017,681 | ||
12,696 | Regal-Beloit Corp. | 1,908,717 | ||
11,422 | SPX FLOW, Inc. | 834,948 | ||
8,650 | Standex International Corp. | 855,572 | ||
11,012 | Zurn Water Solutions Corp. | 707,961 | ||
16,945,975 | ||||
Financials — 21.7% | ||||
34,875 | Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 1,238,411 | ||
39,088 | BankUnited, Inc. | 1,634,660 | ||
106,026 | FNB Corp. | 1,232,022 | ||
9,127 | Hanover Insurance Group, Inc. (The) | 1,183,042 | ||
4,487 | Kemper Corp. | 299,687 | ||
98,508 | MGIC Investment Corp. | 1,473,680 | ||
26,228 | PacWest Bancorp | 1,188,653 | ||
21,375 | Pinnacle Financial Partners, Inc. | 2,010,960 | ||
71,255 | Sterling Bancorp. | 1,778,525 | ||
71,890 | Umpqua Holdings Corp. | 1,455,772 | ||
26,533 | Univest Financial Corp. | 726,739 | ||
17,782 | Western Alliance Bancorp | 1,935,037 | ||
4,697 | Wintrust Financial Corp. | 377,498 | ||
16,534,686 | ||||
Consumer Staples — 8.8% | ||||
9,370 | Cal-Maine Foods, Inc. | 338,819 | ||
8,781 | Energizer Holdings, Inc. | 342,898 | ||
8,456 | Hain Celestial Group, Inc. (The)* | 361,748 | ||
94,896 | Hostess Brands, Inc.* | 1,648,343 | ||
13,508 | Ingredion, Inc. | 1,202,347 | ||
8,557 | MGP Ingredients, Inc. | 557,061 | ||
8,623 | Performance Food Group Co.* | 400,625 | ||
7,312 | Spectrum Brands Holdings, Inc. | 699,539 | ||
28,027 | TreeHouse Foods, Inc.* | 1,117,717 | ||
6,669,097 | ||||
Consumer Discretionary — 8.2% | ||||
24,668 | American Eagle Outfitters, Inc. | 636,434 | ||
12,788 | Callaway Golf Co. * | 353,333 | ||
4,063 | Carter's, Inc. | 395,086 | ||
6,274 | Dorman Products, Inc.* | 593,960 | ||
44,857 | Goodyear Tire & Rubber Co. (The)* | 793,969 | ||
9,040 | Murphy USA, Inc. | 1,512,030 | ||
5,298 | Oxford Industries, Inc. | 477,721 | ||
14,292 | Steven Madden Ltd. | 573,967 | ||
11,048 | Urban Outfitters, Inc.* | 328,015 | ||
13,759 | Vista Outdoor, Inc.* | 554,625 | ||
6,219,140 |
Shares | Market Value | |||
Real Estate — 7.8% | ||||
15,872 | American Campus Communities, Inc. REIT | $ 768,998 | ||
87,979 | Chimera Investment Corp. REIT | 1,306,488 | ||
40,838 | Columbia Property Trust, Inc. REIT | 776,739 | ||
18,440 | Corporate Office Properties Trust REIT | 497,511 | ||
23,866 | Dynex Capital, Inc. REIT | 412,405 | ||
39,787 | Lexington Realty Trust REIT | 507,284 | ||
114,779 | Newmark Group, Inc. - Class A | 1,642,488 | ||
5,911,913 | ||||
Information Technology — 7.4% | ||||
11,677 | Belden, Inc. | 680,302 | ||
5,911 | ExlService Holdings, Inc.* | 727,762 | ||
82,525 | Harmonic, Inc.* | 722,094 | ||
8,473 | MACOM Technology Solutions Holdings, Inc.* | 549,643 | ||
41,607 | Rackspace Technology, Inc.*† | 591,652 | ||
6,058 | Rogers Corp.* | 1,129,696 | ||
80,740 | Viavi Solutions, Inc.* | 1,270,848 | ||
5,671,997 | ||||
Materials — 6.5% | ||||
9,829 | Cabot Corp. | 492,629 | ||
8,745 | Ingevity Corp.* | 624,131 | ||
5,681 | Innospec, Inc. | 478,454 | ||
58,469 | Livent Corp.* | 1,351,219 | ||
60,203 | O-I Glass, Inc.* | 859,097 | ||
12,287 | Silgan Holdings, Inc. | 471,329 | ||
22,142 | Valvoline, Inc. | 690,387 | ||
4,967,246 | ||||
Utilities — 4.9% | ||||
11,136 | Black Hills Corp. | 698,895 | ||
8,962 | IDACORP, Inc. | 926,492 | ||
34,692 | Portland General Electric Co. | 1,630,177 | ||
8,097 | Spire, Inc. | 495,374 | ||
3,750,938 | ||||
Health Care — 4.6% | ||||
23,841 | Envista Holdings Corp.* | 996,792 | ||
12,101 | Integra LifeSciences Holdings Corp.* | 828,677 | ||
9,274 | NuVasive, Inc.* | 555,049 | ||
20,591 | Prestige Consumer Healthcare, Inc.* | 1,155,361 | ||
3,535,879 | ||||
Energy — 3.2% | ||||
25,691 | Cactus, Inc. - Class A | 969,064 | ||
17,534 | Helmerich & Payne, Inc. | 480,607 | ||
18,105 | PDC Energy, Inc. | 857,996 | ||
23,489 | Select Energy Services, Inc. - Class A* | 121,908 | ||
2,429,575 | ||||
Communication Services — 1.9% | ||||
5,250 | Cogent Communications Holdings, Inc. | 371,910 | ||
55,961 | TEGNA, Inc. | 1,103,550 | ||
1,475,460 | ||||
Total Common Stocks | $74,111,906 | |||
Exchange-Traded Fund — 1.5% | ||||
6,910 | iShares Russell 2000 Value ETF | 1,107,189 |
Shares | Market Value | |||
Short-Term Investment Funds — 2.2% | ||||
1,103,922 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | $ 1,103,922 | ||
593,895 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%∞Ω** | 593,895 | ||
Total Short-Term Investment Funds | $1,697,817 | |||
Total Investment Securities—101.0% (Cost $54,934,053) | $76,916,912 | |||
Liabilities in Excess of Other Assets — (1.0%) | (766,894) | |||
Net Assets — 100.0% | $76,150,018 |
* | 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 September 30, 2021 was $584,442. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2021. |
Portfolio Abbreviations: |
ETF – Exchange-Traded Fund |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $74,111,906 | $— | $— | $74,111,906 |
Exchange-Traded Fund | 1,107,189 | — | — | 1,107,189 |
Short-Term Investment Funds | 1,697,817 | — | — | 1,697,817 |
Total | $76,916,912 | $— | $— | $76,916,912 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 40.1% | ||||
$ 8,055,018 | ACC Auto Trust, Ser 2021-A, Class A, 144a, 1.080%, 4/15/27 | $ 8,063,320 | ||
817,222 | Aegis Asset Backed Securities Trust Mortgage Pass-Through Certificate, Ser 2005-4, Class M1, (1M LIBOR +0.675%), 0.761%, 10/25/35(A) | 816,883 | ||
631,701 | American Credit Acceptance Receivables Trust, Ser 2018-1, Class D, 144a, 3.930%, 4/10/24 | 634,239 | ||
4,200,000 | American Credit Acceptance Receivables Trust, Ser 2018-2, Class E, 144a, 5.160%, 9/10/24 | 4,345,343 | ||
3,000,000 | American Credit Acceptance Receivables Trust, Ser 2018-3, Class E, 144a, 5.170%, 10/15/24 | 3,087,756 | ||
11,000,000 | American Credit Acceptance Receivables Trust, Ser 2019-1, Class D, 144a, 3.810%, 4/14/25 | 11,270,737 | ||
1,803,729 | American Credit Acceptance Receivables Trust, Ser 2019-2, Class C, 144a, 3.170%, 6/12/25 | 1,817,216 | ||
9,285,000 | American Credit Acceptance Receivables Trust, Ser 2020-1, Class C, 144a, 2.190%, 3/13/26 | 9,373,820 | ||
1,228,490 | American Credit Acceptance Receivables Trust, Ser 2020-3, Class A, 144a, 0.620%, 10/13/23 | 1,228,790 | ||
2,480,001 | American Credit Acceptance Receivables Trust, Ser 2020-4, Class A, 144a, 0.530%, 3/13/24 | 2,481,489 | ||
2,269,281 | American Credit Acceptance Receivables Trust, Ser 2021-1, Class A, 144a, 0.350%, 5/13/24 | 2,269,739 | ||
5,812,000 | AmeriCredit Automobile Receivables Trust, Ser 2017-2, Class D, 3.420%, 4/18/23 | 5,849,860 | ||
3,850,942 | AmeriCredit Automobile Receivables Trust, Ser 2017-3, Class C, 2.690%, 6/19/23 | 3,865,539 | ||
5,609,413 | Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Ser 2006-HE3, Class A5, (1M LIBOR +0.270%), 0.626%, 3/25/36(A) | 5,625,326 | ||
242,296 | Avery Point IV CLO Ltd. (Cayman Islands), Ser 2014-1A, Class BR, 144a, (3M LIBOR +1.600%), 1.725%, 4/25/26(A) | 242,378 | ||
219,935 | Avid Automobile Receivables Trust, Ser 2019-1, Class A, 144a, 2.620%, 2/15/24 | 220,390 | ||
6,048,000 | BDS Ltd. (Cayman Islands), Ser 2020-FL5, Class B, 144a, (1M LIBOR +1.800%), 1.964%, 2/16/37(A) | 6,049,914 | ||
1,430,241 | Bear Stearns Asset Backed Securities Trust, Ser 2006-SD2, Class M1, (1M LIBOR +0.825%), 0.911%, 6/25/36(A) | 1,431,962 | ||
10,250,000 | Black Diamond CLO, Ltd. (Cayman Islands), Ser 2017-1A, Class A1AR, 144a, (3M LIBOR +1.050%), 1.175%, 4/24/29(A) | 10,250,892 | ||
4,897,849 | BSPRT Issuer Ltd. (Cayman Islands), Ser 2018-FL4, Class A, 144a, (1M LIBOR +1.050%), 1.134%, 9/15/35(A) | 4,897,855 | ||
942,061 | BSPRT Issuer Ltd. (Cayman Islands), Ser 2019-FL5, Class A, 144a, (1M LIBOR +1.150%), 1.234%, 5/15/29(A) | 941,482 | ||
3,767,400 | CIFC Funding Ltd. (Cayman Islands), Ser 2012-2RA, Class A1, 144a, (3M LIBOR +0.800%), 0.934%, 1/20/28(A) | 3,767,520 | ||
679,062 | CPS Auto Receivables Trust, Ser 2018-D, Class C, 144a, 3.830%, 9/15/23 | 680,426 | ||
1,111,625 | CPS Auto Receivables Trust, Ser 2019-A, Class C, 144a, 3.890%, 12/16/24 | 1,119,213 | ||
1,880,067 | CPS Auto Receivables Trust, Ser 2020-C, Class A, 144a, 0.630%, 3/15/24 | 1,880,803 | ||
3,500,000 | CPS Auto Trust, Ser 2018-C, Class D, 144a, 4.400%, 6/17/24 | 3,559,241 | ||
122,383 | Crossroads Asset Trust, Ser 2021-A, Class A1, 144a, 0.374%, 12/20/21 | 122,389 | ||
5,090,000 | Crossroads Asset Trust, Ser 2021-A, Class A2, 144a, 0.820%, 3/20/24 | 5,095,252 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 40.1% (Continued) | ||||
$ 1,403,030 | Drive Auto Receivables Trust, Ser 2017-3, Class D, 144a, 3.530%, 12/15/23 | $ 1,410,283 | ||
2,096,744 | Drive Auto Receivables Trust, Ser 2018-1, Class D, 3.810%, 5/15/24 | 2,113,761 | ||
4,956,376 | Drive Auto Receivables Trust, Ser 2018-2, Class D, 4.140%, 8/15/24 | 5,033,513 | ||
725,972 | Drive Auto Receivables Trust, Ser 2019-1, Class C, 3.780%, 4/15/25 | 730,069 | ||
559,806 | Drive Auto Receivables Trust, Ser 2019-4, Class B, 2.230%, 1/16/24 | 560,249 | ||
1,768,712 | DT Auto Owner Trust, Ser 2018-1A, Class D, 144a, 3.810%, 12/15/23 | 1,774,423 | ||
102,117 | DT Auto Owner Trust, Ser 2018-3A, Class C, 144a, 3.790%, 7/15/24 | 102,258 | ||
14,980,000 | DT Auto Owner Trust, Ser 2018-3A, Class D, 144a, 4.190%, 7/15/24 | 15,266,594 | ||
3,144,914 | DT Auto Owner Trust, Ser 2019-1A, Class C, 144a, 3.610%, 11/15/24 | 3,161,289 | ||
3,012,299 | DT Auto Owner Trust, Ser 2019-3A, Class C, 144a, 2.740%, 4/15/25 | 3,041,122 | ||
10,000,000 | DT Auto Owner Trust, Ser 2020-1A, Class C, 144a, 2.290%, 11/17/25 | 10,175,129 | ||
1,223,529 | DT Auto Owner Trust, Ser 2020-2A, Class A, 144a, 1.140%, 1/16/24 | 1,226,001 | ||
3,253,194 | DT Auto Owner Trust, Ser 2020-3A, Class A, 144a, 0.540%, 4/15/24 | 3,256,410 | ||
2,207,836 | DT Auto Owner Trust, Ser 2021-1A, Class A, 144a, 0.350%, 1/15/25 | 2,208,773 | ||
2,500,009 | Elara HGV Timeshare Issuer LLC, Ser 2016-A, Class A, 144a, 2.730%, 4/25/28 | 2,540,616 | ||
7,044,406 | Encina Equipment Finance LLC, Ser 2021-1A, Class A1, 144a, 0.500%, 9/15/25 | 7,049,398 | ||
3,796,353 | Exeter Automobile Receivables Trust, Ser 2018-2A, Class D, 144a, 4.040%, 3/15/24 | 3,882,952 | ||
74,145 | Exeter Automobile Receivables Trust, Ser 2018-4A, Class C, 144a, 3.970%, 9/15/23 | 74,262 | ||
485,193 | Exeter Automobile Receivables Trust, Ser 2019-1A, Class C, 144a, 3.820%, 12/16/24 | 486,935 | ||
4,160,000 | Exeter Automobile Receivables Trust, Ser 2020-1A, Class C, 144a, 2.490%, 1/15/25 | 4,212,994 | ||
6,386,424 | FCI Funding LLC, Ser 2021-1A, Class A, 144a, 1.130%, 4/15/33 | 6,390,538 | ||
2,484,316 | Flagship Credit Auto Trust, Ser 2016-4, Class D, 144a, 3.890%, 11/15/22 | 2,487,887 | ||
1,588,650 | Flagship Credit Auto Trust, Ser 2017-1, Class D, 144a, 4.230%, 5/15/23 | 1,598,857 | ||
844,002 | Flagship Credit Auto Trust, Ser 2017-3, Class C, 144a, 2.910%, 9/15/23 | 845,775 | ||
143,557 | Flagship Credit Auto Trust, Ser 2018-3, Class B, 144a, 3.590%, 12/16/24 | 143,774 | ||
10,000,000 | Flagship Credit Auto Trust, Ser 2019-1, Class C, 144a, 3.600%, 2/18/25 | 10,220,752 | ||
1,445,282 | Flagship Credit Auto Trust, Ser 2019-3, Class A, 144a, 2.330%, 2/15/24 | 1,451,503 | ||
4,147,472 | FNA VI LLC, Ser 2021-1A, Class A, 144a, 1.350%, 1/10/32 | 4,143,228 | ||
142,031 | FNMA REMIC Trust, Ser 2001-W4, Class AF5, 5.614%, 2/25/32(A)(B) | 168,382 | ||
630,000 | Foursight Capital Automobile Receivables Trust, Ser 2018-1, Class E, 144a, 5.560%, 1/16/24 | 636,718 | ||
4,680,000 | Foursight Capital Automobile Receivables Trust, Ser 2018-2, Class D, 144a, 4.330%, 7/15/24 | 4,798,989 | ||
799,328 | GLS Auto Receivables Issuer Trust, Ser 2019-4A, Class A, 144a, 2.470%, 11/15/23 | 801,513 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 40.1% (Continued) | ||||
$ 3,350,000 | GLS Auto Receivables Issuer Trust, Ser 2019-4A, Class B, 144a, 2.780%, 9/16/24 | $ 3,399,514 | ||
1,006,861 | GLS Auto Receivables Issuer Trust, Ser 2020-1A, Class A, 144a, 2.170%, 2/15/24 | 1,010,655 | ||
1,708,271 | GLS Auto Receivables Issuer Trust, Ser 2020-4A, Class A, 144a, 0.520%, 2/15/24 | 1,709,559 | ||
592,262 | GLS Auto Receivables Trust, Ser 2018-3A, Class B, 144a, 3.780%, 8/15/23 | 594,236 | ||
8,168,890 | GLS Auto Receivables Trust, Ser 2021-2A, Class A, 144a, 0.310%, 11/15/24 | 8,166,840 | ||
974,843 | Grand Avenue CRE, Ltd., Ser 2019-FL1, Class A, 144a, (1M LIBOR +1.120%), 1.204%, 6/15/37(A) | 974,539 | ||
7,250,000 | Grand Avenue CRE, Ltd. (Cayman Islands), Ser 2020-FL2, Class C, 144a, (SOFR30A +3.734%), 3.784%, 3/15/35(A) | 7,295,246 | ||
499,517 | Home Equity Asset Trust, Ser 2005-3, Class M4, (1M LIBOR +0.640%), 1.046%, 8/25/35(A) | 499,735 | ||
172,921 | Home Equity Asset Trust, Ser 2005-8, Class M1, (1M LIBOR +0.430%), 0.731%, 2/25/36(A) | 172,904 | ||
3,124,762 | Magnetite XVI Ltd. (Cayman Islands), Ser 2015-16A, Class AR, 144a, (3M LIBOR +0.800%), 0.934%, 1/18/28(A) | 3,123,356 | ||
7,175,000 | MF1, Ltd., Ser 2020-FL4, Class A, 144a, (SOFR30A +1.814%), 1.864%, 11/15/35(A) | 7,216,235 | ||
4,000,000 | MF1, Ltd., Ser 2020-FL4, Class AS, 144a, (SOFR30A +2.214%), 2.264%, 11/15/35(A) | 4,029,981 | ||
1,963,000 | MF1, Ltd., Ser 2020-FL4, Class C, 144a, (SOFR30A +3.714%), 3.764%, 11/15/35(A) | 1,992,380 | ||
1,287,321 | Mill City Mortgage Loan Trust, Ser 2017-1, Class A1, 144a, 2.750%, 11/25/58(A)(B) | 1,293,199 | ||
9,700,000 | Monroe Capital Mml CLO Ltd. (Cayman Islands), Ser 2017-1A, Class AR, 144a, (3M LIBOR +1.300%), 1.438%, 4/22/29(A) | 9,696,343 | ||
6,250,000 | Neuberger Berman CLO XV (Cayman Islands), Ser 2013-15A, Class A1R2, 144a, (3M LIBOR +0.920%), 1.046%, 10/15/29(A) | 6,250,700 | ||
2,557,032 | NMEF Funding LLC, Ser 2021-A, Class A1, 144a, 0.341%, 3/15/22 | 2,557,288 | ||
1,178,107 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2018-4A, Class A1, 144a, (3M LIBOR +0.900%), 1.025%, 11/15/26(A) | 1,178,420 | ||
2,365,642 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2019-1A, Class A1, 144a, (3M LIBOR +1.050%), 1.184%, 4/20/27(A) | 2,366,032 | ||
4,017,057 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2019-3A, Class A1, 144a, (3M LIBOR +0.850%), 0.981%, 8/20/27(A) | 4,017,700 | ||
3,110,673 | Palmer Square Loan Funding Ltd. (Cayman Islands), Ser 2020-1A, Class A1, 144a, (3M LIBOR +1.025%), 0.931%, 2/20/28(A) | 3,110,850 | ||
10,500,000 | Palmer Square Loan Funding, Ltd. (Cayman Islands), Ser 2021-4A, Class A1, 144a, (3M LIBOR +0.800%), 1.000%, 10/15/29(A) | 10,500,000 | ||
2,927,098 | Peaks CLO 1 Ltd. (Cayman Islands), Ser 2014-1A, Class A2R, 144a, (3M LIBOR +1.410%), 1.535%, 7/25/30(A) | 2,927,291 | ||
1,444,077 | Prestige Auto Receivables Trust, Ser 2018-1A, Class C, 144a, 3.750%, 10/15/24 | 1,455,823 | ||
2,250,000 | Prestige Auto Receivables Trust, Ser 2018-1A, Class D, 144a, 4.140%, 10/15/24 | 2,302,070 | ||
6,783,300 | Progress Residential Trust, Ser 2019-SFR1, Class A, 144a, 3.422%, 8/17/35 | 6,853,885 | ||
2,289,781 | RAMP Series Trust, Ser 2005-RS6, Class M4, (1M LIBOR +0.975%), 1.061%, 6/25/35(A) | 2,293,861 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 40.1% (Continued) | ||||
$ 3,278,981 | RAMP Series Trust, Ser 2006-NC3, Class A3, (1M LIBOR +0.540%), 0.626%, 3/25/36(A) | $ 3,276,559 | ||
775,831 | RAMP Series Trust, Ser 2006-RZ5, Class A3, (1M LIBOR +0.250%), 0.336%, 8/25/46(A) | 775,485 | ||
3,095,646 | RAMP Trust, Ser 2005-RS5, Class M4, (1M LIBOR +0.640%), 1.046%, 5/25/35(A) | 3,086,307 | ||
518,000 | Santander Consumer Auto Receivables Trust, Ser 2020-BA, Class A2, 144a, 0.380%, 2/15/23 | 518,043 | ||
4,900,000 | Santander Drive Auto Receivables Trust, Ser 2017-3, Class E, 4.970%, 1/15/25 | 4,944,283 | ||
8,919,153 | Santander Drive Auto Receivables Trust, Ser 2018-1, Class D, 3.320%, 3/15/24 | 8,994,376 | ||
5,000,000 | Santander Drive Auto Receivables Trust, Ser 2018-1, Class E, 144a, 4.370%, 5/15/25 | 5,084,245 | ||
1,359,466 | Santander Drive Auto Receivables Trust, Ser 2019-2, Class C, 2.900%, 10/15/24 | 1,369,006 | ||
1,112,323 | Sierra Timeshare Receivables Funding LLC, Ser 2016-3A, Class B, 144a, 2.630%, 10/20/33 | 1,112,944 | ||
565,993 | Sierra Timeshare Receivables Funding LLC, Ser 2019-1A, Class B, 144a, 3.420%, 1/20/36 | 583,097 | ||
779,250 | Structured Asset Investment Loan Trust, Ser 2005-1, Class M2, 144a, (1M LIBOR +0.720%), 0.806%, 2/25/35(A) | 781,195 | ||
4,183,417 | Symphony CLO XIV Ltd. (Cayman Islands), Ser 2014-14A, Class AR, 144a, (3M LIBOR +0.950%), 1.083%, 7/14/26(A) | 4,183,589 | ||
1,814,901 | Towd Point Mortgage Trust, Ser 2015-4, Class A2, 144a, 3.750%, 4/25/55(A)(B) | 1,820,033 | ||
3,726,744 | Towd Point Mortgage Trust, Ser 2016-3, Class A1, 144a, 2.250%, 4/25/56(A)(B) | 3,735,306 | ||
6,232,730 | Towd Point Mortgage Trust, Ser 2017-1, Class A1, 144a, 2.750%, 10/25/56(A)(B) | 6,316,886 | ||
9,167,741 | Towd Point Mortgage Trust, Ser 2017-5, Class A1, 144a, (1M LIBOR +0.600%), 0.686%, 2/25/57(A) | 9,167,670 | ||
3,843,813 | Towd Point Mortgage Trust, Ser 2019-HY1, Class A1, 144a, (1M LIBOR +1.000%), 1.086%, 10/25/48(A) | 3,866,564 | ||
2,549,682 | Towd Point Mortgage Trust, Ser 2019-MH1, Class A1, 144a, 3.000%, 11/25/58(A)(B) | 2,585,533 | ||
3,870,387 | Towd Point Mortgage Trust, Ser 2019-SJ3, Class A1, 144a, 3.000%, 11/25/59(A)(B) | 3,877,846 | ||
7,791,000 | Towd Point Mortgage Trust, Ser 2019-SJ3, Class A2, 144a, 3.000%, 11/25/59(A)(B) | 7,803,003 | ||
7,500,000 | Towd Point Mortgage Trust, Ser 2019-SJ3, Class M1, 144a, 3.250%, 11/25/59(A)(B) | 7,505,074 | ||
1,319,692 | Tricon American Homes Trust, Ser 2017-SFR2, Class A, 144a, 2.928%, 1/17/36 | 1,342,083 | ||
2,101,274 | United Auto Credit Securitization Trust, Ser 2020-1, Class B, 144a, 1.470%, 11/10/22 | 2,102,680 | ||
1,130,693 | Westlake Automobile Receivables Trust, Ser 2018-2A, Class D, 144a, 4.000%, 1/16/24 | 1,136,572 | ||
12,000,000 | Westlake Automobile Receivables Trust, Ser 2018-2A, Class E, 144a, 4.860%, 1/16/24 | 12,180,880 | ||
2,831,471 | Westlake Automobile Receivables Trust, Ser 2018-3A, Class D, 144a, 4.000%, 10/16/23 | 2,860,361 | ||
4,844,566 | Westlake Automobile Receivables Trust, Ser 2019-1A, Class C, 144a, 3.450%, 3/15/24 | 4,863,553 | ||
8,200,000 | Westlake Automobile Receivables Trust, Ser 2019-1A, Class E, 144a, 4.490%, 7/15/24 | 8,529,118 | ||
10,000,000 | Westlake Automobile Receivables Trust, Ser 2019-2A, Class D, 144a, 3.200%, 11/15/24 | 10,252,273 | ||
5,832,786 | Westlake Automobile Receivables Trust, Ser 2020-3A, Class A2, 144a, 0.560%, 5/15/24 | 5,840,261 | ||
Total Asset-Backed Securities | $430,468,188 |
Principal Amount | Market Value | |||
Commercial Mortgage-Backed Securities — 21.2% | ||||
$ 1,383,652 | AREIT Trust, Ser 2019-CRE3, Class A, 144a, (SOFR30A +1.134%), 1.184%, 9/14/36(A) | $ 1,383,156 | ||
7,000,000 | AREIT Trust, Ser 2020-CRE4, Class C, 144a, (SOFR30A +3.222%), 3.272%, 4/15/37(A) | 7,094,969 | ||
4,800,000 | Austin Fairmont Hotel Trust, Ser 2019-FAIR, Class C, 144a, (1M LIBOR +1.450%), 1.534%, 9/15/32(A) | 4,778,908 | ||
8,145,000 | BHMS, Ser 2018-ATLS, Class A, 144a, (1M LIBOR +1.250%), 1.334%, 7/15/35(A) | 8,166,665 | ||
8,900,000 | BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 2.034%, 2/15/29(A) | 8,904,170 | ||
3,838,920 | BX Commercial Mortgage Trust, Ser 2018-IND, Class A, 144a, (1M LIBOR +0.750%), 0.834%, 11/15/35(A) | 3,841,248 | ||
6,631,939 | BX Commercial Mortgage Trust, Ser 2019-XL, Class A, 144a, (1M LIBOR +0.970%), 1.004%, 10/15/36(A) | 6,644,764 | ||
12,119,526 | BX Commercial Mortgage Trust, Ser 2019-XL, Class B, 144a, (1M LIBOR +1.080%), 1.164%, 10/15/36(A) | 12,127,128 | ||
4,734,478 | BX Trust, Ser 2019-RP, Class A, 144a, (1M LIBOR +1.045%), 1.129%, 6/15/34(A) | 4,731,633 | ||
8,245,000 | BXMT LTD (Cayman Islands), Ser 2020-FL2, Class AS, 144a, (SOFR30A +1.264%), 1.314%, 2/15/38(A) | 8,229,575 | ||
6,494,000 | BXMT Ltd. (Cayman Islands), Ser 2020-FL2, Class A, 144a, (1M LIBOR +0.900%), 1.064%, 2/15/38(A) | 6,487,893 | ||
7,200,000 | BXP Trust, Ser 2017-CQHP, Class A, 144a, (1M LIBOR +0.850%), 0.934%, 11/15/34(A) | 7,145,296 | ||
2,100,000 | CGRBS Commercial Mortgage Trust, Ser 2013-VN05, Class C, 144a, 3.703%, 3/13/35(A)(B) | 2,163,585 | ||
2,144,448 | Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Class AAB, 2.690%, 4/10/46 | 2,169,546 | ||
1,026,729 | Citigroup Commercial Mortgage Trust, Ser 2015-GC35, Class A2, 3.063%, 11/10/48 | 1,027,057 | ||
16,941,000 | COMM Mortgage Trust, Ser 2012-CR2, Class A4, 3.147%, 8/15/45 | 17,127,090 | ||
5,072,113 | COMM Mortgage Trust, Ser 2012-LC4, Class A4, 3.288%, 12/10/44 | 5,072,993 | ||
34,822,497 | COMM Mortgage Trust, Ser 2014-UBS3, Class XA, 1.225%, 6/10/47(A)(B)(C) | 817,277 | ||
2,680,000 | CSMC Trust, Ser 2017-CHOP, Class A, 144a, (1M LIBOR +0.750%), 1.084%, 7/15/32(A) | 2,673,484 | ||
6,080,000 | CSMC Trust, Ser 2017-PFHP, Class A, 144a, (1M LIBOR +0.950%), 1.034%, 12/15/30(A) | 6,080,739 | ||
10,177,972 | DBGS Mortgage Trust, Ser 2018-BIOD, Class B, 144a, (1M LIBOR +0.888%), 0.972%, 5/15/35(A) | 10,190,701 | ||
118,906,000 | GS Mortgage Securities Corp. II, Ser 2017-SLP, Class XA, 144a, 1.325%, 10/10/32(A)(B)(C) | 955,231 | ||
94,257,000 | HONO Mortgage Trust, Ser 2021-LULU, Class XCP, 144a, 0.508%, 10/15/36(A)(B)(C) | 462,798 | ||
2,937,026 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2012-CBX, Class A4, 3.483%, 6/15/45 | 2,967,346 | ||
102,036 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2012-CBX, Class A4FL, 144a, (1M LIBOR +1.300%), 1.384%, 6/15/45(A) | 102,150 | ||
13,021,156 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2016-WIKI, Class C, 144a, 3.554%, 10/5/31 | 13,016,205 | ||
2,750,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2019-MFP, Class C, 144a, (1M LIBOR +1.360%), 1.444%, 7/15/36(A) | 2,736,235 |
Principal Amount | Market Value | |||
Commercial Mortgage-Backed Securities — 21.2% (Continued) | ||||
$ 3,478,355 | JPMBB Commercial Mortgage Securities Trust, Ser 2014-C24, Class A2, 2.940%, 11/15/47 | $ 3,498,918 | ||
5,000,000 | MF1 Ltd. (Cayman Islands), Ser 2020-FL3, Class AS, 144a, (1M LIBOR +2.850%), 3.014%, 7/15/35(A) | 5,068,716 | ||
4,790,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Class E, 144a, 4.813%, 8/15/45(A)(B) | 4,829,304 | ||
7,630,084 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Class A4, 2.858%, 11/15/45 | 7,733,030 | ||
601,321 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Class A3FL, 144a, (1M LIBOR +1.000%), 1.084%, 7/15/46(A) | 602,872 | ||
1,739,656 | Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C8, Class ASB, 2.699%, 12/15/48 | 1,760,358 | ||
2,202,679 | Morgan Stanley Capital I Trust, Ser 2012-C4, Class A4, 3.244%, 3/15/45 | 2,214,853 | ||
1,111,000 | Morgan Stanley Capital I Trust, Ser 2017-CLS, Class A, 144a, (1M LIBOR +0.700%), 0.784%, 11/15/34(A) | 1,111,000 | ||
8,700,000 | Morgan Stanley Capital I Trust, Ser 2017-CLS, Class B, 144a, (1M LIBOR +0.850%), 0.934%, 11/15/34(A) | 8,699,998 | ||
8,564,922 | Morgan Stanley Capital I Trust, Ser 2018-BOP, Class A, 144a, (1M LIBOR +0.850%), 0.934%, 8/15/33(A) | 8,559,841 | ||
2,024,500 | Ready Captial Mortgage Financing, Ser 2019-FL3, Class A, 144a, (1M LIBOR +1.000%), 1.086%, 3/25/34(A) | 2,017,953 | ||
1,216,803 | ReadyCap Commercial Mortgage Trust, Ser 2018-4, Class A, 144a, 3.390%, 2/27/51 | 1,253,645 | ||
3,442,841 | Tharaldson Hotel Portfolio Trust, Ser 2018-THL, Class A, 144a, (1M LIBOR +0.750%), 0.983%, 11/11/34(A) | 3,443,855 | ||
601,347 | UBS-Citigroup Commercial Mortgage Trust, Ser 2011-C1, Class XA, 144a, 1.627%, 1/10/45(A)(B)(C) | 19 | ||
7,195,754 | Wells Fargo Commercial Mortgage Trust, Ser 2017-C38, Class A2, 3.043%, 7/15/50 | 7,261,613 | ||
11,718,973 | WFRBS Commercial Mortgage Trust, Ser 2012-C7, Class AFL, 144a, (1M LIBOR +1.200%), 1.284%, 6/15/45(A) | 11,711,982 | ||
10,450,000 | WFRBS Commercial Mortgage Trust, Ser 2013-C12, Class D, 144a, 4.520%, 3/15/48(A)(B) | 10,320,861 | ||
456,223 | WFRBS Commercial Mortgage Trust, Ser 2014-C19, Class A3, 3.660%, 3/15/47 | 452,480 | ||
Total Commercial Mortgage-Backed Securities | $227,639,140 | |||
Corporate Bonds — 19.0% | ||||
Utilities — 7.0% | ||||
5,000,000 | Atmos Energy Corp., (3M LIBOR +0.380%), 0.496%, 3/9/23(A) | 5,000,682 | ||
8,000,000 | CenterPoint Energy Resources Corp., (3M LIBOR +0.500%), 0.620%, 3/2/23(A) | 8,001,273 | ||
10,000,000 | Cleco Power LLC, 144a, (3M LIBOR +0.500%), 0.616%, 6/15/23(A) | 10,000,729 | ||
7,225,000 | Dominion Energy, Inc., (3M LIBOR +0.530%), 0.646%, 9/15/23(A) | 7,226,705 | ||
10,000,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +0.270%), 0.401%, 2/22/23(A) | 10,000,626 | ||
7,500,000 | ONE Gas, Inc., (3M LIBOR +0.610%), 0.724%, 3/11/23(A) | 7,500,518 |
Principal Amount | Market Value | |||
Corporate Bonds — 19.0% (Continued) | ||||
Utilities — (Continued) | ||||
$ 7,000,000 | Pacific Gas & Electric Co., (1M LIBOR +1.200%), 1.500%, 11/15/21(A) | $ 7,003,267 | ||
7,500,000 | Pacific Gas and Electric Co., 1.750%, 6/16/22 | 7,488,010 | ||
7,000,000 | Southern California Edison Co., (3M LIBOR +0.270%), 0.389%, 12/3/21(A) | 7,000,888 | ||
2,500,000 | Southern California Edison Co., Ser F, (SOFR +0.350%), 0.400%, 6/13/22(A) | 2,501,230 | ||
3,000,000 | Southern California Gas Co., (3M LIBOR +0.350%), 0.466%, 9/14/23(A) | 3,001,081 | ||
74,725,009 | ||||
Financials — 2.6% | ||||
4,367,000 | Comerica, Inc., 3.700%, 7/31/23 | 4,611,846 | ||
4,000,000 | FNB Corp., 2.200%, 2/24/23 | 4,058,531 | ||
2,000,000 | Intercontinental Exchange, Inc., 0.700%, 6/15/23 | 2,008,442 | ||
3,800,000 | Mitsubishi UFJ Financial Group, Inc. (Japan), (1 Year CMT Rate +0.680%), 0.848%, 9/15/24 | 3,816,606 | ||
7,000,000 | National Bank of Canada (Canada), (1 Year CMT Rate +0.770%), 0.900%, 8/15/23 | 7,029,122 | ||
2,800,000 | Sumitomo Mitsui Trust Bank Ltd. (Japan), 144a, 0.800%, 9/12/23 | 2,816,850 | ||
4,000,000 | UBS Group AG (Switzerland), 144a, (1 Year CMT Rate +0.830%), 1.008%, 7/30/24 | 4,025,600 | ||
28,366,997 | ||||
Health Care — 2.0% | ||||
11,500,000 | AbbVie, Inc., 3.450%, 3/15/22 | 11,602,334 | ||
7,225,000 | Dignity Health, 3.125%, 11/1/22 | 7,420,606 | ||
2,500,000 | Upjohn, Inc., 144a, 1.125%, 6/22/22 | 2,513,259 | ||
21,536,199 | ||||
Consumer Staples — 1.6% | ||||
3,350,000 | 7-Eleven, Inc., 144a, (3M LIBOR +0.450%), 0.578%, 8/10/22(A) | 3,350,805 | ||
2,800,000 | Mondelez International, Inc., 0.625%, 7/1/22 | 2,807,958 | ||
5,500,000 | Nestle Holdings, Inc., 144a, 0.375%, 1/15/24 | 5,478,345 | ||
1,570,000 | Reckitt Benckiser Treasury Services PLC (United Kingdom), 144a, (3M LIBOR +0.560%), 0.689%, 6/24/22(A) | 1,576,141 | ||
4,500,000 | Triton Container International, Ltd. (Bermuda), 144a, 0.800%, 8/1/23 | 4,496,065 | ||
17,709,314 | ||||
Consumer Discretionary — 1.5% | ||||
3,500,000 | American Honda Finance Corp., MTN, 0.875%, 7/7/23 | 3,527,109 | ||
5,000,000 | Hyundai Capital America, 144a, 0.800%, 1/8/24 | 4,978,341 | ||
2,500,000 | Hyundai Capital America, 144a, 2.375%, 2/10/23 | 2,554,899 | ||
5,000,000 | Toyota Motor Corp. (Japan), 0.681%, 3/25/24 | 5,005,705 | ||
16,066,054 | ||||
Industrials — 1.2% | ||||
12,500,000 | Otis Worldwide Corp., (3M LIBOR +0.650%), 0.595%, 4/5/23(A) | 12,501,272 | ||
Materials — 1.1% | ||||
7,000,000 | LYB International Finance III LLC, (3M LIBOR +1.000%), 1.131%, 10/1/23(A) | 7,004,076 | ||
5,000,000 | Nutrien Ltd. (Canada), 1.900%, 5/13/23 | 5,107,251 | ||
12,111,327 | ||||
Information Technology — 0.9% | ||||
10,000,000 | SK Hynix, Inc. (South Korea), 144a, 1.000%, 1/19/24 | 9,946,400 | ||
Real Estate — 0.6% | ||||
6,040,000 | SBA Tower Trust REIT, 144a, 3.722%, 4/11/23 | 6,054,023 |
Principal Amount | Market Value | |||
Energy — 0.5% | ||||
$ 5,000,000 | Energy Transfer Partners LP / Regency Energy Finance Corp., 4.500%, 11/1/23 | $ 5,319,819 | ||
Total Corporate Bonds | $204,336,414 | |||
Commercial Paper — 10.9% | ||||
11,500,000 | AT&T, Inc., 0.422%, 12/15/21(D) | 11,495,606 | ||
22,600,000 | Fidelity National Information Services, Inc., 0.200%, 10/13/21(D) | 22,598,939 | ||
4,300,000 | Fidelity National Information Services, Inc., 0.210%, 10/27/21(D) | 4,299,526 | ||
1,700,000 | Glencore PLC, 0.240%, 10/8/21(D) | 1,699,945 | ||
5,000,000 | Glencore PLC, 0.240%, 10/14/21(D) | 4,999,660 | ||
10,150,000 | New Jersey Natural Gas Co., 0.160%, 10/6/21(D) | 10,149,882 | ||
5,200,000 | Oglethorpe, Inc., 0.180%, 10/28/21(D) | 5,199,438 | ||
11,000,000 | Relx Inc., 0.090%, 10/1/21(D) | 10,999,960 | ||
4,500,000 | Sinopec Century Bright Capital Investment Ltd., 0.220%, 10/19/21(D) | 4,499,534 | ||
25,000,000 | Vectren Utility Holdings, Inc., 0.120%, 10/1/21(D) | 24,999,917 | ||
15,700,000 | Ventas Realty LP, 0.120%, 10/1/21(D) | 15,699,947 | ||
Total Commercial Paper | $116,642,354 | |||
Non-Agency Collateralized Mortgage Obligations — 6.3% | ||||
1,122,276 | Bear Stearns ARM Trust, Ser 2003-1, Class 5A1, 2.176%, 4/25/33(A)(B)†† | 1,185,607 | ||
131,120 | Bear Stearns Asset Backed Securities Trust, Ser 2003-AC7, Class A2, 5.750%, 1/25/34(A)(B)†† | 133,458 | ||
6,582,214 | BRAVO Residential Funding Trust, Ser 2019-NQM1, Class A1, 144a, 2.666%, 7/25/59(A)(B) | 6,609,191 | ||
5,057,964 | BRAVO Residential Funding Trust, Ser 2019-NQM2, Class A1, 144a, 2.748%, 11/25/59(A)(B) | 5,089,379 | ||
15,742,985 | Cascade Funding Mortgage Trust, Ser 2021-HB6, Class A, 144a, 0.898%, 6/25/36(A)(B) | 15,748,018 | ||
6,785,959 | CFMT LLC, Ser 2020-HB4, Class A, 144a, 0.946%, 12/26/30(A)(B) | 6,798,223 | ||
12,838 | Community Program Loan Trust, Ser 1987-A, Class A5, 4.500%, 4/1/29 | 12,886 | ||
1,721,193 | GSR Mortgage Loan Trust, Ser 2003-13, Class 1A1, 2.609%, 10/25/33(A)(B) | 1,839,627 | ||
64,978 | JP Morgan Mortgage Trust, Ser 2006-A4, Class 2A2, 2.319%, 6/25/36(A)(B) | 53,464 | ||
59,513 | Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Class 1A, 1.980%, 12/25/34(A)(B) | 61,129 | ||
17,101 | Merrill Lynch Mortgage Investors Trust, Ser 2003-A1, Class 2A, (12M LIBOR +1.625%), 1.860%, 12/25/32(A) | 17,203 | ||
10,000,000 | NewRez Warehouse Securitization Trust, Ser 2021-1, Class A, 144a, (1M LIBOR +0.750%), 0.836%, 5/25/55(A) | 10,010,637 | ||
297,185 | Provident Funding Mortgage Trust, Ser 2020-1, Class A3, 144a, 3.000%, 2/25/50(A)(B) | 297,349 | ||
538,655 | RFMSI Trust, Ser 2007-SA1, Class 1A1, 3.371%, 2/25/37(A)(B) | 487,274 | ||
2,639,556 | Sequoia Mortgage Trust, Ser 2013-7, Class B2, 3.504%, 6/25/43(A)(B) | 2,669,221 | ||
1,639,711 | Sequoia Mortgage Trust, Ser 2018-CH4, Class A13, 144a, 4.500%, 10/25/48(A)(B) | 1,658,218 | ||
6,281,345 | Starwood Mortgage Residential Trust, Ser 2019-INV1, Class A1, 144a, 2.610%, 9/27/49(A)(B) | 6,352,460 | ||
8,201,982 | Towd Point HE Trust 2021- HE1, Ser 2021-HE1, Class A1, 144a, 0.918%, 2/25/63(A)(B) | 8,198,569 | ||
Total Non-Agency Collateralized Mortgage Obligations | $67,221,913 |
Principal Amount | Market Value | |||
U.S. Government Agency Obligations — 2.1% | ||||
$ 1,055 | Small Business Administration Participation Certificates, 6.140%, 1/1/22 | $ 1,065 | ||
5,598 | Small Business Administration Participation Certificates, Ser 2003-20E, Class 1, 4.640%, 5/1/23 | 5,741 | ||
57,077 | Small Business Administration Pools, (Prime Rate -2.500%), Pool #508374, (Prime Rate +(2.500)%), 0.750%, 4/25/28(A) | 58,084 | ||
5,826,600 | United States International Development Finance Corp., 0.080%, 4/20/35(A) | 5,826,600 | ||
4,300,000 | United States International Development Finance Corp., 0.080%, 7/5/38(A) | 4,300,000 | ||
2,090,000 | United States International Development Finance Corp., 0.090%, 5/15/26(A) | 2,090,000 | ||
10,000,000 | United States International Development Finance Corp., 0.090%, 9/30/27(A) | 10,000,000 | ||
Total U.S. Government Agency Obligations | $22,281,490 | |||
Agency Collateralized Mortgage Obligations — 1.9% | ||||
61,773,566 | FHLMC Multifamily Structured Pass Through Certificates, Ser K040, Class X1, 0.843%, 9/25/24(A)(B)(C) | 1,109,076 | ||
175,199 | FHLMC REMIC, Ser 2770, Class FH, (1M LIBOR +0.400%), 0.484%, 3/15/34(A) | 176,580 | ||
1,116,985 | FHLMC REMIC, Ser 4238, Class TL, 1.250%, 8/15/27 | 1,112,440 | ||
45,823 | FNMA REMIC, Ser 2003-119, Class PU, 4.000%, 11/25/33 | 46,951 | ||
35,129 | FNMA REMIC, Ser 2003-33, Class AM, 4.250%, 5/25/33 | 38,292 | ||
24,644 | FNMA REMIC, Ser 2003-42, Class CA, 4.000%, 5/25/33 | 26,222 | ||
122,904 | FNMA REMIC, Ser 2003-81, Class FE, (1M LIBOR +0.500%), 0.586%, 9/25/33(A) | 124,496 | ||
288,612 | FNMA REMIC, Ser 2009-32, Class BH, 5.250%, 5/25/39 | 314,221 | ||
1,163 | FNMA REMIC, Ser 2011-15, Class HC, 2.500%, 3/25/26 | 1,167 | ||
71,844 | FNMA REMIC, Ser 2012-102, Class NA, 1.500%, 9/25/27 | 72,803 | ||
109,032 | FNMA REMIC, Ser 2012-47, Class AI, 3.000%, 5/25/22(C) | 569 | ||
4,535,000 | FREMF Mortgage Trust, Ser 2012-K18, Class B, 144a, 4.316%, 1/25/45(A)(B) | 4,576,352 | ||
2,530,080 | FREMF Mortgage Trust, Ser 2012-K21, Class B, 144a, 4.064%, 7/25/45(A)(B) | 2,586,409 | ||
2,965,000 | FREMF Mortgage Trust, Ser 2015-K718, Class B, 144a, 3.658%, 2/25/48(A)(B) | 2,986,799 | ||
6,400,000 | FREMF Mortgage Trust, Ser 2015-K718, Class C, 144a, 3.658%, 2/25/48(A)(B) | 6,449,597 | ||
52,228 | GNMA, Ser 2002-72, Class AB, 4.500%, 10/20/32 | 52,233 | ||
24,895 | GNMA, Ser 2011-57, Class BA, 3.000%, 5/20/40 | 25,745 | ||
84,361 | GNMA, Ser 2012-27, Class A, 1.614%, 7/16/39 | 84,987 | ||
983,844 | GNMA, Ser 2014-109, Class A, 2.325%, 1/16/46 | 984,690 | ||
Total Agency Collateralized Mortgage Obligations | $20,769,629 | |||
Municipal Bonds — 1.2% | ||||
Other Territory — 0.8% | ||||
1,495,000 | Taxable Municipal Funding Trust, Rev., 144a, 0.260%, 11/1/24(A)(B) | 1,495,000 |
Principal Amount | Market Value | |||
Other Territory — (Continued) | ||||
$ 7,000,000 | Taxable Municipal Funding Trust, Txbl Floaters Ser 2020 11, (LOC - Barclays Bank PLC), 144a, 0.260%, 9/1/30(A)(B) | $ 7,000,000 | ||
100,000 | Taxable Municipal Funding Trust, Txbl Muni Fltrs Btmft 2020-003, (LOC - Barclays Bank PLC), 144a, 0.260%, 1/16/25(A)(B) | 100,000 | ||
8,595,000 | ||||
Nebraska — 0.3% | ||||
3,000,000 | Taxable Municipal Funding Trust, Rev., 144a, 0.260%, 7/1/35(A)(B) | 3,000,000 | ||
California — 0.1% | ||||
1,105,000 | CA St Enterprise Dev Authority, Txbl Variable J Harris Indl Wt, (LOC - City National Bank), 144a, 0.430%, 9/1/41(A)(B) | 1,105,000 | ||
Total Municipal Bonds | $12,700,000 | |||
U.S. Government Mortgage-Backed Obligations — 0.7% | ||||
136,187 | FHLMC, Pool #1B7189, (12M LIBOR +2.470%), 2.843%, 3/1/36(A) | 145,722 | ||
180,686 | FHLMC, Pool #1H1354, (1 Year CMT Rate +2.250%), 2.339%, 11/1/36(A) | 193,572 | ||
100,979 | FHLMC, Pool #1J1813, (12M LIBOR +1.925%), 2.175%, 8/1/37(A) | 107,489 | ||
89,744 | FHLMC, Pool #1L0147, (1 Year CMT Rate +2.290%), 2.290%, 7/1/35(A) | 89,399 | ||
51,078 | FHLMC, Pool #1Q0080, (12M LIBOR +1.663%), 1.918%, 1/1/36(A) | 53,819 | ||
123,064 | FHLMC, Pool #1Q0119, (12M LIBOR +1.840%), 2.115%, 9/1/36(A) | 130,709 | ||
86,093 | FHLMC, Pool #1Q0187, (12M LIBOR +1.796%), 2.255%, 12/1/36(A) | 89,273 | ||
68,915 | FHLMC, Pool #1Q0339, (12M LIBOR +1.882%), 2.210%, 4/1/37(A) | 73,247 | ||
121,523 | FHLMC, Pool #1Q1303, (1 Year CMT Rate +2.250%), 2.358%, 11/1/36(A) | 127,832 | ||
180,810 | FHLMC, Pool #781515, (1 Year CMT Rate +2.250%), 2.375%, 4/1/34(A) | 192,322 | ||
85,122 | FHLMC, Pool #782760, (1 Year CMT Rate +2.250%), 2.306%, 11/1/36(A) | 91,312 | ||
81,009 | FHLMC, Pool #847795, (1 Year CMT Rate +2.277%), 2.387%, 4/1/35(A) | 81,888 | ||
219,860 | FHLMC, Pool #848539, (1 Year CMT Rate +2.270%), 2.397%, 4/1/37(A) | 231,015 | ||
452,795 | FHLMC, Pool #848583, (1 Year CMT Rate +2.318%), 2.429%, 1/1/36(A) | 481,615 | ||
6,573 | FHLMC, Pool #A92646, 5.500%, 6/1/40 | 7,621 | ||
7,059 | FHLMC, Pool #C03505, 5.500%, 6/1/40 | 8,183 | ||
269 | FHLMC, Pool #G00100, 8.000%, 2/1/23 | 278 | ||
21,359 | FHLMC, Pool #G01840, 5.000%, 7/1/35 | 24,388 | ||
7,185 | FNMA, Pool #175123, 7.450%, 8/1/22 | 7,217 | ||
65,351 | FNMA, Pool #254868, 5.000%, 9/1/33 | 73,086 | ||
26,007 | FNMA, Pool #256272, 5.500%, 6/1/26 | 29,021 | ||
46,822 | FNMA, Pool #256852, 6.000%, 8/1/27 | 52,525 | ||
12,089 | FNMA, Pool #323832, 7.500%, 7/1/29 | 13,876 | ||
520 | FNMA, Pool #334593, 7.000%, 5/1/24 | 540 | ||
22,075 | FNMA, Pool #665773, 7.500%, 6/1/31 | 22,162 | ||
79,992 | FNMA, Pool #679742, (1 Year CMT Rate +2.582%), 2.833%, 1/1/40(A) | 80,153 | ||
77,855 | FNMA, Pool #725424, 5.500%, 4/1/34 | 89,001 | ||
255,462 | FNMA, Pool #725490, (12M LIBOR +1.621%), 1.844%, 4/1/34(A) | 262,253 | ||
12,528 | FNMA, Pool #735484, 5.000%, 5/1/35 | 14,271 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 0.7% (Continued) | ||||
$ 59,817 | FNMA, Pool #791978, (6M LIBOR +1.518%), 1.768%, 9/1/34(A) | $ 59,886 | ||
74,279 | FNMA, Pool #813170, (12M LIBOR +1.575%), 1.950%, 1/1/35(A) | 76,708 | ||
290,566 | FNMA, Pool #815323, (6M LIBOR +1.532%), 1.747%, 1/1/35(A) | 301,546 | ||
71,723 | FNMA, Pool #820364, (12M LIBOR +0.827%), 1.077%, 4/1/35(A) | 71,903 | ||
127,887 | FNMA, Pool #827787, (6M LIBOR +1.550%), 1.800%, 5/1/35(A) | 132,864 | ||
44,815 | FNMA, Pool #889060, 6.000%, 1/1/38 | 54,152 | ||
49,117 | FNMA, Pool #889061, 6.000%, 1/1/38 | 58,058 | ||
2,996 | FNMA, Pool #889382, 5.500%, 4/1/38 | 3,498 | ||
116,707 | FNMA, Pool #922674, (12M LIBOR +1.905%), 2.252%, 4/1/36(A) | 123,826 | ||
25,391 | FNMA, Pool #960376, 5.500%, 12/1/37 | 29,635 | ||
340,368 | FNMA, Pool #995405, 5.500%, 10/1/23 | 350,443 | ||
30,517 | FNMA, Pool #AA1150, 4.000%, 4/1/23 | 32,308 | ||
4,887 | FNMA, Pool #AD0941, 5.500%, 4/1/40 | 5,707 | ||
34,476 | FNMA, Pool #AE0363, 5.000%, 7/1/37 | 39,274 | ||
34,101 | FNMA, Pool #AE5441, 5.000%, 10/1/40 | 38,397 | ||
47,988 | FNMA, Pool #AI6588, 4.000%, 7/1/26 | 50,912 | ||
63,675 | FNMA, Pool #AI8506, 4.000%, 8/1/26 | 67,679 | ||
65,175 | FNMA, Pool #AL0211, 5.000%, 4/1/41 | 74,484 | ||
3,719 | FNMA, Pool #AL0302, 5.000%, 4/1/24 | 3,876 | ||
298,907 | FNMA, Pool #AL0478, (12M LIBOR +1.773%), 2.146%, 4/1/36(A) | 315,517 | ||
124,490 | FNMA, Pool #AL0543, 5.000%, 7/1/41 | 142,272 | ||
58,172 | FNMA, Pool #AL1105, 4.500%, 12/1/40 | 64,978 | ||
13,422 | FNMA, Pool #AL2591, 5.500%, 5/1/38 | 14,624 | ||
250,987 | FNMA, Pool #AL5275, (6M LIBOR +1.511%), 1.727%, 9/1/37(A) | 260,571 | ||
859,223 | FNMA, Pool #AL7396, (6M LIBOR +1.535%), 1.774%, 2/1/37(A) | 891,627 | ||
1,610 | GNMA, Pool #344233, 8.000%, 2/15/23 | 1,629 | ||
6,494 | GNMA, Pool #345123, 8.000%, 12/15/23 | 6,521 | ||
417 | GNMA, Pool #780322, 8.000%, 11/15/22 | 418 | ||
220,006 | GNMA, Pool #80826, (1 Year CMT Rate +1.500%), 2.000%, 2/20/34(A) | 228,986 | ||
90,800 | GNMA, Pool #80889, (1 Year CMT Rate +1.500%), 1.875%, 4/20/34(A) | 94,531 | ||
178,026 | GNMA, Pool #81016, (1 Year CMT Rate +1.500%), 2.250%, 8/20/34(A) | 185,247 | ||
210,720 | GNMA, Pool #82760, (1 Year CMT Rate +1.500%), 2.000%, 3/20/41(A) | 220,165 | ||
71,952 | GNMA, Pool #MA2392, (1 Year CMT Rate +1.500%), 2.125%, 11/20/44(A) | 74,380 | ||
371,344 | GNMA, Pool #MA2466, (1 Year CMT Rate +1.500%), 2.125%, 12/20/44(A) | 384,003 | ||
Total U.S. Government Mortgage-Backed Obligations | $7,234,414 |
Shares | MarketValue | |||
Short-Term Investment Fund — 0.0% | ||||
68,699 | Dreyfus Government Cash Management, Institutional Shares, 0.03%∞Ω | $ 68,699 | ||
Total Investment Securities—103.4% (Cost $1,110,555,628) | $1,109,362,241 | |||
Liabilities in Excess of Other Assets — (3.4%) | (36,359,344) | |||
Net Assets — 100.0% | $1,073,002,897 |
(A) | Variable rate security - Rate reflected is the rate in effect as of September 30, 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 September 30, 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 |
FREMF – Freddie Mac Multifamily Securitization |
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 |
SOFR – Secured Overnight Financing Rate |
SOFR30A – Secured Overnight Financing Rate 30 Day Average |
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 September 30, 2021, these securities were valued at $702,249,365 or 65.4% 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 | $— | $430,468,188 | $— | $430,468,188 |
Commercial Mortgage-Backed Securities | — | 227,639,140 | — | 227,639,140 |
Corporate Bonds | — | 204,336,414 | — | 204,336,414 |
Commercial Paper | — | 116,642,354 | — | 116,642,354 |
Non-Agency Collateralized Mortgage Obligations | — | 67,221,913 | — | 67,221,913 |
U.S. Government Agency Obligations | — | 22,281,490 | — | 22,281,490 |
Agency Collateralized Mortgage Obligations | — | 20,769,629 | — | 20,769,629 |
Municipal Bonds | — | 12,700,000 | — | 12,700,000 |
U.S. Government Mortgage-Backed Obligations | — | 7,234,414 | — | 7,234,414 |
Short-Term Investment Fund | 68,699 | — | — | 68,699 |
Total | $68,699 | $1,109,293,542 | $— | $1,109,362,241 |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone Dividend Equity Fund | Touchstone High Yield Fund | Touchstone Impact Bond Fund | |
Assets | ||||||
Investments, at cost | $376,249,136 | $37,155,450 | $262,686,480 | $3,643,459,044 | $138,876,827 | $421,017,213 |
Investments, at market value * | $385,251,585 | $40,268,628 | $263,797,859 | $3,724,540,759 | $141,570,105 | $434,065,898 |
Cash | 18 | — | 4,621,221 | — | 249,268 | 177,223 |
Cash deposits held at prime broker (A) | 72,970 | — | 2,926,927 | — | — | — |
Foreign currency † | — | 40,973 | 2,210,237 | — | — | — |
Unrealized appreciation on forward foreign currency contracts | — | — | 102,844 | — | — | — |
Dividends and interest receivable | 1,994,763 | 69,654 | 2,353,388 | 4,328,417 | 1,821,777 | 2,435,482 |
Receivable for capital shares sold | 146,261 | — | 2,541,288 | 467,700 | 105,431 | 1,219,254 |
Receivable for investments sold | 10,957,903 | — | 17,362,385 | 37,373,688 | 3,302,760 | — |
Receivable for variation margin on swap agreements | — | — | 79,172 | — | — | — |
Receivable for securities lending income | 424 | 76 | 2,158 | — | 592 | — |
Tax reclaim receivable | — | 52,215 | — | 44,536 | — | — |
Other assets | 23,442 | 3,003 | 23,461 | 38,058 | 13,443 | 23,831 |
Total Assets | 398,447,366 | 40,434,549 | 296,020,940 | 3,766,793,158 | 147,063,376 | 437,921,688 |
Liabilities | ||||||
Written options, at market value ‡ | — | — | 3,840 | — | — | — |
Dividends payable | — | — | — | — | — | — |
Securities sold short** | — | — | 991,005 | — | — | — |
Dividend and interest payable on securities sold short | — | — | 18,573 | — | — | — |
Payable for return of collateral for securities on loan | 1,088,958 | 863,950 | 1,191,570 | — | 396,750 | — |
Payable for capital shares redeemed | 469,590 | 8,389 | 2,612,207 | 14,482,791 | 68,661 | 1,681,654 |
Payable for investments purchased | 7,964,552 | — | 13,561,456 | 41,845,367 | 7,005,923 | 67,010 |
Payable to Investment Advisor | 124,883 | 4,937 | 116,925 | 1,698,830 | 67,303 | 80,110 |
Payable to other affiliates | 88,949 | 5,305 | 44,319 | 1,518,505 | 20,722 | 53,954 |
Payable to Trustees | 11,676 | 11,676 | 11,676 | 6,172 | 11,676 | 11,676 |
Payable for professional services | 33,108 | 28,341 | 45,797 | 43,638 | 29,878 | 31,862 |
Payable for reports to shareholders | 4,364 | 838 | 4,176 | 88,400 | 2,417 | 4,289 |
Payable for transfer agent services | 119,522 | 159 | 68,240 | 806,653 | 32,695 | 159,098 |
Other accrued expenses and liabilities | 9,785 | 13,134 | 84,449 | 5,711 | 7,489 | 6,064 |
Total Liabilities | 9,915,387 | 936,729 | 18,754,233 | 60,496,067 | 7,643,514 | 2,095,717 |
Net Assets | $388,531,979 | $39,497,820 | $277,266,707 | $3,706,297,091 | $139,419,862 | $435,825,971 |
Net assets consist of: | ||||||
Par value | 350,313 | 33,465 | 264,685 | 2,201,279 | 163,100 | 411,567 |
Paid-in capital | 469,619,558 | 33,463,963 | 325,746,935 | 3,569,337,236 | 149,974,773 | 427,067,020 |
Distributable earnings (deficit) | (81,437,892) | 6,000,392 | (48,744,913) | 134,758,576 | (10,718,011) | 8,347,384 |
Net Assets | $388,531,979 | $39,497,820 | $277,266,707 | $3,706,297,091 | $139,419,862 | $435,825,971 |
*Includes market value of securities on loan of: | $1,046,360 | $818,742 | $1,134,003 | $— | $374,325 | $— |
†Cost of foreign currency: | $— | $41,174 | $2,226,260 | $— | $— | $— |
‡Premiums received from written options: | $— | $— | $4,862 | $— | $— | $— |
**Proceeds received for securities sold short: | $— | $— | $998,255 | $— | $— | $— |
(A) | Represents segregated cash for futures contracts, swap agreements, securities sold short and/or written options. |
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 |
$26,174,785 | $3,764,397,622 | $646,205,577 | $3,237,766,683 | $72,497,054 | $54,934,053 | $1,110,555,628 |
$33,363,159 | $4,833,049,192 | $883,695,456 | $6,371,091,852 | $94,979,863 | $76,916,912 | $1,109,362,241 |
— | — | — | — | — | — | 2,158,277 |
— | — | — | — | — | — | — |
— | — | — | — | — | — | — |
— | — | — | — | — | — | — |
41,713 | 3,695,216 | 1,067,236 | — | 87,066 | 80,322 | 1,785,685 |
21,179 | 6,719,542 | 1,084,098 | 4,926,992 | 3,948,379 | 6,404 | 2,778,238 |
— | — | 2,339,828 | — | — | 393,408 | 36,984 |
— | — | — | — | — | — | — |
8 | — | 801 | 3,764 | — | 109 | — |
41,287 | — | — | — | — | — | — |
12,003 | 94,209 | 23,861 | 62,809 | 12,510 | 16,139 | 26,403 |
33,479,349 | 4,843,558,159 | 888,211,280 | 6,376,085,417 | 99,027,818 | 77,413,294 | 1,116,147,828 |
— | — | — | — | — | — | — |
— | — | — | — | — | — | 105,345 |
— | — | — | — | — | — | — |
— | — | — | — | — | — | — |
— | — | 6,225,459 | 7,374,840 | — | 593,895 | — |
477 | 5,898,769 | 1,178,581 | 5,791,251 | 3,915,942 | 20,469 | 2,740,787 |
— | — | 4,405,881 | 3,657,630 | — | 500,277 | 39,435,396 |
17,645 | 4,154,620 | 459,634 | 3,205,051 | 59,235 | 57,763 | 198,194 |
8,018 | 693,026 | 97,556 | 1,623,318 | 11,081 | 16,432 | 228,282 |
11,676 | 11,676 | 11,676 | 11,676 | 11,677 | 11,676 | 11,676 |
28,774 | 85,144 | 33,395 | 98,744 | 23,316 | 24,760 | 39,490 |
2,876 | 114,088 | 48,136 | 51,283 | 3,863 | 3,095 | 9,713 |
17,468 | 2,369,665 | 548,886 | 1,952,870 | 33,122 | 31,853 | 362,415 |
8,903 | 283,807 | 7,086 | 121,189 | 8,955 | 3,056 | 13,633 |
95,837 | 13,610,795 | 13,016,290 | 23,887,852 | 4,067,191 | 1,263,276 | 43,144,931 |
$33,383,512 | $4,829,947,364 | $875,194,990 | $6,352,197,565 | $94,960,627 | $76,150,018 | $1,073,002,897 |
36,729 | 1,025,289 | 367,618 | 2,855,908 | 66,681 | 23,382 | 1,165,594 |
23,988,050 | 3,645,144,474 | 592,732,890 | 2,611,933,219 | 61,678,279 | 68,996,448 | 1,177,745,098 |
9,358,733 | 1,183,777,601 | 282,094,482 | 3,737,408,438 | 33,215,667 | 7,130,188 | (105,907,795) |
$33,383,512 | $4,829,947,364 | $875,194,990 | $6,352,197,565 | $94,960,627 | $76,150,018 | $1,073,002,897 |
$— | $— | $6,127,398 | $7,435,076 | $— | $584,442 | $— |
$— | $— | $— | $— | $— | $— | $— |
$— | $— | $— | $— | $— | $— | $— |
$— | $— | $— | $— | $— | $— | $— |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone Dividend Equity Fund | Touchstone High Yield Fund | Touchstone Impact Bond Fund | |
Pricing of Class A Shares | ||||||
Net assets applicable to Class A shares | $186,813,302 | $— | $141,421,572 | $1,737,803,538 | $15,080,936 | $17,997,282 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 16,800,614 | — | 13,522,085 | 102,971,890 | 1,810,342 | 1,701,910 |
Net asset value price per share* | $11.12 | $— | $10.46 | $16.88 | $8.33 | $10.57 |
Maximum sales charge - Class A shares | 3.25% | — | 3.25% | 5.00% | 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 | $11.49 | $— | $10.81 | $17.77 | $8.61 | $10.93 |
Pricing of Class C Shares | ||||||
Net assets applicable to Class C shares | $9,228,989 | $— | $31,605,373 | $806,336,492 | $835,369 | $1,634,789 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 906,621 | — | 3,120,390 | 48,178,779 | 100,546 | 154,748 |
Net asset value and offering price per share** | $10.18 | $— | $10.13 | $16.74 | $8.31 | $10.56 |
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 | $92,882,274 | $272,382 | $101,612,588 | $1,161,841,386 | $36,447,367 | $199,280,257 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 8,359,264 | 23,116 | 9,579,984 | 68,958,505 | 4,248,353 | 18,816,886 |
Net asset value, offering price and redemption price per share | $11.11 | $11.78 | $10.61 | $16.85 | $8.58 | $10.59 |
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 | $99,607,414 | $39,225,438 | $2,627,174 | $313,236 | $87,056,190 | $216,913,643 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | 8,964,781 | 3,323,393 | 246,076 | 18,596 | 10,150,730 | 20,483,192 |
Net asset value, offering price and redemption price per share | $11.11 | $11.80 | $10.68 | $16.84 | $8.58 | $10.59 |
Pricing of Class R6 Shares | ||||||
Net assets applicable to Class R6 shares | $— | $— | $— | $2,439 | $— | $— |
Shares of beneficial interest outstanding (unlimited number of shares authorized, $0.01 par value) | — | — | — | 145 | — | — |
Net asset value, offering price and redemption price per share | $— | $— | $— | $16.84 | $— | $— |
* | 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 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 |
$10,218,431 | $137,477,338 | $13,604,673 | $841,243,137 | $5,265,872 | $24,619,696 | $144,172,258 |
1,122,932 | 2,958,707 | 576,054 | 40,822,709 | 374,781 | 757,734 | 15,660,818 |
$9.10 | $46.47 | $23.62 | $20.61 | $14.05 | $32.49 | $9.21 |
5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 2.00% |
$9.58 | $48.92 | $24.86 | $21.69 | $14.79 | $34.20 | $9.40 |
$2,727,386 | $90,388,311 | $4,167,360 | $75,082,286 | $196,767 | $561,584 | $4,248,773 |
302,710 | 2,101,818 | 183,381 | 4,428,494 | 15,501 | 18,078 | 461,091 |
$9.01 | $43.00 | $22.73 | $16.95 | $12.69 | $31.06 | $9.21 |
$— | $— | $— | $— | $— | $— | $52,455,749 |
— | — | — | — | — | — | 5,695,654 |
$— | $— | $— | $— | $— | $— | $9.21 |
$20,434,180 | $3,258,366,978 | $400,865,478 | $1,784,642,509 | $49,842,084 | $41,792,910 | $296,363,133 |
2,246,860 | 69,057,146 | 16,881,601 | 78,054,264 | 3,490,080 | 1,281,504 | 32,174,551 |
$9.09 | $47.18 | $23.75 | $22.86 | $14.28 | $32.61 | $9.21 |
$— | $54,367,904 | $— | $570,205,926 | $— | $— | $75,058,395 |
— | 1,178,712 | — | 27,636,509 | — | — | 8,151,287 |
$— | $46.12 | $— | $20.63 | $— | $— | $9.21 |
$3,515 | $676,846,377 | $456,557,479 | $2,582,030,038 | $39,655,904 | $9,175,828 | $500,704,589 |
386 | 14,298,207 | 19,120,793 | 112,840,588 | 2,787,698 | 280,864 | 54,415,969 |
$9.10 | $47.34 | $23.88 | $22.88 | $14.23 | $32.67 | $9.20 |
$— | $612,500,456 | $— | $498,993,669 | $— | $— | $— |
— | 12,934,309 | — | 21,808,473 | — | — | — |
$— | $47.35 | $— | $22.88 | $— | $— | $— |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | Touchstone Dividend Equity Fund(A) | Touchstone Dividend Equity Fund(B) | |
Investment Income | |||||
Dividends from affiliated securities | $— | $— | $74,422 | $— | $— |
Dividends from non-affiliated securities* | — | 806,160 | — | 123,482,652 | 311,026,372 |
Interest | 10,706,146 | — | 7,670,900 | — | 42,196 |
Income from securities loaned | 3,174 | 7,917 | 10,542 | — | — |
Total Investment Income | 10,709,320 | 814,077 | 7,755,864 | 123,482,652 | 311,068,568 |
Expenses | |||||
Investment advisory fees | 1,447,372 | 180,217 | 839,540 | 20,474,307 | 30,885,403 |
Administration fees | 498,524 | 53,918 | 185,034 | 1,045,745 | — |
Compliance fees and expenses | 2,984 | 2,984 | 2,984 | 771 | — |
Custody fees | 54,842 | 31,811 | 70,439 | 272,621 | 665,936 |
Professional fees | 40,199 | 56,663 | 95,303 | 370,263 | 528,129 |
Transfer Agent fees, Class A | 105,895 | — | 26,031 | 3,140,989 | 4,230,251 |
Transfer Agent fees, Class B | — | — | — | 281,391 | 533,665 |
Transfer Agent fees, Class C | 5,214 | — | 4,323 | 1,880,527 | 3,996,925 |
Transfer Agent fees, Class S | — | — | — | — | — |
Transfer Agent fees, Class Y | 88,263 | 488 | 53,055 | 2,684,512 | 6,022,582 |
Transfer Agent fees, Class Z | — | — | — | — | — |
Transfer Agent fees, Institutional Class | 9,431 | 49 | 397 | 50 | — |
Transfer Agent fees, Class R6 | — | — | — | 3 | — |
Pricing expense | 12,151 | 17,755 | 8,517 | — | — |
Registration Fees, Class A | 20,042 | — | 10,660 | 22,856 | 47,133 |
Registration Fees, Class B | — | — | — | 13,052 | 16,138 |
Registration Fees, Class C | 13,161 | — | 11,036 | 21,107 | 35,860 |
Registration Fees, Class S | — | — | — | — | — |
Registration Fees, Class Y | 15,951 | 3,433 | 19,888 | 26,621 | 55,347 |
Registration Fees, Class Z | — | — | — | — | — |
Registration Fees, Institutional Class | 12,975 | 3,952 | 8,832 | 4 | — |
Registration Fees, Class R6 | — | — | — | 1 | — |
Interest expense on securities sold short | — | — | 67,690 | — | 56,646 |
Reports to Shareholders, Class A(C) | 8,507 | — | 4,880 | 74,902 | 249,425 |
Reports to Shareholders, Class C | 2,706 | — | 2,584 | 53,173 | 212,883 |
Reports to Shareholders, Class S | — | — | — | — | — |
Reports to Shareholders, Class Y | 5,047 | 2,742 | 5,132 | 87,431 | 320,894 |
Reports to Shareholders, Class Z | — | — | — | — | — |
Reports to Shareholders, Institutional Class | 3,102 | 2,738 | 2,392 | 1,437 | — |
Reports to Shareholders, Class R6 | — | — | — | 1,459 | — |
Shareholder servicing fees, Class Y | — | — | — | 1,662,906 | 4,053,991 |
Shareholder servicing fees, Class Z | — | — | — | — | — |
Distribution and shareholder servicing expenses, Class A | 349,241 | — | 94,133 | 5,369,759 | 6,521,122 |
Distribution and shareholder servicing expenses, Class B | — | — | — | 1,241,935 | 2,343,195 |
Distribution and shareholder servicing expenses, Class C | 59,882 | — | 85,149 | 9,462,957 | 17,926,597 |
Distribution expenses, Class S | — | — | — | — | — |
Trustee fees | 21,633 | 21,633 | 21,633 | 426,810 | 581,625 |
Other expenses | 89,704 | 15,287 | 32,130 | 342,486 | 157,093 |
Total Expenses | 2,866,826 | 393,670 | 1,651,762 | 48,960,075 | 79,440,840 |
Fees waived and/or reimbursed by the Advisor and/or Affiliates(D) | (150,115) | (157,113) | (318,872) | (135,900) | — |
Fees recouped by the Advisor(D) | — | — | — | — | — |
Net Expenses | 2,716,711 | 236,557 | 1,332,890 | 48,824,175 | 79,440,840 |
Net Investment Income (Loss) | 7,992,609 | 577,520 | 6,422,974 | 74,658,477 | 231,627,728 |
Realized and Unrealized Gains (Losses) on Investments | |||||
Net realized gains(losses) on investments in non-affiliated securities(E) | 10,708,172 | 3,578,249 | 12,455,843 | 693,404,709 | (637,360,833) |
Net realized gains on investments in affiliated securities | — | — | 1,726,958 | — | — |
Net realized losses on securities sold short | — | — | (23,497) | — | — |
Net realized gains on written options | — | — | 92,039 | — | — |
Net realized gains (losses) on futures contracts | 694,641 | — | — | — | — |
Net realized losses on swap agreements | — | — | (142,759) | — | — |
Net realized gains on forward foreign currency contracts | — | — | 119,489 | — | — |
Net realized gains (losses) on foreign currency transactions | — | (1,479) | (58,768) | — | — |
Net change in unrealized appreciation (depreciation) on investments(F) | (14,791,882) | (283,173) | (487,597) | 199,414,510 | (532,491,386) |
Net change in unrealized appreciation (depreciation) on securities sold short | — | — | 27,760 | — | — |
Net change in unrealized appreciation (depreciation) on written options | — | — | (12,408) | — | — |
Net change in unrealized appreciation (depreciation) on futures contracts | 7,671 | — | — | — | — |
Net change in unrealized appreciation (depreciation) on swap agreements | — | — | (22,781) | — | — |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | — | — | 98,064 | — | — |
Net change in unrealized appreciation (depreciation) on foreign currency transactions | — | (2,021) | (29,269) | — | — |
Net Realized and Unrealized Gains (Losses) on Investments | (3,381,398) | 3,291,576 | 13,743,074 | 892,819,219 | (1,169,852,219) |
Change in Net Assets Resulting from Operations | $4,611,211 | $3,869,096 | $20,166,048 | $967,477,696 | $(938,224,491) |
*Net of foreign tax withholding of: | $— | $74,270 | $— | $— | $— |
(A) | For the eleven months ended September 30, 2021. The Fund changed its fiscal year end from October 31 to September 30. |
(B) | For the year ended October 31, 2020. See Note 9 in Notes to Financial Statements. |
(C) | Reports to Shareholders for the Dividend Equity Fund for the Eleven Months Ended September 30, 2021 include amounts for Class B shares of $8,341. Class B shares merged into Class A shares on July 16, 2021. |
(D) | See Note 4 in Notes to Financial Statements. |
(E) | For the year ended September 30, 2021, Credit Opportunities Fund, 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 $2,731,111, $186,796,920, $33,678,843 ,$384,479,212, and $8,767,441, respectively. Net realized gains (losses) on investments includes the realized gain on the transactions of $1,030,738, $85,567,601, $15,585,805, $254,826,115, and $3,864,385, respectively, which will not be realized by the Fund for tax purposes. |
(F) | Change in unrealized appreciation (depreciation) does not include net appreciation of $6,418,419, $2,577,080, $11,338,153 and $1,762,389,763, for the Active Bond Fund, Credit Opportunities Fund, Dividend Equity Fund and Sands Capital Select Growth Fund, respectively, in connection with the Funds' reorganization. See Note 9 in the Notes to Financial Statements. |
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 |
$— | $— | $— | $— | $— | $— | $— | $— | $— |
— | — | 716,510 | 52,067,378 | 10,881,058 | 4,853,950 | 1,548,572 | 972,330 | — |
10,223,331 | 9,356,353 | — | — | — | 2,130 | — | — | 11,916,926 |
14,706 | — | 6,172 | — | 1,675 | 144,747 | — | 1,394 | — |
10,238,037 | 9,356,353 | 722,682 | 52,067,378 | 10,882,733 | 5,000,827 | 1,548,572 | 973,724 | 11,916,926 |
997,133 | 1,408,286 | 210,682 | 31,724,741 | 6,314,794 | 29,406,258 | 792,628 | 607,220 | 2,724,344 |
255,378 | 554,101 | 43,566 | 6,546,219 | 1,131,595 | 6,586,099 | 125,405 | 95,976 | 1,468,218 |
2,984 | 2,984 | 2,984 | 2,984 | 2,984 | 2,984 | 2,984 | 2,984 | 2,984 |
36,153 | 15,065 | 20,578 | 57,158 | 18,902 | 64,240 | 7,983 | 15,128 | 85,500 |
32,582 | 38,254 | 39,032 | 144,250 | 43,934 | 154,264 | 25,072 | 26,239 | 57,511 |
19,367 | 14,754 | 11,875 | 174,364 | 19,098 | 141,153 | 7,464 | 23,892 | 82,098 |
— | — | — | — | — | — | — | — | — |
737 | 1,540 | 2,219 | 75,269 | 3,284 | 27,976 | 300 | 673 | 2,053 |
— | — | — | — | — | — | — | — | 27,404 |
33,714 | 126,745 | 16,584 | 3,456,362 | 855,885 | 1,402,065 | 46,042 | 32,370 | 237,972 |
— | — | — | 88,316 | — | 772,542 | — | — | 73,740 |
4,683 | 112,547 | 14 | 380,672 | 170,463 | 718,183 | 7,675 | 1,202 | 181,047 |
�� | — | — | 27 | — | 56 | — | — | — |
6,126 | 4,450 | 5,416 | — | — | — | — | — | 6,948 |
10,799 | 14,308 | 15,153 | 17,043 | 18,485 | 23,016 | 11,943 | 15,173 | 23,693 |
— | — | — | — | — | — | — | — | — |
7,785 | 10,653 | 10,722 | 22,750 | 10,493 | 15,021 | 7,985 | 6,469 | 10,250 |
— | — | — | — | — | — | — | — | 14,221 |
13,994 | 25,419 | 17,792 | 146,962 | 26,726 | 95,627 | 18,267 | 18,296 | 29,455 |
— | — | — | 23,320 | — | 30,286 | — | — | 15,051 |
15,038 | 18,513 | 6,424 | 39,542 | 30,183 | 38,000 | 13,630 | 7,872 | 25,276 |
— | — | — | 2,290 | — | 5,317 | — | — | — |
— | — | — | — | — | — | — | — | — |
3,389 | 3,137 | 4,384 | 33,544 | 13,562 | 9,382 | 2,736 | 4,356 | 5,596 |
2,203 | 2,505 | 2,688 | 14,363 | 5,013 | 4,407 | 2,155 | 2,228 | 2,439 |
— | — | — | — | — | — | — | — | 6,466 |
3,014 | 8,188 | 3,489 | 268,301 | 76,205 | 71,086 | 6,601 | 4,764 | 10,321 |
— | — | — | 9,915 | — | 27,077 | — | — | 5,456 |
2,222 | 3,515 | 2,297 | 29,058 | 33,583 | 39,035 | 2,372 | 2,441 | 3,090 |
— | — | — | 3,797 | — | 2,308 | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | 154,884 | — | 1,328,726 | — | — | 203,723 |
38,039 | 46,847 | 28,889 | 325,028 | 33,281 | 830,033 | 12,891 | 58,373 | 337,180 |
— | — | — | — | — | — | — | — | — |
9,778 | 17,101 | 35,224 | 930,549 | 42,220 | 429,276 | 4,334 | 5,884 | 36,211 |
— | — | — | — | — | — | — | — | 289,838 |
21,633 | 21,633 | 21,633 | 21,633 | 21,633 | 21,633 | 21,633 | 21,633 | 21,633 |
41,315 | 43,949 | 19,506 | 815,166 | 145,481 | 1,135,314 | 50,057 | 30,144 | 109,449 |
1,558,066 | 2,494,494 | 521,151 | 45,508,507 | 9,017,804 | 43,381,364 | 1,170,157 | 983,317 | 6,099,167 |
(106,431) | (215,444) | (161,008) | (40,899) | (1,278,088) | (22,390) | (234,929) | (125,303) | (660,074) |
— | — | — | 1,473,837 | — | 35,486 | — | — | — |
1,451,635 | 2,279,050 | 360,143 | 46,941,445 | 7,739,716 | 43,394,460 | 935,228 | 858,014 | 5,439,093 |
8,786,402 | 7,077,303 | 362,539 | 5,125,933 | 3,143,017 | (38,393,633) | 613,344 | 115,710 | 6,477,833 |
7,075,942 | 1,304,822 | 3,089,564 | 249,118,292 | 91,266,526 | 1,041,558,717 | 17,883,246 | 5,693,285 | 175,982 |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | 6,304 | — | — | — | — | — | — |
4,489,032 | (9,914,205) | 2,793,124 | 621,005,091 | 179,982,199 | 141,728,022 | 9,656,923 | 24,049,244 | 2,532,844 |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — | — |
— | — | (648) | — | — | — | — | — | — |
11,564,974 | (8,609,383) | 5,888,344 | 870,123,383 | 271,248,725 | 1,183,286,739 | 27,540,169 | 29,742,529 | 2,708,826 |
$20,351,376 | $(1,532,080) | $6,250,883 | $875,249,316 | $274,391,742 | $1,144,893,106 | $28,153,513 | $29,858,239 | $9,186,659 |
$— | $— | $109,405 | $— | $— | $— | $— | $— | $— |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | Touchstone Credit Opportunities Fund | ||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |
From Operations | ||||||
Net investment income | $7,992,609 | $8,993,949 | $577,520 | $551,290 | $6,422,974 | $5,740,485 |
Net realized gains (losses) on investments, securities sold short, written options, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions | 11,402,813 | 8,537,511 | 3,576,770 | (440,165) | 14,169,305 | (4,192,669) |
Net change in unrealized appreciation (depreciation) on investments, securities sold short, written options, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions | (14,784,211) | 7,921,698 | (285,194) | 2,891,448 | (426,231) | (2,015,355) |
Change in Net Assets from Operations | 4,611,211 | 25,453,158 | 3,869,096 | 3,002,573 | 20,166,048 | (467,539) |
Distributions to Shareholders: | ||||||
Distributed earnings, Class A | (2,854,355) | (3,252,024) | — | — | (2,010,075) | (333,642) |
Distributed earnings, Class B | — | — | — | — | — | — |
Distributed earnings, Class C | (91,900) | (193,793) | — | — | (375,656) | (174,362) |
Distributed earnings, Class Y | (2,291,191) | (2,520,642) | (4,532) | (102) | (3,026,554) | (2,325,230) |
Distributed earnings, Institutional Class | (3,052,478) | (3,258,096) | (714,426) | (830,890) | (1,962,020) | (2,579,658) |
Distributed earnings, Class R6 | — | — | — | — | — | — |
Total Distributions | (8,289,924) | (9,224,555) | (718,958) | (830,992) | (7,374,305) | (5,412,892) |
Change in Net Assets from Share Transactions(C) | 33,611,918 | 16,312,594 | (771,211) | (1,765,217) | 177,091,677 | (14,154,737) |
Total Increase (Decrease) in Net Assets | 29,933,205 | 32,541,197 | 2,378,927 | 406,364 | 189,883,420 | (20,035,168) |
Net Assets | ||||||
Beginning of period | 358,598,774 | 326,057,577 | 37,118,893 | 36,712,529 | 87,383,287 | 107,418,455 |
End of period | $388,531,979 | $358,598,774 | $39,497,820 | $37,118,893 | $277,266,707 | $87,383,287 |
(A) | For the eleven months ended September 30, 2021. The Fund changed its fiscal year end from October 31 to September 30. |
(B) | See Note 9 in Notes to Financial Statements. |
(C) | For details on share transactions by class, see Statements of Changes in Net Assets - Capital Stock Activity in pages 100-102. |
Touchstone Dividend Equity Fund | Touchstone High Yield Fund | Touchstone Impact Bond Fund | ||||
For the Eleven Months Ended September 30, 2021(A) | For the Year Ended October 31, 2020(B) | For the Year Ended October 31, 2019 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 |
$74,658,477 | $231,627,728 | $299,197,934 | $8,786,402 | $10,227,561 | $7,077,303 | $7,304,972 |
693,404,709 | (637,360,833) | 443,323,692 | 7,075,942 | (4,173,531) | 1,304,822 | 982,426 |
199,414,510 | (532,491,386) | (266,548,829) | 4,489,032 | (3,498,537) | (9,914,205) | 11,461,934 |
967,477,696 | (938,224,491) | 475,972,797 | 20,351,376 | 2,555,493 | (1,532,080) | 19,749,332 |
(37,578,649) | (151,258,569) | (239,140,149) | (682,278) | (704,158) | (294,184) | (256,523) |
(2,109,055) | (17,797,190) | (24,214,120) | — | — | — | — |
(14,593,990) | (138,592,258) | (199,817,695) | (36,797) | (121,251) | (14,442) | (19,463) |
(34,302,130) | (242,410,378) | (368,354,793) | (1,574,315) | (2,028,121) | (3,080,885) | (2,625,750) |
(1,422) | — | — | (6,593,545) | (7,471,813) | (4,314,437) | (4,723,502) |
(11) | — | — | — | — | — | — |
(88,585,257) | (550,058,395) | (831,526,757) | (8,886,935) | (10,325,343) | (7,703,948) | (7,625,238) |
(1,822,939,395) | (3,062,747,155) | (2,824,380,043) | (57,540,644) | (5,315,953) | 53,261,500 | 65,438,330 |
(944,046,956) | (4,551,030,041) | (3,179,934,003) | (46,076,203) | (13,085,803) | 44,025,472 | 77,562,424 |
4,650,344,047 | 9,201,374,088 | 12,381,308,091 | 185,496,065 | 198,581,868 | 391,800,499 | 314,238,075 |
$3,706,297,091 | $4,650,344,047 | $9,201,374,088 | $139,419,862 | $185,496,065 | $435,825,971 | $391,800,499 |
Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | Touchstone Mid Cap Value Fund | ||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |
From Operations | ||||||
Net investment income (loss) | $362,539 | $182,503 | $5,125,933 | $7,915,710 | $3,143,017 | $6,123,028 |
Net realized gains (losses) on investments and foreign currency transactions | 3,095,868 | (1,211,609) | 249,118,292 | 69,219,023 | 91,266,526 | (7,775,023) |
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | 2,792,476 | 3,022,722 | 621,005,091 | 127,121,216 | 179,982,199 | (33,577,191) |
Change in Net Assets from Operations | 6,250,883 | 1,993,616 | 875,249,316 | 204,255,949 | 274,391,742 | (35,229,186) |
Distributions to Shareholders: | ||||||
Distributed earnings, Class A | (48,775) | (1,975,668) | (2,210,139) | (2,136,246) | (17,884) | (51,424) |
Distributed earnings, Class C | — | (1,710,548) | (1,691,858) | (1,766,346) | — | — |
Distributed earnings, Class S | — | — | — | — | — | — |
Distributed earnings, Class Y | (80,193) | (2,959,640) | (57,465,241) | (40,650,826) | (1,153,819) | (2,283,383) |
Distributed earnings, Class Z | — | — | (1,244,341) | (3,135,026) | — | — |
Distributed earnings, Institutional Class | (19) | (537) | (25,311,010) | (9,162,448) | (1,848,019) | (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 | (128,987) | (6,646,393) | (87,922,589) | (56,850,892) | (3,019,722) | (6,179,571) |
Change in Net Assets from Share Transactions(A) | (76,211) | (5,589,850) | 196,604,803 | 2,068,906,633 | (79,179,049) | (31,438,355) |
Total Increase (Decrease) in Net Assets | 6,045,685 | (10,242,627) | 983,931,530 | 2,216,311,690 | 192,192,971 | (72,847,112) |
Net Assets | ||||||
Beginning of period | 27,337,827 | 37,580,454 | 3,846,015,834 | 1,629,704,144 | 683,002,019 | 755,849,131 |
End of period | $33,383,512 | $27,337,827 | $4,829,947,364 | $3,846,015,834 | $875,194,990 | $683,002,019 |
(A) | For details on share transactions by class, see Statements of Changes in Net Assets - Capital Stock Activity in pages 103-106. |
Touchstone Sands Capital Select Growth Fund | Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | Touchstone Ultra Short Duration Fixed Income Fund | ||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 |
$(38,393,633) | $(12,375,975) | $613,344 | $233,295 | $115,710 | $279,157 | $6,477,833 | $19,590,653 |
1,041,558,717 | 447,921,221 | 17,883,246 | 3,900,793 | 5,693,285 | (6,726,045) | 175,982 | (176,658) |
141,728,022 | 430,967,787 | 9,656,923 | (9,602,979) | 24,049,244 | (6,605,039) | 2,532,844 | (5,825,465) |
1,144,893,106 | 866,513,033 | 28,153,513 | (5,468,891) | 29,858,239 | (13,051,927) | 9,186,659 | 13,588,530 |
(17,693,260) | (15,437,081) | (76,369) | (330,913) | (32,691) | (45,317) | (1,191,026) | (1,582,978) |
(4,115,544) | (9,285,021) | (5,189) | (285,467) | (461) | (436) | (19,141) | (71,150) |
— | — | — | — | — | — | (371,847) | (1,992,326) |
(152,873,291) | (175,614,541) | (1,040,101) | (3,029,450) | (63,554) | (115,630) | (3,531,075) | (6,466,843) |
(52,230,135) | (75,190,327) | — | — | — | — | (732,118) | (2,053,174) |
(8,474) | — | (1,003,459) | (3,206,418) | (17,628) | (174,530) | (5,902,220) | (8,755,799) |
(102,763) | — | — | — | — | — | — | — |
— | — | — | — | (30,163) | (15,039) | — | — |
— | — | — | — | (425) | (145) | — | — |
— | — | — | — | (58,641) | (38,374) | — | — |
— | — | — | — | (16,265) | (57,921) | — | — |
(227,023,467) | (275,526,970) | (2,125,118) | (6,852,248) | (219,828) | (447,392) | (11,747,427) | (20,922,270) |
3,177,487,521 | (22,498,987) | (4,449,869) | 7,197,740 | (6,753,764) | (23,437,257) | 88,853,009 | (14,545,502) |
4,095,357,160 | 568,487,076 | 21,578,526 | (5,123,399) | 22,884,647 | (36,936,576) | 86,292,241 | (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 |
$6,352,197,565 | $2,256,840,405 | $94,960,627 | $73,382,101 | $76,150,018 | $53,265,371 | $1,073,002,897 | $986,710,656 |
Touchstone Active Bond Fund | Touchstone Anti- Benchmark® International Core Equity Fund | |||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A(D) | ||||||||
Proceeds from Shares issued | 1,581,041 | $17,746,223 | 1,411,092 | $15,404,439 | — | $— | — | $— |
Proceeds from Shares issued in connection with reorganization(B) | 9,794,843 | 110,186,140 | — | — | — | — | — | — |
Reinvestment of distributions | 224,230 | 2,513,018 | 248,638 | 2,701,033 | — | — | — | — |
Cost of Shares redeemed | (6,207,410) | (69,966,791) | (2,188,720) | (23,737,062) | — | — | — | — |
Shares issued (reacquired) upon automatic conversion | — | — | — | — | — | — | — | — |
Change from Class A Share Transactions | 5,392,704 | 60,478,590 | (528,990) | (5,631,590) | — | — | — | — |
Class B(D) | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Reinvestment of distributions | — | — | — | — | — | — | — | — |
Share conversion in connection with reorganization(B) | — | — | — | — | — | — | — | — |
Cost of Shares redeemed | — | — | — | — | — | — | — | — |
Shares issued (reacquired) upon automatic conversion | — | — | — | — | — | — | — | — |
Change from Class B Share Transactions | — | — | — | — | — | — | — | — |
Class C | ||||||||
Proceeds from Shares issued | 79,533 | 820,532 | 99,527 | 995,343 | — | — | — | — |
Proceeds from Shares issued in connection with reorganization(B) | 628,710 | 6,476,580 | — | — | — | — | — | — |
Reinvestment of distributions | 8,702 | 89,500 | 16,906 | 167,960 | — | — | — | — |
Cost of Shares redeemed | (355,656) | (3,662,936) | (766,459) | (7,725,499) | — | — | — | — |
Shares issued (reacquired) upon automatic conversion | — | — | — | — | — | — | — | — |
Change from Class C Share Transactions | 361,289 | 3,723,676 | (650,026) | (6,562,196) | — | — | — | — |
Class Y(E) | ||||||||
Proceeds from Shares issued | 2,054,376 | 23,130,318 | 1,985,411 | 21,559,070 | 360 | 4,282 | 22,114 | 211,530 |
Proceeds from Shares issued in connection with reorganization(B) | — | — | — | — | — | — | — | — |
Reinvestment of distributions | 172,216 | 1,928,699 | 199,030 | 2,158,789 | 382 | 4,531 | 10 | 102 |
Cost of Shares redeemed | (1,909,973) | (21,405,317) | (2,605,694) | (28,030,100) | — | — | — | — |
Change from Class Y Share Transactions | 316,619 | 3,653,700 | (421,253) | (4,312,241) | 742 | 8,813 | 22,124 | 211,632 |
Institutional Class | ||||||||
Proceeds from Shares issued | 1,734,665 | 19,494,859 | 3,875,251 | 42,480,044 | 26,082 | 312,372 | 149,702 | 1,449,479 |
Reinvestment of distributions | 242,823 | 2,719,478 | 272,356 | 2,961,164 | 60,238 | 714,426 | 77,436 | 830,890 |
Cost of Shares redeemed | (5,014,127) | (56,458,385) | (1,184,461) | (12,622,587) | (152,975) | (1,806,822) | (435,859) | (4,257,218) |
Change from Institutional Class Share Transactions | (3,036,639) | (34,244,048) | 2,963,146 | 32,818,621 | (66,655) | (780,024) | (208,721) | (1,976,849) |
Class R6 | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Reinvestment of distributions | — | — | — | — | — | — | — | — |
Change from Class R6 Share Transactions | — | — | — | — | — | — | — | — |
Change from Share Transactions | 3,033,973 | $33,611,918 | 1,362,877 | $16,312,594 | (65,913) | $(771,211) | (186,597) | $(1,765,217) |
(A) | Represents the period from commencement of operations (July 19, 2021 and August 2, 2021) through September 30, 2021 for Institutional Class shares and Class R6 shares, respectively. |
(B) | See Note 9 in Notes to Financial Statements. |
(C) | The Fund changed its fiscal year end from October 31 to September 30. |
(D) | Effective July 16, 2021, Class B shares of the AIG Focused Dividend Strategy Fund were reorganized into Class A shares of the Touchstone Dividend Equity Fund. |
(E) | Effective July 16, 2021, Class W shares of the AIG Senior Floating Rate Fund and the AIG Focused Dividend Strategy Fund were reorganized into Class Y shares of the Touchstone Credit Opportunities Fund and the Touchstone Dividend Equity Fund, respectively. |
Touchstone Credit Opportunities Fund | Touchstone Dividend Equity Fund | ||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Eleven Months Ended September 30, 2021(A) (B) (C) | For the Year Ended October 31, 2020(B) | For the Year Ended October 31, 2019(B) | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
953,296 | $9,677,433 | 226,710 | $2,132,358 | 18,284,009 | $305,544,840 | 32,491,602 | $486,460,585 | 27,634,448 | $464,321,582 |
13,726,507 | 141,260,445 | — | — | 11,403,748 | 196,261,607 | — | — | — | — |
169,953 | 1,734,106 | 34,744 | 328,518 | 1,811,037 | 30,101,529 | 8,170,831 | 127,355,567 | 12,551,945 | 207,397,320 |
(1,919,910) | (19,609,644) | (390,740) | (3,737,180) | (46,557,495) | (778,744,677) | (62,833,118) | (942,900,578) | (105,254,025) | (1,748,315,942) |
— | — | — | — | — | — | 1,460,932 | 21,639,786 | 322,037 | 5,400,237 |
12,929,846 | 133,062,340 | (129,286) | (1,276,304) | (15,058,701) | (246,836,701) | (20,709,753) | (307,444,640) | (64,745,595) | (1,071,196,803) |
— | — | — | — | 136,950 | 2,217,290 | 635,537 | 9,704,526 | 1,297,385 | 21,412,686 |
— | — | — | — | 111,727 | 1,822,664 | 980,773 | 15,306,408 | 1,218,763 | 19,954,242 |
— | — | — | — | (9,181,258) | (156,710,795) | — | — | — | — |
— | — | — | — | (3,577,145) | (58,419,158) | (6,740,251) | (99,688,786) | (6,192,482) | (102,504,165) |
— | — | — | — | — | — | (211,231) | (3,035,073) | (241,121) | (3,992,033) |
— | — | — | — | (12,509,726) | (211,089,999) | (5,335,172) | (77,712,925) | (3,917,455) | (65,129,270) |
198,200 | 1,956,744 | 23,706 | 229,266 | 1,335,140 | 21,782,502 | 4,570,086 | 69,249,503 | 10,254,701 | 169,449,964 |
3,149,581 | 31,321,283 | — | — | 264,762 | 4,518,475 | — | — | — | — |
36,177 | 356,730 | 18,697 | 172,058 | 827,808 | 13,554,365 | 7,429,473 | 116,019,169 | 10,174,698 | 166,465,498 |
(508,343) | (5,019,285) | (262,895) | (2,398,136) | (34,119,489) | (562,501,490) | (73,315,974) | (1,083,852,691) | (58,669,778) | (971,628,400) |
— | — | — | — | — | — | (1,263,663) | (18,604,713) | (83,924) | (1,408,204) |
2,875,615 | 28,615,472 | (220,492) | (1,996,812) | (31,691,779) | (522,646,148) | (62,580,078) | (917,188,732) | (38,324,303) | (637,121,142) |
5,664,582 | 58,278,512 | 3,275,451 | 30,620,647 | 10,482,598 | 173,072,737 | 27,504,922 | 416,610,757 | 77,571,624 | 1,291,114,933 |
1,935,037 | 20,196,958 | — | — | 2,988,813 | 51,352,080 | — | — | — | — |
294,373 | 3,005,542 | 241,071 | 2,316,256 | 1,599,069 | 26,426,043 | 12,165,668 | 190,671,524 | 16,859,131 | 278,288,034 |
(2,133,266) | (21,900,451) | (4,372,888) | (41,115,601) | (66,132,757) | (1,093,538,113) | (158,495,499) | (2,367,683,139) | (157,467,019) | (2,620,335,795) |
5,760,726 | 59,580,561 | (856,366) | (8,178,698) | (51,062,277) | (842,687,253) | (118,824,909) | (1,760,400,858) | (63,036,264) | (1,050,932,828) |
154,880 | 1,589,436 | 224,585 | 2,072,740 | 43,758 | 746,709 | — | — | — | — |
165,580 | 1,665,750 | 269,092 | 2,576,499 | 84 | 1,422 | — | — | — | — |
(4,536,711) | (47,421,882) | (744,891) | (7,352,162) | (25,246) | (429,936) | — | — | — | — |
(4,216,251) | (44,166,696) | (251,214) | (2,702,923) | 18,596 | 318,195 | — | — | — | — |
— | — | — | — | 144 | 2,500 | — | — | — | — |
— | — | — | — | 1 | 11 | — | — | — | — |
— | — | — | — | 145 | 2,511 | — | — | — | — |
17,349,936 | $177,091,677 | (1,457,358) | $(14,154,737) | (110,303,742) | $(1,822,939,395) | (207,449,912) | $(3,062,747,155) | (170,023,617) | $(2,824,380,043) |
Touchstone High Yield Fund | Touchstone Impact Bond Fund | |||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A | ||||||||
Proceeds from Shares issued | 1,566,811 | $12,966,425 | 1,582,680 | $12,453,477 | 901,622 | $9,649,457 | 1,008,475 | $10,659,616 |
Reinvestment of distributions | 73,113 | 599,939 | 78,704 | 619,319 | 22,409 | 239,040 | 19,409 | 205,746 |
Cost of Shares redeemed | (1,684,115) | (13,909,317) | (1,576,405) | (12,482,226) | (750,021) | (8,017,527) | (465,803) | (4,930,537) |
Change from Class A Share Transactions | (44,191) | (342,953) | 84,979 | 590,570 | 174,010 | 1,870,970 | 562,081 | 5,934,825 |
Class C | ||||||||
Proceeds from Shares issued | 6,419 | 52,516 | 30,970 | 248,433 | 47,117 | 503,565 | 74,586 | 788,876 |
Reinvestment of distributions | 4,205 | 34,328 | 13,764 | 108,318 | 1,104 | 11,798 | 1,371 | 14,475 |
Cost of Shares redeemed | (69,525) | (567,351) | (440,580) | (3,410,363) | (54,392) | (576,886) | (56,479) | (598,156) |
Change from Class C Share Transactions | (58,901) | (480,507) | (395,846) | (3,053,612) | (6,171) | (61,523) | 19,478 | 205,195 |
Class Y | ||||||||
Proceeds from Shares issued | 927,706 | 7,935,403 | 920,919 | 7,440,564 | 10,483,459 | 112,124,601 | 8,069,654 | 85,797,631 |
Reinvestment of distributions | 184,449 | 1,558,178 | 243,031 | 1,968,082 | 265,494 | 2,835,648 | 217,721 | 2,309,981 |
Cost of Shares redeemed | (1,027,444) | (8,666,870) | (2,171,157) | (17,475,571) | (5,408,326) | (57,650,536) | (3,919,622) | (41,832,598) |
Change from Class Y Share Transactions | 84,711 | 826,711 | (1,007,207) | (8,066,925) | 5,340,627 | 57,309,713 | 4,367,753 | 46,275,014 |
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 | 9,988,999 | 84,709,298 | 6,758,203 | 51,917,150 | 4,823,496 | 51,565,488 | 7,608,874 | 80,810,462 |
Reinvestment of distributions | 773,258 | 6,527,173 | 921,462 | 7,439,080 | 347,131 | 3,707,296 | 382,249 | 4,049,865 |
Cost of Shares redeemed | (17,418,797) | (148,780,366) | (6,772,227) | (54,142,216) | (5,736,474) | (61,130,444) | (6,790,781) | (71,837,031) |
Change from Institutional Class Share Transactions | (6,656,540) | (57,543,895) | 907,438 | 5,214,014 | (565,847) | (5,857,660) | 1,200,342 | 13,023,296 |
Class R6 | ||||||||
Proceeds from Shares issued | — | — | — | — | — | — | — | — |
Cost of Shares redeemed | — | — | — | — | — | — | — | — |
Change from Class R6 Share Transactions | — | — | — | — | — | — | — | — |
Change from Share Transactions | (6,674,921) | $(57,540,644) | (410,636) | $(5,315,953) | 4,942,619 | $53,261,500 | 6,149,654 | $65,438,330 |
(A) | Represents the period from commencement of operations (February 22, 2021) through September 30, 2021 for Class R6 shares. |
Touchstone International ESG Equity Fund | Touchstone Mid Cap Fund | ||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021(A) | For the Year Ended September 30, 2020 | ||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
392,101 | $3,253,480 | 923,955 | $6,486,887 | 1,056,622 | $48,021,108 | 1,722,762 | $64,866,031 |
5,449 | 46,211 | 254,450 | 1,876,151 | 43,425 | 1,864,324 | 47,647 | 1,878,215 |
(849,981) | (7,474,932) | (819,208) | (5,759,257) | (804,599) | (36,519,129) | (696,341) | (25,168,926) |
(452,431) | (4,175,241) | 359,197 | 2,603,781 | 295,448 | 13,366,303 | 1,074,068 | 41,575,320 |
3,336 | 29,600 | 15,446 | 112,534 | 527,048 | 22,032,167 | 1,009,530 | 35,646,237 |
— | — | 215,820 | 1,584,118 | 39,173 | 1,562,270 | 39,569 | 1,450,587 |
(250,238) | (2,163,270) | (942,454) | (7,064,283) | (634,832) | (26,906,601) | (718,343) | (24,800,454) |
(246,902) | (2,133,670) | (711,188) | (5,367,631) | (68,611) | (3,312,164) | 330,756 | 12,296,370 |
1,040,078 | 9,287,340 | 406,292 | 2,937,856 | 29,528,367 | 1,339,183,765 | 45,964,555 | 1,678,307,060 |
9,218 | 77,978 | 374,707 | 2,755,636 | 1,191,861 | 51,892,782 | 895,607 | 35,746,662 |
(356,297) | (3,132,637) | (1,180,936) | (8,520,029) | (23,432,626) | (1,086,466,153) | (15,448,861) | (559,596,378) |
692,999 | 6,232,681 | (399,937) | (2,826,537) | 7,287,602 | 304,610,394 | 31,411,301 | 1,154,457,344 |
— | — | — | — | 294,301 | 13,056,057 | 2,904,292 | 111,061,392 |
— | — | — | — | 29,122 | 1,240,929 | 79,863 | 3,127,421 |
— | — | — | — | (1,136,353) | (49,001,380) | (2,588,966) | (92,893,080) |
— | — | — | — | (812,930) | (34,704,394) | 395,189 | 21,295,733 |
— | — | — | — | 11,851,354 | 551,714,234 | 26,747,272 | 993,416,727 |
2 | 19 | 73 | 537 | 305,343 | 13,325,183 | 187,288 | 7,491,088 |
— | — | — | — | (26,681,385) | (1,270,666,182) | (4,339,171) | (161,625,949) |
2 | 19 | 73 | 537 | (14,524,688) | (705,626,765) | 22,595,389 | 839,281,866 |
— | — | — | — | 13,812,160 | 664,476,348 | — | — |
— | — | — | — | (877,851) | (42,204,919) | — | — |
— | — | — | — | 12,934,309 | 622,271,429 | — | — |
(6,332) | $(76,211) | (751,855) | $(5,589,850) | 5,111,130 | $196,604,803 | 55,806,703 | $2,068,906,633 |
Touchstone Mid Cap Value Fund | Touchstone Sands Capital Select Growth Fund | |||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |
Class A | ||||||||
Proceeds from Shares issued | 179,118 | $3,742,466 | 167,271 | $2,835,572 | 4,489,061 | $85,327,200 | 3,858,599 | $57,182,170 |
Proceeds from Shares issued in connection with reorganization(A) | — | — | — | — | 31,777,096 | 621,944,594 | — | — |
Reinvestment of distributions | 777 | 15,458 | 2,680 | 43,450 | 726,547 | 12,765,441 | 937,160 | 10,739,861 |
Cost of Shares redeemed | (194,259) | (4,301,475) | (186,294) | (3,170,552) | (5,675,525) | (109,088,540) | (2,097,033) | (27,903,644) |
Change from Class A Share Transactions | (14,364) | (543,551) | (16,343) | (291,530) | 31,317,179 | 610,948,695 | 2,698,726 | 40,018,387 |
Class C | ||||||||
Proceeds from Shares issued | 44,231 | 975,312 | 17,375 | 282,392 | 557,848 | 8,806,047 | 973,913 | 11,016,497 |
Proceeds from Shares issued in connection with reorganization(A) | — | — | — | — | 3,024,107 | 48,772,136 | — | — |
Reinvestment of distributions | — | — | — | — | 280,249 | 4,077,626 | 829,669 | 8,089,277 |
Cost of Shares redeemed | (64,635) | (1,390,188) | (123,216) | (1,940,563) | (1,909,718) | (30,198,698) | (3,676,450) | (44,858,208) |
Change from Class C Share Transactions | (20,404) | (414,876) | (105,841) | (1,658,171) | 1,952,486 | 31,457,111 | (1,872,868) | (25,752,434) |
Class Y(B) | ||||||||
Proceeds from Shares issued | 4,976,510 | 107,646,472 | 6,084,202 | 91,902,451 | 26,427,558 | 552,879,177 | 46,697,761 | 670,397,782 |
Proceeds from Shares issued in connection with reorganization(A) | — | — | — | — | 2,050,915 | 44,517,985 | — | — |
Reinvestment of distributions | 53,819 | 1,141,546 | 139,585 | 2,250,156 | 6,900,842 | 134,290,391 | 12,162,722 | 152,642,157 |
Cost of Shares redeemed | (6,000,984) | (128,777,432) | (4,289,355) | (71,611,364) | (40,208,134) | (869,420,564) | (53,076,537) | (768,001,131) |
Change from Class Y Share Transactions | (970,655) | (19,989,414) | 1,934,432 | 22,541,243 | (4,828,819) | (137,733,011) | 5,783,946 | 55,038,808 |
Class Z | ||||||||
Proceeds from Shares issued | — | — | — | — | 2,349,120 | 44,465,418 | 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 | — | — | — | — | (6,168,500) | (116,963,273) | (16,261,699) | (212,023,027) |
Change from Class Z Share Transactions | — | — | — | — | (866,172) | (20,521,394) | (6,434,865) | (91,610,390) |
Institutional Class | ||||||||
Proceeds from Shares issued | 7,159,517 | 157,885,918 | 10,230,169 | 172,561,478 | 34,707,619 | 738,829,312 | 126 | 2,500 |
Proceeds from Shares issued in connection with reorganization(A) | — | — | — | — | 128,604,796 | 2,547,803,595 | — | — |
Reinvestment of distributions | 73,904 | 1,599,620 | 218,352 | 3,569,822 | 435 | 8,474 | — | — |
Cost of Shares redeemed | (10,054,747) | (217,716,746) | (13,557,431) | (228,161,197) | (50,472,388) | (1,076,340,071) | — | — |
Change from Institutional Class Share Transactions | (2,821,326) | (58,231,208) | (3,108,910) | (52,029,897) | 112,840,462 | 2,210,301,310 | 126 | 2,500 |
Class R6 | ||||||||
Proceeds from Shares issued | — | — | — | — | 23,160,816 | 511,629,011 | 831,692 | 15,504,377 |
Reinvestment of distributions | — | — | — | — | 5,281 | 102,763 | — | — |
Cost of Shares redeemed | — | — | — | — | (1,357,750) | (28,696,964) | (831,566) | (15,700,235) |
Change from Class R6 Share Transactions | — | — | — | — | 21,808,347 | 483,034,810 | 126 | (195,858) |
Change from Share Transactions | (3,826,749) | $(79,179,049) | (1,296,662) | $(31,438,355) | 162,223,483 | $3,177,487,521 | 175,191 | $(22,498,987) |
(A) | See Note 9 in Notes to Financial Statements. |
(B) | Effective July 16, 2021, Class W shares of the AIG Focused Growth Fund were reorganized into Class Y shares of the Touchstone Sands Capital Select Growth Fund. |
Touchstone Small Cap Fund | Touchstone Small Cap Value Fund | ||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | ||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars |
43,246 | $590,663 | 188,126 | $1,921,153 | 42,845 | $1,116,437 | 39,242 | $798,786 |
— | — | — | — | — | — | — | — |
5,640 | 70,614 | 26,489 | 310,982 | 2,306 | 60,923 | 2,244 | 58,275 |
(93,218) | (1,222,383) | (99,225) | (1,060,102) | (89,797) | (2,685,709) | (255,442) | (5,496,226) |
(44,332) | (561,106) | 115,390 | 1,172,033 | (44,646) | (1,508,349) | (213,956) | (4,639,165) |
38,275 | 492,935 | 12,153 | 125,116 | 4,097 | 116,576 | 6,352 | 126,520 |
— | — | — | — | — | — | — | — |
381 | 4,341 | 23,637 | 254,101 | 32 | 817 | 16 | 399 |
(54,615) | (663,938) | (298,437) | (2,857,698) | (8,879) | (252,956) | (17,500) | (355,218) |
(15,959) | (166,662) | (262,647) | (2,478,481) | (4,750) | (135,563) | (11,132) | (228,299) |
746,342 | 10,272,999 | 1,054,148 | 10,187,062 | 129,975 | 3,908,356 | 556,684 | 12,751,490 |
— | — | — | — | — | — | — | — |
79,888 | 1,025,095 | 244,189 | 2,930,498 | 4,571 | 120,978 | 6,617 | 151,370 |
(717,298) | (9,747,622) | (673,533) | (7,321,242) | (228,926) | (6,501,791) | (223,585) | (4,827,025) |
108,932 | 1,550,472 | 624,804 | 5,796,318 | (94,380) | (2,472,457) | 339,716 | 8,075,835 |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
1,174,009 | 15,984,215 | 1,434,694 | 14,908,352 | 42,781 | 1,285,210 | 317,668 | 7,027,284 |
— | — | — | — | — | — | — | — |
78,422 | 1,002,693 | 265,143 | 3,174,041 | 495 | 13,106 | 2,383 | 54,914 |
(1,630,878) | (22,259,481) | (1,456,134) | (15,374,523) | (140,813) | (3,935,711) | (1,610,102) | (33,727,826) |
(378,447) | (5,272,573) | 243,703 | 2,707,870 | (97,537) | (2,637,395) | (1,290,051) | (26,645,628) |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
— | — | — | — | — | — | — | — |
(329,806) | $(4,449,869) | 721,250 | $7,197,740 | (241,313) | $(6,753,764) | (1,175,423) | $(23,437,257) |
Touchstone Ultra Short Duration Fixed Income Fund | ||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||
Shares | Dollars | Shares | Dollars | |
Class A | ||||
Proceeds from Shares issued | 4,686,457 | $43,241,421 | 8,960,406 | $82,215,390 |
Reinvestment of distributions | 123,448 | 1,139,270 | 158,190 | 1,456,627 |
Cost of Shares redeemed | (2,612,393) | (24,114,385) | (3,374,696) | (31,039,396) |
Change from Class A Share Transactions | 2,197,512 | 20,266,306 | 5,743,900 | 52,632,621 |
Class C | ||||
Proceeds from Shares issued | 133,907 | 1,237,687 | 702,000 | 6,480,454 |
Reinvestment of distributions | 810 | 7,479 | 4,460 | 41,073 |
Cost of Shares redeemed | (244,873) | (2,263,008) | (589,856) | (5,434,947) |
Change from Class C Share Transactions | (110,156) | (1,017,842) | 116,604 | 1,086,580 |
Class S | ||||
Proceeds from Shares issued | 1,605,257 | 14,831,783 | 2,653,440 | 24,519,195 |
Reinvestment of distributions | 38,145 | 352,177 | 209,016 | 1,924,465 |
Cost of Shares redeemed | (2,605,972) | (24,063,147) | (10,805,304) | (99,176,330) |
Change from Class S Share Transactions | (962,570) | (8,879,187) | (7,942,848) | (72,732,670) |
Class Y | ||||
Proceeds from Shares issued | 17,600,835 | 162,587,751 | 14,667,523 | 135,130,770 |
Reinvestment of distributions | 291,545 | 2,691,868 | 555,625 | 5,116,254 |
Cost of Shares redeemed | (17,423,646) | (160,851,675) | (16,470,996) | (151,437,130) |
Change from Class Y Share Transactions | 468,734 | 4,427,944 | (1,247,848) | (11,190,106) |
Class Z | ||||
Proceeds from Shares issued | 2,629,137 | 24,264,471 | 2,327,500 | 21,447,601 |
Reinvestment of distributions | 78,837 | 727,666 | 219,442 | 2,022,381 |
Cost of Shares redeemed | (3,875,990) | (35,793,520) | (7,033,838) | (64,723,235) |
Change from Class Z Share Transactions | (1,168,016) | (10,801,383) | (4,486,896) | (41,253,253) |
Institutional Class | ||||
Proceeds from Shares issued | 41,003,304 | 378,229,514 | 21,283,017 | 196,198,659 |
Reinvestment of distributions | 597,097 | 5,507,609 | 910,377 | 8,372,252 |
Cost of Shares redeemed | (32,400,298) | (298,879,952) | (16,097,325) | (147,659,585) |
Change from Institutional Class Share Transactions | 9,200,103 | 84,857,171 | 6,096,069 | 56,911,326 |
Change from Share Transactions | 9,625,607 | $88,853,009 | (1,721,019) | $(14,545,502) |
Touchstone Active Bond Fund—Class A | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $11.23 | $10.68 | $10.01 | $10.47 | $10.59 |
Income (loss) from investment operations: | |||||
Net investment income | 0.22(A) | 0.28(A) | 0.27 | 0.23 | 0.24 |
Net realized and unrealized gains (losses) on investments | (0.10) | 0.55 | 0.68 | (0.43) | (0.11) |
Total from investment operations | 0.12 | 0.83 | 0.95 | (0.20) | 0.13 |
Distributions from: | |||||
Net investment income | (0.23) | (0.28) | (0.28) | (0.26) | (0.25) |
Realized capital gains | — | — | — | —(B) | — |
Total distributions | (0.23) | (0.28) | (0.28) | (0.26) | (0.25) |
Net asset value at end of period | $11.12 | $11.23 | $10.68 | $10.01 | $10.47 |
Total return(C) | 1.10% | 7.91% | 9.68% | (1.87%) | 1.26% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $186,813 | $128,086 | $127,502 | $133,083 | $22,117 |
Ratio to average net assets: | |||||
Net expenses | 0.90% | 0.90% | 0.90% | 0.90% | 0.90% |
Gross expenses | 0.93% | 0.95% | 1.00% | 0.97% | 1.18% |
Net investment income | 1.99% | 2.54% | 2.68% | 2.34% | 2.33% |
Portfolio turnover rate | 144%(D) | 261% | 235% | 448%(E) | 496% |
Touchstone Active Bond Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $10.30 | $9.82 | $9.23 | $9.68 | $9.82 |
Income (loss) from investment operations: | |||||
Net investment income | 0.13(A) | 0.18(A) | 0.12 | 0.20 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.09) | 0.51 | 0.68 | (0.46) | (0.10) |
Total from investment operations | 0.04 | 0.69 | 0.80 | (0.26) | 0.04 |
Distributions from: | |||||
Net investment income | (0.16) | (0.21) | (0.21) | (0.19) | (0.18) |
Realized capital gains | — | — | — | —(B) | — |
Total distributions | (0.16) | (0.21) | (0.21) | (0.19) | (0.18) |
Net asset value at end of period | $10.18 | $10.30 | $9.82 | $9.23 | $9.68 |
Total return(C) | 0.39% | 7.11% | 8.83% | (2.64%) | 0.52% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $9,229 | $5,618 | $11,743 | $23,807 | $4,642 |
Ratio to average net assets: | |||||
Net expenses | 1.64% | 1.65% | 1.65% | 1.65% | 1.65% |
Gross expenses | 1.93% | 1.93% | 1.85% | 1.79% | 2.18% |
Net investment income | 1.25% | 1.79% | 1.93% | 1.59% | 1.58% |
Portfolio turnover rate | 144%(D) | 261% | 235% | 448%(E) | 496% |
(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) | Portfolio turnover excludes the purchases and sales of securities by the AIG U.S. Government Securities Fund acquired on July 16, 2021 (See Note 9 in the Notes to Financial Statements). If these transactions were included, portfolio turnover would have been higher. |
(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 Active Bond Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $11.22 | $10.67 | $10.00 | $10.46 | $10.59 |
Income (loss) from investment operations: | |||||
Net investment income | 0.25(A) | 0.30(A) | 0.31 | 0.26 | 0.27 |
Net realized and unrealized gains (losses) on investments | (0.10) | 0.56 | 0.67 | (0.43) | (0.12) |
Total from investment operations | 0.15 | 0.86 | 0.98 | (0.17) | 0.15 |
Distributions from: | |||||
Net investment income | (0.26) | (0.31) | (0.31) | (0.29) | (0.28) |
Realized capital gains | — | — | — | —(B) | — |
Total distributions | (0.26) | (0.31) | (0.31) | (0.29) | (0.28) |
Net asset value at end of period | $11.11 | $11.22 | $10.67 | $10.00 | $10.46 |
Total return | 1.35% | 8.18% | 9.96% | (1.62%) | 1.43% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $92,882 | $90,235 | $90,336 | $165,937 | $79,648 |
Ratio to average net assets: | |||||
Net expenses | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% |
Gross expenses | 0.70% | 0.73% | 0.73% | 0.70% | 0.86% |
Net investment income | 2.24% | 2.79% | 2.93% | 2.59% | 2.58% |
Portfolio turnover rate | 144%(C) | 261% | 235% | 448%(D) | 496% |
Touchstone Active Bond Fund—Institutional Class | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $11.22 | $10.67 | $10.00 | $10.46 | $10.58 |
Income (loss) from investment operations: | |||||
Net investment income | 0.26(A) | 0.31(A) | 0.30 | 0.27 | 0.25 |
Net realized and unrealized gains (losses) on investments | (0.10) | 0.56 | 0.69 | (0.43) | (0.09) |
Total from investment operations | 0.16 | 0.87 | 0.99 | (0.16) | 0.16 |
Distributions from: | |||||
Net investment income | (0.27) | (0.32) | (0.32) | (0.30) | (0.28) |
Realized capital gains | — | — | — | —(B) | — |
Total distributions | (0.27) | (0.32) | (0.32) | (0.30) | (0.28) |
Net asset value at end of period | $11.11 | $11.22 | $10.67 | $10.00 | $10.46 |
Total return | 1.43% | 8.23% | 10.06% | (1.54%) | 1.61% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $99,607 | $134,659 | $96,477 | $38,715 | $20,800 |
Ratio to average net assets: | |||||
Net expenses | 0.57% | 0.57% | 0.57% | 0.57% | 0.57% |
Gross expenses | 0.61% | 0.63% | 0.66% | 0.66% | 0.87% |
Net investment income | 2.32% | 2.87% | 3.01% | 2.67% | 2.66% |
Portfolio turnover rate | 144%(C) | 261% | 235% | 448%(D) | 496% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share. |
(C) | Portfolio turnover excludes the purchases and sales of securities by the AIG U.S. Government Securities Fund acquired on July 16, 2021 (See Note 9 in the Notes to Financial Statements). If these transactions were included, portfolio turnover would have been higher. |
(D) | 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 | |||
Year Ended September 30, | Period Ended September 30, 2019(A) | ||
2021 | 2020 | ||
Net asset value at beginning of period | $10.86 | $10.20 | $10.00 |
Income (loss) from investment operations: | |||
Net investment income | 0.16 | 0.08 | 0.24 |
Net realized and unrealized gains (losses) on investments | 0.96 | 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% | 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% | 0.69% | 0.69%(C) |
Gross expenses | 3.40% | 9.11% | 373.97%(C) |
Net investment income | 1.34% | 1.43% | 2.74%(C) |
Portfolio turnover rate | 62% | 79% | 117%(B)(D) |
Touchstone Anti-Benchmark® International Core Equity Fund—Institutional Class | |||
Selected Data for a Share Outstanding Throughout Each Period | |||
Year Ended September 30, | Period Ended September 30, 2019(A) | ||
2021 | 2020 | ||
Net asset value at beginning of period | $10.88 | $10.20 | $10.00 |
Income (loss) from investment operations: | |||
Net investment income | 0.18 | 0.17 | 0.21 |
Net realized and unrealized gains on investments | 0.96 | 0.75 | — |
Total from investment operations | 1.14 | 0.92 | 0.21 |
Distributions from: | |||
Net investment income | (0.22) | (0.24) | (0.01) |
Net asset value at end of period | $11.80 | $10.88 | $10.20 |
Total return | 10.43% | 9.00% | 2.14%(B) |
Ratios and supplemental data: | |||
Net assets at end of period (000's) | $39,225 | $36,876 | $36,710 |
Ratio to average net assets: | |||
Net expenses | 0.59% | 0.59% | 0.59%(C) |
Gross expenses | 0.97% | 0.96% | 1.13%(C) |
Net investment income | 1.44% | 1.53% | 2.84%(C) |
Portfolio turnover rate | 62% | 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 | ||||||
Year Ended September 30, | Three Months Ended September 30, 2019(A) | Year Ended June 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.45 | $10.03 | $9.95 | $9.96 | $10.41 | $10.05 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.47(B) | 0.57 | 0.20 | 0.52 | 0.49 | 0.45 |
Net realized and unrealized gains (losses) on investments | 1.07 | (0.61) | 0.04 | 0.12 | (0.13) | 0.45 |
Total from investment operations | 1.54 | (0.04) | 0.24 | 0.64 | 0.36 | 0.90 |
Distributions from: | ||||||
Net investment income | (0.53) | (0.54) | (0.12) | (0.54) | (0.53) | (0.47) |
Realized capital gains | — | — | (0.04) | (0.11) | (0.28) | (0.07) |
Total distributions | (0.53) | (0.54) | (0.16) | (0.65) | (0.81) | (0.54) |
Net asset value at end of period | $10.46 | $9.45 | $10.03 | $9.95 | $9.96 | $10.41 |
Total return(C) | 16.67% | (0.29%) | 1.40%(D) | 6.69% | 3.50% | 9.08% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $141,422 | $5,597 | $7,239 | $226 | $153 | $45 |
Ratio to average net assets: | ||||||
Net expenses (including dividend and interest expense on securities sold short)(E) | 1.09% | 1.18% | 1.18%(F) | 1.55% | 1.76% | 1.87% |
Gross expenses (including dividend and interest expense on securities sold short)(G) | 1.32% | 1.61% | 2.55%(F) | 7.56% | 10.00% | 16.01% |
Net investment income | 4.45% | 5.90% | 5.43%(F) | 5.46% | 5.00% | 4.44% |
Portfolio turnover rate | 135%(H) | 115% | 28%(D)(I) | 94% | 70% | 84% |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(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 1.04%, 1.08%, 1.08%, 1.45%, 1.69% and 1.69% for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 1.27%, 1.51%, 2.45%, 7.46%, 9.93% and 15.83% for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Dynamic Diversified Income Fund and the AIG Senior Floating Rate Fund acquired on June 25, 2021 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
(I) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Strategic Trust 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 | ||||||
Year Ended September 30, | Three Months Ended September 30, 2019(A) | Year Ended June 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.18 | $9.75 | $9.98 | $10.00 | $10.44 | $10.08 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.40(B) | 0.52 | 0.19 | 0.43 | 0.44 | 0.34 |
Net realized and unrealized gains (losses) on investments | 1.02 | (0.62) | (0.27) | 0.14 | (0.15) | 0.48 |
Total from investment operations | 1.42 | (0.10) | (0.08) | 0.57 | 0.29 | 0.82 |
Distributions from: | ||||||
Net investment income | (0.47) | (0.47) | (0.11) | (0.48) | (0.45) | (0.39) |
Realized capital gains | — | — | (0.04) | (0.11) | (0.28) | (0.07) |
Total distributions | (0.47) | (0.47) | (0.15) | (0.59) | (0.73) | (0.46) |
Net asset value at end of period | $10.13 | $9.18 | $9.75 | $9.98 | $10.00 | $10.44 |
Total return(C) | 15.79% | (0.98%) | 1.15%(D) | 5.97% | 2.69% | 8.31% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $31,605 | $2,246 | $4,538 | $127 | $22 | $22 |
Ratio to average net assets: | ||||||
Net expenses (including dividend and interest expense on securities sold short)(E) | 1.56% | 1.93% | 1.93%(F) | 2.26% | 2.51% | 2.62% |
Gross expenses (including dividend and interest expense on securities sold short)(G) | 2.17% | 2.61% | 3.62%(F) | 11.81% | 34.60% | 73.30% |
Net investment income | 3.98% | 5.15% | 4.68%(F) | 4.75% | 4.25% | 3.69% |
Portfolio turnover rate | 135%(H) | 115% | 28%(D)(I) | 94% | 70% | 84% |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(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 1.51%, 1.83%, 1.83%, 2.16%, 2.44% and 2.44% for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(F) | Annualized. |
(G) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 2.12%, 2.51%, 3.52%, 11.71%, 34.53% and 73.12% for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Dynamic Diversified Income Fund and the AIG Senior Floating Rate Fund acquired on June 25, 2021 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
(I) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Strategic Trust 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 | ||||||
Year Ended September 30, | Three Months Ended September 30, 2019(A) | Year Ended June 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.57 | $10.16 | $9.95 | $9.96 | $10.41 | $10.04 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.48(B) | 0.59 | 0.17 | 0.60 | 0.50 | 0.39 |
Net realized and unrealized gains (losses) on investments | 1.11 | (0.62) | 0.21 | 0.06 | (0.12) | 0.54 |
Total from investment operations | 1.59 | (0.03) | 0.38 | 0.66 | 0.38 | 0.93 |
Distributions from: | ||||||
Net investment income | (0.55) | (0.56) | (0.13) | (0.56) | (0.55) | (0.49) |
Realized capital gains | — | — | (0.04) | (0.11) | (0.28) | (0.07) |
Total distributions | (0.55) | (0.56) | (0.17) | (0.67) | (0.83) | (0.56) |
Net asset value at end of period | $10.61 | $9.57 | $10.16 | $9.95 | $9.96 | $10.41 |
Total return | 16.98% | (0.13%) | 1.54%(C) | 7.05% | 3.73% | 9.39% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $101,613 | $36,558 | $47,483 | $11,356 | $444 | $315 |
Ratio to average net assets: | ||||||
Net expenses (including dividend and interest expense on securities sold short)(D) | 0.88% | 0.93% | 0.93%(E) | 1.09% | 1.51% | 1.62% |
Gross expenses (including dividend and interest expense on securities sold short)(F) | 1.07% | 1.20% | 1.60%(E) | 1.71% | 4.29% | 8.25% |
Net investment income | 4.66% | 6.15% | 5.68%(E) | 5.93% | 5.25% | 4.69% |
Portfolio turnover rate | 135%(G) | 115% | 28%(C)(H) | 94% | 70% | 84% |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(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% and 1.44% for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 1.02%, 1.10%, 1.50%, 1.61%, 4.22% and 8.07% for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(G) | Portfolio turnover excludes the purchases and sales of securities by the Dynamic Diversified Income Fund and the AIG Senior Floating Rate Fund acquired on June 25, 2021 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Strategic Trust 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 | ||||||
Year Ended September 30, | Three Months Ended September 30, 2019(A) | Year Ended June 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value at beginning of period | $9.63 | $10.22 | $9.95 | $9.96 | $10.41 | $10.05 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.49(B) | 0.61 | 0.15 | 0.58 | 0.55 | 0.50 |
Net realized and unrealized gains (losses) on investments | 1.12 | (0.63) | 0.29 | 0.09 | (0.16) | 0.43 |
Total from investment operations | 1.61 | (0.02) | 0.44 | 0.67 | 0.39 | 0.93 |
Distributions from: | ||||||
Net investment income | (0.56) | (0.57) | (0.13) | (0.57) | (0.56) | (0.50) |
Realized capital gains | — | — | (0.04) | (0.11) | (0.28) | (0.07) |
Total distributions | (0.56) | (0.57) | (0.17) | (0.68) | (0.84) | (0.57) |
Net asset value at end of period | $10.68 | $9.63 | $10.22 | $9.95 | $9.96 | $10.41 |
Total return | 17.07% | (0.02%) | 1.57%(C) | 7.04% | 3.85% | 9.47% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $2,627 | $42,982 | $48,158 | $47,531 | $51,715 | $53,150 |
Ratio to average net assets: | ||||||
Net expenses (including dividend and interest expense on securities sold short)(D) | 0.78% | 0.83% | 0.83%(E) | 1.24% | 1.41% | 1.52% |
Gross expenses (including dividend and interest expense on securities sold short)(F) | 0.97% | 1.06% | 1.36%(E) | 1.50% | 1.59% | 1.69% |
Net investment income | 4.76% | 6.25% | 5.78%(E) | 5.78% | 5.35% | 4.79% |
Portfolio turnover rate | 135%(G) | 115% | 28%(C)(H) | 94% | 70% | 84% |
(A) | The Fund changed its fiscal year end from June 30 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(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% and 1.34% for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(E) | Annualized. |
(F) | The ratio of gross expenses to average net assets excluding dividend and interest expense on securities sold short was 0.92%, 0.96%, 1.26%, 1.40%, 1.52% and 1.51% for the years ended September 30, 2021 and 2020, for the period ended September 30, 2019, and the years ended June 30, 2019, 2018 and 2017, respectively. |
(G) | Portfolio turnover excludes the purchases and sales of securities by the Dynamic Diversified Income Fund and the AIG Senior Floating Rate Fund acquired on June 25, 2021 and July 16, 2021, respectively. If these transactions were included, portfolio turnover would have been higher. |
(H) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Strategic Trust Touchstone Credit Opportunities Fund acquired on September 6, 2019. If these transactions were included, portfolio turnover would have been higher. |
Touchstone Dividend Equity Fund—Class A | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
For the Eleven Months Ended September 30, 2021(A) | Year Ended October 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $14.12 | $17.17 | $17.55 | $18.81 | $16.66 | $17.61 |
Income (loss) from investment operations: | ||||||
Net investment income(B) | 0.29 | 0.55 | 0.50 | 0.47 | 0.45 | 0.51 |
Net realized and unrealized gains (losses) on investments | 2.83 | (2.42) | 0.39 | 0.15 | 2.28 | 0.12 |
Total from investment operations | 3.12 | (1.87) | 0.89 | 0.62 | 2.73 | 0.63 |
Distributions from: | ||||||
Net investment income | (0.36) | (0.60) | (0.49) | (0.44) | (0.54) | (0.42) |
Realized capital gains | — | (0.58) | (0.78) | (1.44) | (0.04) | (1.16) |
Total distributions | (0.36) | (1.18) | (1.27) | (1.88) | (0.58) | (1.58) |
Net asset value at end of period | $16.88 | $14.12 | $17.17 | $17.55 | $18.81 | $16.66 |
Total return(C) | 22.13%(D) | (11.33%) | 5.42% | 3.03% | 16.57% | 4.38% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $1,737,804 | $1,666,379 | $2,381,987 | $3,570,189 | $4,598,192 | $4,849,219 |
Ratio to average net assets: | ||||||
Net expenses | 1.09%(E) | 1.09% | 1.05% | 1.04% | 1.04% | 1.05% |
Gross expenses | 1.09%(E) | 1.09% | 1.05% | 1.04% | 1.04% | 1.05% |
Net investment income | 1.91%(E) | 3.60% | 2.90% | 2.57% | 2.52% | 3.16% |
Portfolio turnover rate | 83%(D)(F) | 68% | 37% | 38% | 45% | 60% |
Touchstone Dividend Equity Fund—Class C | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
For the Eleven Months Ended September 30, 2021(A) | Year Ended October 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $13.99 | $17.00 | $17.38 | $18.65 | $16.53 | $17.48 |
Income (loss) from investment operations: | ||||||
Net investment income(B) | 0.19 | 0.47 | 0.38 | 0.35 | 0.33 | 0.40 |
Net realized and unrealized gains (losses) on investments | 2.80 | (2.40) | 0.39 | 0.14 | 2.26 | 0.13 |
Total from investment operations | 2.99 | (1.93) | 0.77 | 0.49 | 2.59 | 0.53 |
Distributions from: | ||||||
Net investment income | (0.24) | (0.50) | (0.37) | (0.32) | (0.43) | (0.32) |
Realized capital gains | — | (0.58) | (0.78) | (1.44) | (0.04) | (1.16) |
Total distributions | (0.24) | (1.08) | (1.15) | (1.76) | (0.47) | (1.48) |
Net asset value at end of period | $16.74 | $13.99 | $17.00 | $17.38 | $18.65 | $16.53 |
Total return(C) | 21.38%(D) | (11.89%) | 4.78% | 2.31% | 15.80% | 3.75% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $806,336 | $1,117,141 | $2,421,728 | $3,142,587 | $3,682,928 | $3,628,575 |
Ratio to average net assets: | ||||||
Net expenses | 1.75%(E) | 1.74% | 1.70% | 1.69% | 1.69% | 1.70% |
Gross expenses | 1.77%(E) | 1.74% | 1.70% | 1.69% | 1.69% | 1.70% |
Net investment income | 1.27%(E) | 2.99% | 2.27% | 1.92% | 1.87% | 2.51% |
Portfolio turnover rate | 83%(D)(F) | 68% | 37% | 38% | 45% | 60% |
(A) | The Fund changed its fiscal year end from October 31 to September 30. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(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 AIG Select Dividend Growth Fund acquired on July 16, 2021 (See Note 9 in the Notes to Financial Statements). If these transactions were included, portfolio turnover would have been higher. |
Touchstone Dividend Equity Fund—Class Y | ||||||
Selected Data for a Share Outstanding Throughout Each Period | ||||||
For the Eleven Months Ended September 30, 2021(A)(B) | Year Ended October 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value at beginning of period | $14.10 | $17.14 | $17.52 | $18.79 | $16.65 | $17.60 |
Income (loss) from investment operations: | ||||||
Net investment income(C) | 0.33 | 0.61 | 0.53 | 0.51 | 0.47 | 0.53 |
Net realized and unrealized gains (losses) on investments | 2.81 | (2.44) | 0.39 | 0.15 | 2.29 | 0.14 |
Total from investment operations | 3.14 | (1.83) | 0.92 | 0.66 | 2.76 | 0.67 |
Distributions from: | ||||||
Net investment income | (0.39) | (0.63) | (0.52) | (0.49) | (0.58) | (0.46) |
Realized capital gains | — | (0.58) | (0.78) | (1.44) | (0.04) | (1.16) |
Total distributions | (0.39) | (1.21) | (1.30) | (1.93) | (0.62) | (1.62) |
Net asset value at end of period | $16.85 | $14.10 | $17.14 | $17.52 | $18.79 | $16.65 |
Total return | 22.33%(D) | (11.11%) | 5.66% | 3.21% | 16.80% | 4.60% |
Ratios and supplemental data: | ||||||
Net assets at end of period (000's) | $1,161,841 | $1,691,794 | $4,094,116 | $5,289,972 | $5,499,586 | $3,523,472 |
Ratio to average net assets: | ||||||
Net expenses | 0.88%(E) | 0.88% | 0.85% | 0.84% | 0.84% | 0.85% |
Gross expenses | 0.88%(E) | 0.88% | 0.85% | 0.84% | 0.84% | 0.85% |
Net investment income | 2.14%(E) | 3.83% | 3.13% | 2.77% | 2.67% | 3.30% |
Portfolio turnover rate | 83%(D)(F) | 68% | 37% | 38% | 45% | 60% |
Touchstone Dividend Equity Fund—Institutional Class | |
Selected Data for a Share Outstanding Throughout The Period | |
Period Ended September 30, 2021(G) | |
Net asset value at beginning of period | $17.02 |
Income (loss) from investment operations: | |
Net investment income(C) | 0.07 |
Net realized and unrealized losses on investments | (0.17) |
Total from investment operations | (0.10) |
Distributions from: | |
Net investment income | (0.08) |
Net asset value at end of period | $16.84 |
Total return | (0.61%)(D) |
Ratios and supplemental data: | |
Net assets at end of period (000's) | $313 |
Ratio to average net assets: | |
Net expenses | 0.67%(E) |
Gross expenses | 3.37%(E) |
Net investment income | 2.01%(E) |
Portfolio turnover rate | 83%(D)(F) |
(A) | Effective July 16, 2021, Class W shares of the AIG Focused Dividend Strategy Fund were reorganized into Class Y shares of the Fund. |
(B) | The Fund changed its fiscal year end from October 31 to September 30. |
(C) | The net investment income per share was based on average shares outstanding for the period. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | Portfolio turnover excludes the purchases and sales of securities by the AIG Select Dividend Growth Fund acquired on July 16, 2021 (See Note 9 in the Notes to Financial Statements). If these transactions were included, portfolio turnover would have been higher. |
(G) | Represents the period from commencement of operations (July 19, 2021) through September 30, 2021. |
Touchstone Dividend Equity Fund—Class R6 | |
Selected Data for a Share Outstanding Throughout The Period | |
Period Ended September 30, 2021(A) | |
Net asset value at beginning of period | $17.34 |
Income (loss) from investment operations: | |
Net investment income(B) | 0.06 |
Net realized and unrealized losses on investments | (0.48) |
Total from investment operations | (0.42) |
Distributions from: | |
Net investment income | (0.08) |
Net asset value at end of period | $16.84 |
Total return | (2.44%)(C) |
Ratios and supplemental data: | |
Net assets at end of period (000's) | $2 |
Ratio to average net assets: | |
Net expenses | 0.65%(D) |
Gross expenses | 359.78%(D) |
Net investment income | 2.26%(D) |
Portfolio turnover rate | 83%(C)(E) |
(A) | Represents the period from commencement of operations (August 2, 2021) through September 30, 2021. |
(B) | The net investment income per share was based on average shares outstanding for the period. |
(C) | Not annualized. |
(D) | Annualized. |
(E) | Portfolio turnover excludes the purchases and sales of securities by the AIG Select Dividend Growth Fund acquired on July 16, 2021 (See Note 9 in the Notes to Financial Statements). 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 | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $7.86 | $8.27 | $8.12 | $8.43 | $8.21 |
Income (loss) from investment operations: | |||||
Net investment income | 0.36 | 0.39 | 0.40 | 0.41 | 0.39 |
Net realized and unrealized gains (losses) on investments | 0.48 | (0.41) | 0.16 | (0.31) | 0.21 |
Total from investment operations | 0.84 | (0.02) | 0.56 | 0.10 | 0.60 |
Distributions from: | |||||
Net investment income | (0.37) | (0.39) | (0.41) | (0.41) | (0.38) |
Net asset value at end of period | $8.33 | $7.86 | $8.27 | $8.12 | $8.43 |
Total return(A) | 10.84% | (0.13%) | 7.08% | 1.24% | 7.45% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $15,081 | $14,578 | $14,642 | $12,457 | $16,925 |
Ratio to average net assets: | |||||
Net expenses | 1.05% | 1.05% | 1.05% | 1.05% | 1.05% |
Gross expenses | 1.21% | 1.25% | 1.28% | 1.29% | 1.24% |
Net investment income | 4.35% | 4.84% | 4.95% | 4.76% | 4.63% |
Portfolio turnover rate | 96% | 89% | 63% | 59% | 69% |
Touchstone High Yield Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $7.84 | $8.25 | $8.10 | $8.41 | $8.19 |
Income (loss) from investment operations: | |||||
Net investment income | 0.26 | 0.29 | 0.34 | 0.34 | 0.33 |
Net realized and unrealized gains (losses) on investments | 0.52 | (0.37) | 0.16 | (0.30) | 0.21 |
Total from investment operations | 0.78 | (0.08) | 0.50 | 0.04 | 0.54 |
Distributions from: | |||||
Net investment income | (0.31) | (0.33) | (0.35) | (0.35) | (0.32) |
Net asset value at end of period | $8.31 | $7.84 | $8.25 | $8.10 | $8.41 |
Total return(A) | 10.07% | (0.89%) | 6.31% | 0.50% | 6.68% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $835 | $1,250 | $4,582 | $9,444 | $13,025 |
Ratio to average net assets: | |||||
Net expenses | 1.80% | 1.80% | 1.80% | 1.80% | 1.80% |
Gross expenses | 2.83% | 2.35% | 2.10% | 2.00% | 1.97% |
Net investment income | 3.60% | 4.09% | 4.20% | 4.01% | 3.88% |
Portfolio turnover rate | 96% | 89% | 63% | 59% | 69% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
Touchstone High Yield Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $8.09 | $8.52 | $8.35 | $8.67 | $8.44 |
Income (loss) from investment operations: | |||||
Net investment income | 0.39 | 0.44 | 0.47 | 0.44 | 0.43 |
Net realized and unrealized gains (losses) on investments | 0.50 | (0.45) | 0.14 | (0.32) | 0.21 |
Total from investment operations | 0.89 | (0.01) | 0.61 | 0.12 | 0.64 |
Distributions from: | |||||
Net investment income | (0.40) | (0.42) | (0.44) | (0.44) | (0.41) |
Net asset value at end of period | $8.58 | $8.09 | $8.52 | $8.35 | $8.67 |
Total return | 11.18% | 0.02% | 7.52% | 1.44% | 7.74% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $36,447 | $33,694 | $44,030 | $63,983 | $75,435 |
Ratio to average net assets: | |||||
Net expenses | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% |
Gross expenses | 0.89% | 0.89% | 0.91% | 0.88% | 0.90% |
Net investment income | 4.60% | 5.09% | 5.20% | 5.01% | 4.88% |
Portfolio turnover rate | 96% | 89% | 63% | 59% | 69% |
Touchstone High Yield Fund—Institutional Class | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $8.09 | $8.51 | $8.35 | $8.66 | $8.43 |
Income (loss) from investment operations: | |||||
Net investment income | 0.40 | 0.43 | 0.44 | 0.44 | 0.42 |
Net realized and unrealized gains (losses) on investments | 0.50 | (0.42) | 0.16 | (0.30) | 0.22 |
Total from investment operations | 0.90 | 0.01 | 0.60 | 0.14 | 0.64 |
Distributions from: | |||||
Net investment income | (0.41) | (0.43) | (0.44) | (0.45) | (0.41) |
Net asset value at end of period | $8.58 | $8.09 | $8.51 | $8.35 | $8.66 |
Total return | 11.27% | 0.21% | 7.47% | 1.63% | 7.70% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $87,056 | $135,974 | $135,328 | $111,705 | $112,503 |
Ratio to average net assets: | |||||
Net expenses | 0.72% | 0.72% | 0.72% | 0.72% | 0.72% |
Gross expenses | 0.75% | 0.75% | 0.77% | 0.76% | 0.75% |
Net investment income | 4.68% | 5.17% | 5.28% | 5.09% | 4.96% |
Portfolio turnover rate | 96% | 89% | 63% | 59% | 69% |
Touchstone Impact Bond Fund—Class A | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $10.80 | $10.44 | $9.77 | $10.13 | $10.38 |
Income (loss) from investment operations: | |||||
Net investment income | 0.15 | 0.19 | 0.23 | 0.22 | 0.18 |
Net realized and unrealized gains (losses) on investments | (0.21) | 0.37 | 0.69 | (0.33) | (0.17) |
Total from investment operations | (0.06) | 0.56 | 0.92 | (0.11) | 0.01 |
Distributions from: | |||||
Net investment income | (0.17) | (0.20) | (0.25) | (0.25) | (0.26) |
Net asset value at end of period | $10.57 | $10.80 | $10.44 | $9.77 | $10.13 |
Total return(A) | (0.57%) | 5.46% | 9.59% | (1.07%) | 0.15% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $17,997 | $16,509 | $10,083 | $5,697 | $5,137 |
Ratio to average net assets: | |||||
Net expenses | 0.84% | 0.85% | 0.85% | 0.85% | 0.85% |
Gross expenses | 0.93% | 1.03% | 1.19% | 1.30% | 1.22% |
Net investment income | 1.43% | 1.83% | 2.28% | 2.25% | 1.98% |
Portfolio turnover rate | 24% | 21% | 22% | 40% | 18% |
Touchstone Impact Bond Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $10.79 | $10.43 | $9.75 | $10.12 | $10.36 |
Income (loss) from investment operations: | |||||
Net investment income | 0.07 | 0.12 | 0.16 | 0.16 | 0.11 |
Net realized and unrealized gains (losses) on investments | (0.21) | 0.37 | 0.70 | (0.35) | (0.17) |
Total from investment operations | (0.14) | 0.49 | 0.86 | (0.19) | (0.06) |
Distributions from: | |||||
Net investment income | (0.09) | (0.13) | (0.18) | (0.18) | (0.18) |
Net asset value at end of period | $10.56 | $10.79 | $10.43 | $9.75 | $10.12 |
Total return(A) | (1.32%) | 4.69% | 8.89% | (1.94%) | (0.51%) |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $1,635 | $1,737 | $1,475 | $1,087 | $1,876 |
Ratio to average net assets: | |||||
Net expenses | 1.59% | 1.60% | 1.60% | 1.60% | 1.60% |
Gross expenses | 2.37% | 2.55% | 2.94% | 2.78% | 2.30% |
Net investment income | 0.68% | 1.08% | 1.53% | 1.50% | 1.23% |
Portfolio turnover rate | 24% | 21% | 22% | 40% | 18% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
Touchstone Impact Bond Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $10.82 | $10.45 | $9.78 | $10.15 | $10.39 |
Income (loss) from investment operations: | |||||
Net investment income | 0.19 | 0.22 | 0.26 | 0.24 | 0.24 |
Net realized and unrealized gains (losses) on investments | (0.22) | 0.38 | 0.69 | (0.33) | (0.19) |
Total from investment operations | (0.03) | 0.60 | 0.95 | (0.09) | 0.05 |
Distributions from: | |||||
Net investment income | (0.20) | (0.23) | (0.28) | (0.28) | (0.29) |
Net asset value at end of period | $10.59 | $10.82 | $10.45 | $9.78 | $10.15 |
Total return | (0.32%) | 5.81% | 9.84% | (0.92%) | 0.50% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $199,280 | $145,821 | $95,218 | $54,895 | $37,233 |
Ratio to average net assets: | |||||
Net expenses | 0.59% | 0.60% | 0.60% | 0.60% | 0.60% |
Gross expenses | 0.60% | 0.64% | 0.68% | 0.67% | 0.73% |
Net investment income | 1.68% | 2.08% | 2.53% | 2.50% | 2.23% |
Portfolio turnover rate | 24% | 21% | 22% | 40% | 18% |
Touchstone Impact Bond Fund—Institutional Class | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $10.82 | $10.45 | $9.78 | $10.14 | $10.39 |
Income (loss) from investment operations: | |||||
Net investment income | 0.19 | 0.23 | 0.27 | 0.26 | 0.25 |
Net realized and unrealized gains (losses) on investments | (0.21) | 0.38 | 0.69 | (0.33) | (0.20) |
Total from investment operations | (0.02) | 0.61 | 0.96 | (0.07) | 0.05 |
Distributions from: | |||||
Net investment income | (0.21) | (0.24) | (0.29) | (0.29) | (0.30) |
Net asset value at end of period | $10.59 | $10.82 | $10.45 | $9.78 | $10.14 |
Total return | (0.22%) | 5.92% | 9.95% | (0.72%) | 0.51% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $216,914 | $227,734 | $207,462 | $191,224 | $222,013 |
Ratio to average net assets: | |||||
Net expenses | 0.49% | 0.50% | 0.50% | 0.50% | 0.50% |
Gross expenses | 0.57% | 0.59% | 0.60% | 0.60% | 0.60% |
Net investment income | 1.78% | 2.18% | 2.63% | 2.60% | 2.33% |
Portfolio turnover rate | 24% | 21% | 22% | 40% | 18% |
Touchstone International ESG Equity Fund—Class A | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $7.44 | $8.50 | $9.58 | $9.40 | $8.77 |
Income (loss) from investment operations: | |||||
Net investment income | 0.12 | 0.03 | 0.15 | 0.24 | 0.25 |
Net realized and unrealized gains (losses) on investments | 1.57 | 0.62 | (0.29) | 0.35 | 0.62 |
Total from investment operations | 1.69 | 0.65 | (0.14) | 0.59 | 0.87 |
Distributions from: | |||||
Net investment income | (0.03) | (0.02) | (0.17) | (0.23) | (0.24) |
Realized capital gains | — | (1.69) | (0.77) | (0.18) | — |
Total distributions | (0.03) | (1.71) | (0.94) | (0.41) | (0.24) |
Net asset value at end of period | $9.10 | $7.44 | $8.50 | $9.58 | $9.40 |
Total return(A) | 22.73% | 7.93% | (0.81%) | 6.41% | 10.10% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $10,218 | $11,719 | $10,333 | $11,984 | $22,725 |
Ratio to average net assets: | |||||
Net expenses | 1.17% | 1.17% | 1.20% | 1.20% | 1.20% |
Gross expenses | 1.64% | 1.81% | 1.52% | 1.41% | 1% |
Net investment income | 1.06% | 0.68% | 1.71% | 2.16% | 2.69% |
Portfolio turnover rate | 52% | 80% | 123% | 68% | 39% |
Touchstone International ESG Equity Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $7.40 | $8.48 | $9.57 | $9.39 | $8.75 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | — | (0.03) | 0.09 | 0.14 | 0.17 |
Net realized and unrealized gains (losses) on investments | 1.61 | 0.64 | (0.30) | 0.38 | 0.64 |
Total from investment operations | 1.61 | 0.61 | (0.21) | 0.52 | 0.81 |
Distributions from: | |||||
Net investment income | — | (—)(B) | (0.11) | (0.16) | (0.17) |
Realized capital gains | — | (1.69) | (0.77) | (0.18) | — |
Total distributions | — | (1.69) | (0.88) | (0.34) | (0.17) |
Net asset value at end of period | $9.01 | $7.40 | $8.48 | $9.57 | $9.39 |
Total return(A) | 21.76% | 7.35% | (1.61%) | 5.62% | 9.42% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $2,727 | $4,066 | $10,691 | $19,455 | $22,324 |
Ratio to average net assets: | |||||
Net expenses | 1.95% | 1.95% | 1.95% | 1.95% | 1.95% |
Gross expenses | 2.56% | 2.56% | 2.16% | 2.07% | 2.05% |
Net investment income (loss) | 0.28% | (0.10%) | 1.05% | 1.41% | 1.94% |
Portfolio turnover rate | 52% | 80% | 123% | 68% | 39% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Less than $0.005 per share. |
Touchstone International ESG Equity Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $7.43 | $8.47 | $9.55 | $9.38 | $8.75 |
Income (loss) from investment operations: | |||||
Net investment income | 0.10 | 0.07 | 0.18 | 0.23 | 0.26 |
Net realized and unrealized gains (losses) on investments | 1.61 | 0.61 | (0.30) | 0.37 | 0.63 |
Total from investment operations | 1.71 | 0.68 | (0.12) | 0.60 | 0.89 |
Distributions from: | |||||
Net investment income | (0.05) | (0.03) | (0.19) | (0.25) | (0.26) |
Realized capital gains | — | (1.69) | (0.77) | (0.18) | — |
Total distributions | (0.05) | (1.72) | (0.96) | (0.43) | (0.26) |
Net asset value at end of period | $9.09 | $7.43 | $8.47 | $9.55 | $9.38 |
Total return | 23.07% | 8.32% | (0.57%) | 6.59% | 10.41% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $20,434 | $11,550 | $16,554 | $56,185 | $75,763 |
Ratio to average net assets: | |||||
Net expenses | 0.90% | 0.90% | 0.95% | 0.95% | 0.95% |
Gross expenses | 1.34% | 1.49% | 1.09% | 0.99% | 1.00% |
Net investment income | 1.33% | 0.95% | 2.17% | 2.41% | 2.94% |
Portfolio turnover rate | 52% | 80% | 123% | 68% | 39% |
Touchstone International ESG Equity Fund—Institutional Class | |||
Selected Data for a Share Outstanding Throughout Each Period | |||
Year Ended September 30, | Period Ended September 30, 2019(A) | ||
2021 | 2020 | ||
Net asset value at beginning of period | $7.43 | $8.48 | $8.05(B) |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.12 | 0.07 | (0.01) |
Net realized and unrealized gains on investments | 1.60 | 0.60 | 0.45 |
Total from investment operations | 1.72 | 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 | $9.10 | $7.43 | $8.48 |
Total return | 23.21% | 8.30% | 5.46%(C) |
Ratios and supplemental data: | |||
Net assets at end of period (000's) | $4 | $3 | $3 |
Ratio to average net assets: | |||
Net expenses | 0.89% | 0.89% | 0.89%(D) |
Gross expenses | 255.65% | 314.41% | 2,643.52%(D) |
Net investment income (loss) | 1.34% | 0.96% | (0.97%)(D) |
Portfolio turnover rate | 52% | 80% | 123%(C) |
(A) | Represents the period from commencement of operations (November 16, 2018) through September 30, 2019. |
(B) | Net asset value at the beginning of period is based on the net asset value of Class Y shares on August 23, 2019. |
(C) | Not annualized. |
(D) | Annualized. |
Touchstone Mid Cap Fund—Class A | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $39.04 | $38.87 | $34.99 | $30.50 | $25.91 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | (0.07)(A) | 0.03(A) | 0.05 | 0.01(A) | (0.02)(A) |
Net realized and unrealized gains on investments | 8.33 | 1.27 | 5.00 | 4.79 | 4.69 |
Total from investment operations | 8.26 | 1.30 | 5.05 | 4.80 | 4.67 |
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 | $46.47 | $39.04 | $38.87 | $34.99 | $30.50 |
Total return(B) | 21.34% | 3.32% | 15.34% | 15.83% | 18.08% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $137,477 | $103,964 | $61,772 | $36,824 | $34,761 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(C) | 1.22% | 1.21% | 1.23% | 1.24% | 1.24% |
Gross expenses (including liquidity provider expenses)(D) | 1.23% | 1.29% | 1.36% | 1.35% | 1.36% |
Net investment income (loss) | (0.15%) | 0.08% | 0.19% | 0.04% | (0.09%) |
Portfolio turnover rate | 21%(E) | 18% | 25% | 46% | 19% |
Touchstone Mid Cap Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $36.38 | $36.34 | $33.01 | $29.02 | $24.76 |
Income (loss) from investment operations: | |||||
Net investment loss | (0.36)(A) | (0.23)(A) | (0.17) | (0.22)(A) | (0.22)(A) |
Net realized and unrealized gains on investments | 7.74 | 1.16 | 4.65 | 4.52 | 4.48 |
Total from investment operations | 7.38 | 0.93 | 4.48 | 4.30 | 4.26 |
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 | $43.00 | $36.38 | $36.34 | $33.01 | $29.02 |
Total return(B) | 20.47% | 2.54% | 14.48% | 14.91% | 17.21% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $90,388 | $78,959 | $66,855 | $56,274 | $57,224 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(C) | 1.93% | 1.96% | 1.98% | 1.99% | 1.99% |
Gross expenses (including liquidity provider expenses)(D) | 1.93% | 2.00% | 2.07% | 2.08% | 2.11% |
Net investment loss | (0.86%) | (0.67%) | (0.56%) | (0.71%) | (0.84%) |
Portfolio turnover rate | 21%(E) | 18% | 25% | 46% | 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) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A was 1.21% and for Class C was 1.92% for the year ended September 30, 2021. |
(D) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A was 1.22% and for Class C was 1.92% for the year ended September 30, 2021. |
(E) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $39.55 | $39.33 | $35.33 | $30.77 | $26.14 |
Income (loss) from investment operations: | |||||
Net investment income | 0.05(A) | 0.12(A) | 0.14 | 0.10(A) | 0.05(A) |
Net realized and unrealized gains on investments | 8.44 | 1.28 | 5.05 | 4.82 | 4.74 |
Total from investment operations | 8.49 | 1.40 | 5.19 | 4.92 | 4.79 |
Distributions from: | |||||
Net investment income | (0.16) | (0.29) | (0.04) | (0.05) | (0.16) |
Realized capital gains | (0.70) | (0.89) | (1.15) | (0.31) | — |
Total distributions | (0.86) | (1.18) | (1.19) | (0.36) | (0.16) |
Net asset value at end of period | $47.18 | $39.55 | $39.33 | $35.33 | $30.77 |
Total return | 21.64% | 3.57% | 15.62% | 16.09% | 18.40% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $3,258,367 | $2,443,232 | $1,194,001 | $712,578 | $551,794 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(B) | 0.97%(C) | 0.96% | 0.98% | 0.99% | 0.99% |
Gross expenses (including liquidity provider expenses)(D) | 0.93% | 1.00% | 1.07% | 1.05% | 1.08% |
Net investment income | 0.10% | 0.33% | 0.44% | 0.29% | 0.16% |
Portfolio turnover rate | 21%(E) | 18% | 25% | 46% | 19% |
Touchstone Mid Cap Fund—Class Z | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $38.75 | $38.62 | $34.78 | $30.32 | $25.75 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | (—)(A)(F) | 0.03(A) | 0.05 | 0.01(A) | (0.02)(A) |
Net realized and unrealized gains on investments | 8.20 | 1.25 | 4.96 | 4.76 | 4.67 |
Total from investment operations | 8.20 | 1.28 | 5.01 | 4.77 | 4.65 |
Distributions from: | |||||
Net investment income | (0.13) | (0.26) | (0.02) | — | (0.08) |
Realized capital gains | (0.70) | (0.89) | (1.15) | (0.31) | — |
Total distributions | (0.83) | (1.15) | (1.17) | (0.31) | (0.08) |
Net asset value at end of period | $46.12 | $38.75 | $38.62 | $34.78 | $30.32 |
Total return | 21.33% | 3.30% | 15.32% | 15.83% | 18.08% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $54,368 | $77,184 | $61,657 | $20,464 | $19,312 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(B) | 1.22% | 1.21% | 1.22% | 1.24% | 1.24% |
Gross expenses (including liquidity provider expenses)(D) | 1.25% | 1.30% | 1.37% | 1.40% | 1.44% |
Net investment income (loss) | (0.15%) | 0.08% | 0.19% | 0.04% | (0.09%) |
Portfolio turnover rate | 21%(E) | 18% | 25% | 46% | 19% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Y was 0.96% and for Class Z was 1.21% for the year ended September 30, 2021. |
(C) | Net expenses include amounts recouped by the Advisor. |
(D) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Y was 0.92% and for Class Z was 1.24% for the year ended September 30, 2021. |
(E) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(F) | Less than $0.005 per share. |
Touchstone Mid Cap Fund—Institutional Class | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $39.64 | $39.41 | $35.38 | $30.81 | $26.18 |
Income (loss) from investment operations: | |||||
Net investment income | 0.10(A) | 0.15(A) | 0.15 | 0.12(A) | 0.07(A) |
Net realized and unrealized gains on investments | 8.46 | 1.29 | 5.08 | 4.83 | 4.74 |
Total from investment operations | 8.56 | 1.44 | 5.23 | 4.95 | 4.81 |
Distributions from: | |||||
Net investment income | (0.16) | (0.32) | (0.05) | (0.07) | (0.18) |
Realized capital gains | (0.70) | (0.89) | (1.15) | (0.31) | — |
Total distributions | (0.86) | (1.21) | (1.20) | (0.38) | (0.18) |
Net asset value at end of period | $47.34 | $39.64 | $39.41 | $35.38 | $30.81 |
Total return | 21.80% | 3.64% | 15.71% | 16.18% | 18.50% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $676,846 | $1,142,677 | $245,418 | $129,284 | $113,867 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(B) | 0.85%(C) | 0.89%(C) | 0.91% | 0.92% | 0.92% |
Gross expenses (including liquidity provider expenses)(D) | 0.84% | 0.89% | 0.97% | 0.97% | 0.98% |
Net investment income | 0.22% | 0.40% | 0.51% | 0.36% | 0.23% |
Portfolio turnover rate | 21%(E) | 18% | 25% | 46% | 19% |
Touchstone Mid Cap Fund—Class R6 | |
Selected Data for a Share Outstanding Throughout The Period | |
Period Ended September 30, 2021(F) | |
Net asset value at beginning of period | $45.92 |
Income (loss) from investment operations: | |
Net investment income | 0.07(A) |
Net realized and unrealized gains on investments | 1.36 |
Total from investment operations | 1.43 |
Net asset value at end of period | $47.35 |
Total return | 3.11%(G) |
Ratios and supplemental data: | |
Net assets at end of period (000's) | $612,500 |
Ratio to average net assets: | |
Net expenses (including liquidity provider expenses)(B) | 0.80%(H) |
Gross expenses (including liquidity provider expenses)(D) | 0.82%(H) |
Net investment income | 0.27%(H) |
Portfolio turnover rate | 21%(E)(G) |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.84% and for Class R6 was 0.79% for the year ended September 30, 2021. |
(C) | Net expenses include amounts recouped by the Advisor. |
(D) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.83% and for Class R6 was 0.81% for the year ended September 30, 2021. |
(E) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(F) | Represents the period from commencement of operations (February 22, 2021) through September 30, 2021. |
(G) | Not annualized. |
(H) | Annualized. |
Touchstone Mid Cap Value Fund—Class A | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $16.71 | $17.91 | $18.71 | $19.36 | $17.49 |
Income (loss) from investment operations: | |||||
Net investment income | 0.01(A) | 0.09 | 0.12 | 0.07 | 0.04 |
Net realized and unrealized gains (losses) on investments | 6.93 | (1.20) | (0.06) | 0.48 | 2.47 |
Total from investment operations | 6.94 | (1.11) | 0.06 | 0.55 | 2.51 |
Distributions from: | |||||
Net investment income | (0.03) | (0.09) | (0.10) | (0.06) | (0.03) |
Realized capital gains | — | — | (0.76) | (1.14) | (0.61) |
Total distributions | (0.03) | (0.09) | (0.86) | (1.20) | (0.64) |
Net asset value at end of period | $23.62 | $16.71 | $17.91 | $18.71 | $19.36 |
Total return(B) | 41.59% | (6.20%) | 0.81% | 2.80% | 14.62% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $13,605 | $9,864 | $10,866 | $17,217 | $21,001 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(C) | 1.23% | 1.22% | 1.22% | 1.25% | 1.27% |
Gross expenses (including liquidity provider expenses)(D) | 1.55% | 1.59% | 1.53% | 1.48% | 1.47% |
Net investment income | 0.06% | 0.50% | 0.59% | 0.32% | 0.19% |
Portfolio turnover rate | 33%(E) | 37% | 34% | 31% | 43% |
Touchstone Mid Cap Value Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $16.17 | $17.37 | $18.20 | $18.94 | $17.23 |
Income (loss) from investment operations: | |||||
Net investment loss | (0.15)(A) | (0.24) | (0.12) | (0.13) | (0.06) |
Net realized and unrealized gains (losses) on investments | 6.71 | (0.96) | 0.05 | 0.53 | 2.38 |
Total from investment operations | 6.56 | (1.20) | (0.07) | 0.40 | 2.32 |
Distributions from: | |||||
Realized capital gains | — | — | (0.76) | (1.14) | (0.61) |
Net asset value at end of period | $22.73 | $16.17 | $17.37 | $18.20 | $18.94 |
Total return(B) | 40.57% | (6.91%) | 0.06% | 2.04% | 13.78% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $4,167 | $3,296 | $5,378 | $7,755 | $10,758 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(C) | 1.98% | 1.97% | 1.97% | 2.01% | 2.02% |
Gross expenses (including liquidity provider expenses)(D) | 2.36% | 2.57% | 2.40% | 2.31% | 2.33% |
Net investment loss | (0.69%) | (0.25%) | (0.17%) | (0.43%) | (0.56%) |
Portfolio turnover rate | 33%(E) | 37% | 34% | 31% | 43% |
(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) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A was 1.22% and for Class C was 1.97% for the year ended September 30, 2021. |
(D) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A was 1.54% and for Class C was 2.35% for the year ended September 30, 2021. |
(E) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Mid Cap Value Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $16.78 | $17.99 | $18.79 | $19.45 | $17.57 |
Income (loss) from investment operations: | |||||
Net investment income | 0.07(A) | 0.12 | 0.14 | 0.11 | 0.08 |
Net realized and unrealized gains (losses) on investments | 6.96 | (1.20) | (0.04) | 0.48 | 2.49 |
Total from investment operations | 7.03 | (1.08) | 0.10 | 0.59 | 2.57 |
Distributions from: | |||||
Net investment income | (0.06) | (0.13) | (0.14) | (0.11) | (0.08) |
Realized capital gains | — | — | (0.76) | (1.14) | (0.61) |
Total distributions | (0.06) | (0.13) | (0.90) | (1.25) | (0.69) |
Net asset value at end of period | $23.75 | $16.78 | $17.99 | $18.79 | $19.45 |
Total return | 41.97% | (5.97%) | 1.08% | 3.00% | 14.91% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $400,865 | $299,596 | $286,407 | $337,247 | $322,979 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(B) | 0.98% | 0.97% | 0.97% | 1.00% | 1.02% |
Gross expenses (including liquidity provider expenses)(C) | 1.16% | 1.22% | 1.19% | 1.05% | 1.10% |
Net investment income | 0.31% | 0.75% | 0.84% | 0.57% | 0.43% |
Portfolio turnover rate | 33%(D) | 37% | 34% | 31% | 43% |
Touchstone Mid Cap Value Fund—Institutional Class | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $16.87 | $18.09 | $18.89 | $19.54 | $17.64 |
Income (loss) from investment operations: | |||||
Net investment income | 0.10(A) | 0.15 | 0.17 | 0.12 | 0.09 |
Net realized and unrealized gains (losses) on investments | 7.00 | (1.22) | (0.04) | 0.50 | 2.52 |
Total from investment operations | 7.10 | (1.07) | 0.13 | 0.62 | 2.61 |
Distributions from: | |||||
Net investment income | (0.09) | (0.15) | (0.17) | (0.13) | (0.10) |
Realized capital gains | — | — | (0.76) | (1.14) | (0.61) |
Total distributions | (0.09) | (0.15) | (0.93) | (1.27) | (0.71) |
Net asset value at end of period | $23.88 | $16.87 | $18.09 | $18.89 | $19.54 |
Total return | 42.16% | (5.86%) | 1.20% | 3.17% | 15.04% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $456,557 | $370,247 | $453,198 | $431,412 | $334,083 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(B) | 0.85% | 0.84% | 0.84% | 0.87% | 0.89% |
Gross expenses (including liquidity provider expenses)(C) | 0.97% | 0.98% | 0.97% | 0.99% | 1.01% |
Net investment income | 0.44% | 0.88% | 0.97% | 0.70% | 0.57% |
Portfolio turnover rate | 33%(D) | 37% | 34% | 31% | 43% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Y was 0.97% and for Institutional Class was 0.84% for the year ended September 30, 2021. |
(C) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Y was 1.15% and for Institutional Class was 0.96% for the year ended September 30, 2021. |
(D) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Sands Capital Select Growth Fund—Class A | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $17.22 | $13.12 | $17.73 | $16.58 | $16.14 |
Income (loss) from investment operations: | |||||
Net investment loss | (0.19)(A) | (0.11)(A) | (0.06) | (0.21) | (0.34) |
Net realized and unrealized gains (losses) on investments | 5.43 | 6.58 | (0.72) | 4.72 | 2.94 |
Total from investment operations | 5.24 | 6.47 | (0.78) | 4.51 | 2.60 |
Distributions from: | |||||
Realized capital gains | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) |
Net asset value at end of period | $20.61 | $17.22 | $13.12 | $17.73 | $16.58 |
Total return(B) | 32.30% | 58.43% | (1.75%) | 33.03% | 19.63% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $841,243 | $163,697 | $89,299 | $97,583 | $89,860 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(C) | 1.06%(D) | 1.25%(D) | 1.44% | 1.43% | 1.23% |
Gross expenses (including liquidity provider expenses)(E) | 1.06% | 1.24% | 1.44% | 1.43% | 1.25% |
Net investment loss | (0.96%) | (0.85%) | (1.23%) | (1.28%) | (0.95%) |
Portfolio turnover rate | 35%(F)(G) | 41%(F) | 25%(F) | 21%(F) | 22% |
Touchstone Sands Capital Select Growth Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $14.57 | $11.52 | $16.20 | $15.51 | $15.36 |
Income (loss) from investment operations: | |||||
Net investment loss | (0.28)(A) | (0.18)(A) | (0.51) | (0.24) | (0.79) |
Net realized and unrealized gains (losses) on investments | 4.51 | 5.60 | (0.34) | 4.29 | 3.10 |
Total from investment operations | 4.23 | 5.42 | (0.85) | 4.05 | 2.31 |
Distributions from: | |||||
Realized capital gains | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) |
Net asset value at end of period | $16.95 | $14.57 | $11.52 | $16.20 | $15.51 |
Total return(B) | 31.14% | 57.27% | (2.44%) | 32.11% | 18.77% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $75,082 | $36,065 | $50,079 | $80,444 | $73,516 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(C) | 1.86% | 2.01% | 2.19% | 2.18% | 1.98% |
Gross expenses (including liquidity provider expenses)(E) | 1.87% | 2.04% | 2.21% | 2.19% | 2.01% |
Net investment loss | (1.75%) | (1.56%) | (1.98%) | (2.03%) | (1.70%) |
Portfolio turnover rate | 35%(F)(G) | 41%(F) | 25%(F) | 21%(F) | 22% |
(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) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A were 1.04%, 1.22%, 1.40% and 1.42% and for Class C were 1.84%, 1.98%, 2.15% and 2.17% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(D) | Net expenses include amounts recouped by the Advisor. |
(E) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A were 1.04%, 1.21%, 1.40% and 1.42% and for Class C were 1.85%, 2.01%, 2.17% and 2.18% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(F) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(G) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively (See Note 9 in the Notes to Financial Statements). If these transactions were included, portfolio turnover would have been higher. |
Touchstone Sands Capital Select Growth Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $18.89 | $14.14 | $18.73 | $17.29 | $16.70 |
Income (loss) from investment operations: | |||||
Net investment loss | (0.16)(A) | (0.09)(A) | (0.14) | (0.18) | (0.10) |
Net realized and unrealized gains (losses) on investments | 5.98 | 7.21 | (0.62) | 4.98 | 2.85 |
Total from investment operations | 5.82 | 7.12 | (0.76) | 4.80 | 2.75 |
Distributions from: | |||||
Realized capital gains | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) |
Net asset value at end of period | $22.86 | $18.89 | $14.14 | $18.73 | $17.29 |
Total return | 32.53% | 58.86% | (1.45%) | 33.36% | 19.89% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $1,784,643 | $1,565,333 | $1,089,979 | $1,556,324 | $1,775,755 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(B) | 0.85% | 1.00%(C) | 1.19%(C) | 1.18%(C) | 0.98% |
Gross expenses (including liquidity provider expenses)(D) | 0.85% | 0.99% | 1.18% | 1.17% | 0.99% |
Net investment loss | (0.74%) | (0.58%) | (0.98%) | (1.03%) | (0.70%) |
Portfolio turnover rate | 35%(E)(F) | 41%(E) | 25%(E) | 21%(E) | 22% |
Touchstone Sands Capital Select Growth Fund—Class Z | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $17.25 | $13.14 | $17.75 | $16.58 | $16.15 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | (0.20)(A) | (0.11)(A) | (0.17) | (0.20) | (0.32) |
Net realized and unrealized gains (losses) on investments | 5.43 | 6.59 | (0.61) | 4.73 | 2.91 |
Total from investment operations | 5.23 | 6.48 | (0.78) | 4.53 | 2.59 |
Distributions from: | |||||
Realized capital gains | (1.85) | (2.37) | (3.83) | (3.36) | (2.16) |
Net asset value at end of period | $20.63 | $17.25 | $13.14 | $17.75 | $16.58 |
Total return | 32.17% | 58.42% | (1.69%) | 33.10% | 19.62% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $570,206 | $491,741 | $458,996 | $611,071 | $556,651 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(B) | 1.16%(C) | 1.24% | 1.43% | 1.42% | 1.22% |
Gross expenses (including liquidity provider expenses)(D) | 1.16% | 1.31% | 1.49% | 1.47% | 1.28% |
Net investment income (loss) | (1.05%) | (0.82%) | (1.22%) | (1.27%) | (0.94%) |
Portfolio turnover rate | 35%(E)(F) | 41%(E) | 25%(E) | 21%(E) | 22% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | 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 years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(C) | Net expenses include amounts recouped by the Advisor. |
(D) | 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 1.14%, 1.28%, 1.45% and 1.46% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(E) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(F) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively (See Note 9 in the Notes to Financial Statements). If these transactions were included, portfolio turnover would have been higher. |
Touchstone Sands Capital Select Growth Fund—Institutional Class | ||
Selected Data for a Share Outstanding Throughout Each Period | ||
Year Ended September 30, 2021 | 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 | (0.15)(C) | (0.01)(C) |
Net realized and unrealized gains (losses) on investments | 5.99 | (0.91) |
Total from investment operations | 5.84 | (0.92) |
Distributions from: | ||
Realized capital gains | (1.85) | — |
Net asset value at end of period | $22.88 | $18.89 |
Total return | 32.65% | (4.64%)(D) |
Ratios and supplemental data: | ||
Net assets at end of period (000's) | $2,582,030 | $2 |
Ratio to average net assets: | ||
Net expenses (including liquidity provider expenses)(E) | 0.79%(F) | 0.81%(G) |
Gross expenses (including liquidity provider expenses)(H) | 0.79% | 1,344.66%(G) |
Net investment loss | (0.69%) | (0.81%)(G) |
Portfolio turnover rate | 35%(I)(J) | 41%(I) |
Touchstone Sands Capital Select Growth Fund—Class R6 | ||
Selected Data for a Share Outstanding Throughout Each Period | ||
Year Ended September 30, 2021 | 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 | (0.14)(C) | (0.01)(C) |
Net realized and unrealized gains (losses) on investments | 5.98 | (0.91) |
Total from investment operations | 5.84 | (0.92) |
Distributions from: | ||
Realized capital gains | (1.85) | — |
Net asset value at end of period | $22.88 | $18.89 |
Total return | 32.65% | (4.64%)(D) |
Ratios and supplemental data: | ||
Net assets at end of period (000's) | $498,994 | $2 |
Ratio to average net assets: | ||
Net expenses (including liquidity provider expenses)(E) | 0.74% | 0.75%(G) |
Gross expenses (including liquidity provider expenses)(H) | 0.75% | 3.55%(G) |
Net investment loss | (0.65%) | (0.73%)(G) |
Portfolio turnover rate | 35%(I)(J) | 41%(I) |
(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 0.77% and 0.78% and for Class R6 was 0.72% and 0.72% for the year ended September 30, 2021 and the period ended September 30, 2020, respectively. |
(F) | Net expenses include amounts recouped by the Advisor. |
(G) | Annualized. |
(H) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Institutional Class was 0.77% and 1344.63% and for Class R6 was 0.73% and 3.52% for the year ended September 30, 2021 and the period ended September 30, 2020, respectively. |
(I) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(J) | Portfolio turnover excludes the purchases and sales of securities by the Touchstone Sands Capital Institutional Growth Fund and the AIG Focused Growth Fund acquired on December 11, 2020 and July 16, 2021, respectively (See Note 9 in the Notes to Financial Statements). If these transactions were included, portfolio turnover would have been higher. |
Touchstone Small Cap Fund—Class A | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $10.29 | $12.35 | $16.24 | $17.73 | $16.24 |
Income (loss) from investment operations: | |||||
Net investment income | 0.05(A) | 0.01(A) | —(B) | 0.32(A)(C) | 0.02 |
Net realized and unrealized gains (losses) on investments | 3.91 | (0.98) | (0.49) | 1.52 | 1.47 |
Total from investment operations | 3.96 | (0.97) | (0.49) | 1.84 | 1.49 |
Distributions from: | |||||
Net investment income | — | — | — | (0.34) | — |
Realized capital gains | (0.20) | (1.09) | (3.40) | (2.99) | — |
Total distributions | (0.20) | (1.09) | (3.40) | (3.33) | — |
Net asset value at end of period | $14.05 | $10.29 | $12.35 | $16.24 | $17.73 |
Total return(D) | 38.68% | (8.92%) | 0.22% | 12.14% | 9.17% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $5,266 | $4,313 | $3,750 | $8,142 | $12,461 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(E) | 1.27% | 1.27% | 1.39% | 1.39% | 1.38% |
Gross expenses (including liquidity provider expenses)(F) | 1.78% | 2.09% | 2.01% | 1.65% | 1.52% |
Net investment income | 0.39% | 0.08% | 0.02% | 1.99%(C) | —(B) |
Portfolio turnover rate | 33%(G) | 22%(G) | 17%(G) | 29%(G) | 18% |
Touchstone Small Cap Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $9.38 | $11.41 | $15.40 | $16.94 | $15.63 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | (0.04)(A) | (0.07)(A) | (0.10) | 0.19(A)(C) | (0.31) |
Net realized and unrealized gains (losses) on investments | 3.55 | (0.87) | (0.49) | 1.45 | 1.62 |
Total from investment operations | 3.51 | (0.94) | (0.59) | 1.64 | 1.31 |
Distributions from: | |||||
Net investment income | — | — | — | (0.19) | — |
Realized capital gains | (0.20) | (1.09) | (3.40) | (2.99) | — |
Total distributions | (0.20) | (1.09) | (3.40) | (3.18) | — |
Net asset value at end of period | $12.69 | $9.38 | $11.41 | $15.40 | $16.94 |
Total return(D) | 37.62% | (9.43%) | (0.58%) | 11.33% | 8.38% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $197 | $295 | $3,356 | $6,299 | $9,266 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(E) | 2.02% | 2.02% | 2.14% | 2.14% | 2.13% |
Gross expenses (including liquidity provider expenses)(F) | 4.51% | 3.10% | 2.64% | 2.40% | 2.28% |
Net investment income (loss) | (0.36%) | (0.68%) | (0.73%) | 1.24%(C) | (0.75%) |
Portfolio turnover rate | 33%(G) | 22%(G) | 17%(G) | 29%(G) | 18% |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Less than $0.005 per share or 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% and Class C by $0.32 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) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class A was 1.24%, 1.24%, 1.34% and 1.38% and for Class C was 1.99%, 1.99%, 2.09% and 2.13% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(F) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class A was 1.75%, 2.06%, 1.96% and 1.64% and for Class C was 4.48%, 3.07%, 2.59% and 2.39% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(G) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Small Cap Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $10.52 | $12.59 | $16.45 | $17.94 | $16.44 |
Income (loss) from investment operations: | |||||
Net investment income | 0.09(A) | 0.04(A) | 0.04 | 0.37(A)(B) | 0.05 |
Net realized and unrealized gains (losses) on investments | 3.98 | (1.00) | (0.50) | 1.53 | 1.50 |
Total from investment operations | 4.07 | (0.96) | (0.46) | 1.90 | 1.55 |
Distributions from: | |||||
Net investment income | (0.11) | (0.02) | — | (0.40) | (0.05) |
Realized capital gains | (0.20) | (1.09) | (3.40) | (2.99) | — |
Total distributions | (0.31) | (1.11) | (3.40) | (3.39) | (0.05) |
Net asset value at end of period | $14.28 | $10.52 | $12.59 | $16.45 | $17.94 |
Total return | 39.02% | (8.65%) | 0.44% | 12.44% | 9.46% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $49,842 | $35,573 | $34,709 | $51,218 | $84,954 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(C) | 1.02% | 1.02% | 1.14% | 1.14% | 1.13% |
Gross expenses (including liquidity provider expenses)(D) | 1.25% | 1.32% | 1.31% | 1.17% | 1.15% |
Net investment income | 0.64% | 0.33% | 0.27% | 2.24%(B) | 0.25% |
Portfolio turnover rate | 33%(E) | 22%(E) | 17%(E) | 29%(E) | 18% |
Touchstone Small Cap Fund—Institutional Class | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $10.49 | $12.55 | $16.40 | $17.93 | $16.43 |
Income (loss) from investment operations: | |||||
Net investment income | 0.10(A) | 0.04(A) | 0.06 | 0.38(A)(B) | 0.16 |
Net realized and unrealized gains (losses) on investments | 3.97 | (0.97) | (0.51) | 1.53 | 1.41 |
Total from investment operations | 4.07 | (0.93) | (0.45) | 1.91 | 1.57 |
Distributions from: | |||||
Net investment income | (0.13) | (0.04) | — | (0.45) | (0.07) |
Realized capital gains | (0.20) | (1.09) | (3.40) | (2.99) | — |
Total distributions | (0.33) | (1.13) | (3.40) | (3.44) | (0.07) |
Net asset value at end of period | $14.23 | $10.49 | $12.55 | $16.40 | $17.93 |
Total return | 39.13% | (8.57%) | 0.54% | 12.52% | 9.57% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $39,656 | $33,201 | $36,691 | $93,636 | $122,876 |
Ratio to average net assets: | |||||
Net expenses (including liquidity provider expenses)(C) | 0.94% | 0.94% | 1.06% | 1.06% | 1.05% |
Gross expenses (including liquidity provider expenses)(D) | 1.16% | 1.21% | 1.20% | 1.10% | 1.05% |
Net investment income | 0.72% | 0.41% | 0.35% | 2.32%(B) | 0.34% |
Portfolio turnover rate | 33%(E) | 22%(E) | 17%(E) | 29%(E) | 18% |
(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 and Institutional Class by $0.34 and 2.10%, respectively. |
(C) | The ratio of net expenses to average net assets excluding liquidity provider expenses for Class Y was 0.99%, 0.99%, 1.09% and 1.13% and for Institutional Class was 0.91%, 0.91%, 1.01% and 1.05% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(D) | The ratio of gross expenses to average net assets excluding liquidity provider expenses for Class Y was 1.22%, 1.29%, 1.26% and 1.16% and for Institutional Class was 1.13%, 1.18%, 1.15% and 1.09% for the years ended September 30, 2021, 2020, 2019 and 2018, respectively. |
(E) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
Touchstone Small Cap Value Fund—Class A | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $20.63 | $24.00 | $27.91 | $26.06 | $22.20 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | (—)(A) | 0.03(A) | 0.11 | 0.02 | 0.03 |
Net realized and unrealized gains (losses) on investments | 11.98 | (3.34) | (2.29) | 1.83 | 3.85 |
Total from investment operations | 11.98 | (3.31) | (2.18) | 1.85 | 3.88 |
Distributions from: | |||||
Net investment income | (0.08) | (0.04) | (0.03) | —(B) | (0.02) |
Realized capital gains | — | — | (1.70) | — | — |
Return of capital | (0.04) | (0.02) | — | — | — |
Total distributions | (0.12) | (0.06) | (1.73) | —(B) | (0.02) |
Net asset value at end of period | $32.49 | $20.63 | $24.00 | $27.91 | $26.06 |
Total return(C) | 57.95% | (13.83%) | (7.37%) | 7.12% | 17.46% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $24,620 | $16,552 | $24,389 | $83,139 | $76,884 |
Ratio to average net assets: | |||||
Net expenses | 1.38% | 1.38% | 1.38% | 1.38% | 1.38% |
Gross expenses | 1.55% | 1.58% | 1.68% | 1.75% | 1.83% |
Net investment income (loss) | (0.02%) | 0.12% | 0.19% | 0.09% | 0.07% |
Portfolio turnover rate | 29% | 41% | 28% | 49%(D)(E) | 63%(D) |
Touchstone Small Cap Value Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $19.84 | $23.21 | $27.22 | $25.60 | $21.95 |
Income (loss) from investment operations: | |||||
Net investment loss | (0.22)(A) | (0.13)(A) | (0.41) | (0.11) | (0.22) |
Net realized and unrealized gains (losses) on investments | 11.50 | (3.22) | (1.90) | 1.73 | 3.87 |
Total from investment operations | 11.28 | (3.35) | (2.31) | 1.62 | 3.65 |
Distributions from: | |||||
Net investment income | (0.04) | (0.02) | — | — | — |
Realized capital gains | — | — | (1.70) | — | — |
Return of capital | (0.02) | —(B) | — | — | — |
Total distributions | (0.06) | (0.02) | (1.70) | — | — |
Net asset value at end of period | $31.06 | $19.84 | $23.21 | $27.22 | $25.60 |
Total return(C) | 56.81% | (14.46%) | (8.07%) | 6.29% | 16.63% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $562 | $453 | $788 | $1,433 | $1,223 |
Ratio to average net assets: | |||||
Net expenses | 2.13% | 2.13% | 2.13% | 2.13% | 2.13% |
Gross expenses | 3.71% | 4.50% | 3.57% | 3.66% | 3.69% |
Net investment loss | (0.77%) | (0.63%) | (0.56%) | (0.66%) | (0.68%) |
Portfolio turnover rate | 29% | 41% | 28% | 49%(D)(E) | 63%(D) |
(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) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(E) | Portfolio turnover excludes the purchases and sales of securities by 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 | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $20.67 | $24.05 | $27.96 | $26.14 | $22.24 |
Income (loss) from investment operations: | |||||
Net investment income | 0.07(A) | 0.08(A) | 0.10 | 0.15 | 0.06 |
Net realized and unrealized gains (losses) on investments | 12.01 | (3.34) | (2.23) | 1.78 | 3.88 |
Total from investment operations | 12.08 | (3.26) | (2.13) | 1.93 | 3.94 |
Distributions from: | |||||
Net investment income | (0.09) | (0.09) | (0.08) | (0.11) | (0.04) |
Realized capital gains | — | — | (1.70) | — | — |
Return of capital | (0.05) | (0.03) | — | — | — |
Total distributions | (0.14) | (0.12) | (1.78) | (0.11) | (0.04) |
Net asset value at end of period | $32.61 | $20.67 | $24.05 | $27.96 | $26.14 |
Total return | 58.32% | (13.60%) | (7.16%) | 7.41% | 17.80% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $41,793 | $28,435 | $24,921 | $41,365 | $2,829 |
Ratio to average net assets: | |||||
Net expenses | 1.13% | 1.13% | 1.13% | 1.13% | 1.13% |
Gross expenses | 1.26% | 1.31% | 1.30% | 1.71% | 1.95% |
Net investment income | 0.23% | 0.37% | 0.44% | 0.34% | 0.32% |
Portfolio turnover rate | 29% | 41% | 28% | 49%(B)(C) | 63%(B) |
Touchstone Small Cap Value Fund—Institutional Class | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $20.68 | $24.04 | $27.94 | $26.14 | $22.22 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.11(A) | 0.12(A) | 0.18 | 0.28 | (0.06) |
Net realized and unrealized gains (losses) on investments | 12.03 | (3.33) | (2.27) | 1.69 | 4.04 |
Total from investment operations | 12.14 | (3.21) | (2.09) | 1.97 | 3.98 |
Distributions from: | |||||
Net investment income | (0.10) | (0.11) | (0.11) | (0.17) | (0.06) |
Realized capital gains | — | — | (1.70) | — | — |
Return of capital | (0.05) | (0.04) | — | — | — |
Total distributions | (0.15) | (0.15) | (1.81) | (0.17) | (0.06) |
Net asset value at end of period | $32.67 | $20.68 | $24.04 | $27.94 | $26.14 |
Total return | 58.59% | (13.42%) | (6.98%) | 7.53% | 17.93% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $9,176 | $7,825 | $40,104 | $29,279 | $7,699 |
Ratio to average net assets: | |||||
Net expenses | 0.98% | 0.98% | 0.98% | 0.98% | 0.98% |
Gross expenses | 1.25% | 1.19% | 1.17% | 1.27% | 1.52% |
Net investment income | 0.38% | 0.52% | 0.59% | 0.49% | 0.47% |
Portfolio turnover rate | 29% | 41% | 28% | 49%(B)(C) | 63%(B) |
(A) | The net investment income per share was based on average shares outstanding for the period. |
(B) | Portfolio turnover excludes securities delivered from processing redemptions-in-kind. |
(C) | Portfolio turnover excludes the purchases and sales of securities by 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 | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | |||||
Net investment income | 0.04 | 0.18 | 0.23 | 0.16 | 0.13 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.06) | 0.04 | (0.01) | (0.02) |
Total from investment operations | 0.06 | 0.12 | 0.27 | 0.15 | 0.11 |
Distributions from: | |||||
Net investment income | (0.08) | (0.18) | (0.23) | (0.19) | (0.14) |
Net asset value at end of period | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 |
Total return(A) | 0.67% | 1.32% | 2.95% | 1.50% | 1.29% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $144,172 | $124,233 | $71,684 | $76,623 | $14,080 |
Ratio to average net assets: | |||||
Net expenses | 0.69% | 0.69% | 0.69% | 0.69% | 0.69% |
Gross expenses | 0.74% | 0.80% | 0.80% | 0.81% | 0.90% |
Net investment income | 0.40% | 1.84% | 2.43% | 1.88% | 1.40% |
Portfolio turnover rate | 113% | 72% | 91% | 143%(B) | 136% |
Touchstone Ultra Short Duration Fixed Income Fund—Class C | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $9.24 | $9.29 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | |||||
Net investment income (loss) | (0.01) | 0.12 | 0.18 | 0.13 | 0.08 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.04) | 0.04 | (0.03) | (0.02) |
Total from investment operations | 0.01 | 0.08 | 0.22 | 0.10 | 0.06 |
Distributions from: | |||||
Net investment income | (0.04) | (0.13) | (0.18) | (0.14) | (0.09) |
Net asset value at end of period | $9.21 | $9.24 | $9.29 | $9.25 | $9.29 |
Total return(A) | 0.07% | 0.93% | 2.45% | 1.00% | 0.77% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $4,249 | $5,276 | $4,225 | $4,492 | $5,704 |
Ratio to average net assets: | |||||
Net expenses | 1.19% | 1.19% | 1.19% | 1.19% | 1.19% |
Gross expenses | 1.47% | 1.60% | 1.71% | 1.67% | 1.56% |
Net investment income (loss) | (0.10%) | 1.33% | 1.93% | 1.38% | 0.90% |
Portfolio turnover rate | 113% | 72% | 91% | 143%(B) | 136% |
(A) | Total returns shown exclude the effect of applicable sales loads and fees. If these charges were included, the returns would be lower. |
(B) | Portfolio turnover excludes the purchases and sales of securities by 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 S | ||||
Selected Data for a Share Outstanding Throughout Each Period | ||||
Year Ended September 30, | Period Ended September 30, 2018(A) | |||
2021 | 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 | (0.06) | (0.16) | (0.21) | (0.15) |
Net asset value at end of period | $9.21 | $9.23 | $9.28 | $9.25 |
Total return | 0.42% | 1.18% | 2.59% | 1.24%(B) |
Ratios and supplemental data: | ||||
Net assets at end of period (000's) | $52,456 | $61,464 | $135,565 | $141,918 |
Ratio to average net assets: | ||||
Net expenses | 0.94% | 0.94% | 0.94% | 0.94%(C) |
Gross expenses | 0.99% | 0.99% | 0.99% | 0.99%(C) |
Net investment income | 0.15% | 1.58% | 2.18% | 1.63%(C) |
Portfolio turnover rate | 113% | 72% | 91% | 143%(D) |
Touchstone Ultra Short Duration Fixed Income Fund—Class Y | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | |||||
Net investment income | 0.06 | 0.19 | 0.25 | 0.20 | 0.15 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.05) | 0.04 | (0.03) | (0.02) |
Total from investment operations | 0.09 | 0.14 | 0.29 | 0.17 | 0.13 |
Distributions from: | |||||
Net investment income | (0.11) | (0.20) | (0.25) | (0.21) | (0.16) |
Net asset value at end of period | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 |
Total return | 0.92% | 1.57% | 3.21% | 1.75% | 1.55% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $296,363 | $292,708 | $305,997 | $262,571 | $260,830 |
Ratio to average net assets: | |||||
Net expenses | 0.44% | 0.44% | 0.44% | 0.44% | 0.44% |
Gross expenses | 0.50% | 0.51% | 0.51% | 0.50% | 0.51% |
Net investment income | 0.65% | 2.09% | 2.68% | 2.13% | 1.65% |
Portfolio turnover rate | 113% | 72% | 91% | 143%(D) | 136% |
(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 by 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 | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $9.23 | $9.29 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | |||||
Net investment income | 0.03 | 0.17 | 0.23 | 0.18 | 0.13 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.05) | 0.04 | (0.03) | (0.02) |
Total from investment operations | 0.06 | 0.12 | 0.27 | 0.15 | 0.11 |
Distributions from: | |||||
Net investment income | (0.08) | (0.18) | (0.23) | (0.19) | (0.14) |
Net asset value at end of period | $9.21 | $9.23 | $9.29 | $9.25 | $9.29 |
Total return | 0.68% | 1.32% | 2.95% | 1.50% | 1.29% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $75,058 | $86,018 | $128,199 | $163,898 | $211,797 |
Ratio to average net assets: | |||||
Net expenses | 0.69% | 0.69% | 0.69% | 0.69% | 0.69% |
Gross expenses | 0.78% | 0.79% | 0.77% | 0.78% | 0.78% |
Net investment income | 0.40% | 1.83% | 2.43% | 1.88% | 1.40% |
Portfolio turnover rate | 113% | 72% | 91% | 143%(A) | 136% |
Touchstone Ultra Short Duration Fixed Income Fund—Institutional Class | |||||
Selected Data for a Share Outstanding Throughout Each Period | |||||
Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value at beginning of period | $9.22 | $9.28 | $9.25 | $9.29 | $9.32 |
Income (loss) from investment operations: | |||||
Net investment income | 0.07 | 0.20 | 0.26 | 0.21 | 0.16 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.05) | 0.03 | (0.03) | (0.02) |
Total from investment operations | 0.09 | 0.15 | 0.29 | 0.18 | 0.14 |
Distributions from: | |||||
Net investment income | (0.11) | (0.21) | (0.26) | (0.22) | (0.17) |
Net asset value at end of period | $9.20 | $9.22 | $9.28 | $9.25 | $9.29 |
Total return | 0.98% | 1.63% | 3.17% | 1.80% | 1.60% |
Ratios and supplemental data: | |||||
Net assets at end of period (000's) | $500,705 | $417,011 | $362,921 | $275,561 | $257,777 |
Ratio to average net assets: | |||||
Net expenses | 0.39% | 0.39% | 0.39% | 0.39% | 0.39% |
Gross expenses | 0.45% | 0.46% | 0.46% | 0.46% | 0.45% |
Net investment income | 0.70% | 2.13% | 2.73% | 2.18% | 1.70% |
Portfolio turnover rate | 113% | 72% | 91% | 143%(A) | 136% |
(A) | Portfolio turnover excludes the purchases and sales of securities by 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 Dividend Equity Fund ("Dividend Equity 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 | |||
Dividend Equity Fund | X | 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 | $102,844 | $— | |
Total | $102,844 | $— |
Counterparty | Derivative Type | Gross Amount of Recognized Assets | 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 | $102,844 | $— | $— | $— | $102,844 |
(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 |
Credit Opportunities Fund | Purchased Options - Equity Contracts* | $73,284 | $— |
Written Options - Equity Contracts** | — | 3,840 | |
Forwards - Foreign Currency Contracts*** | 102,844 | — | |
Swap Agreements - Credit Contracts**** | — | 56,669 |
* | 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. |
**** | Statements of Assets and Liabilities Location: Receivable for variation margin on swap agreements. Variation margin reported in the Portfolio of Investments and other tables in the Notes to the Financial Statements is the cumulative unrealized appreciation (depreciation). |
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* | $694,641 | $7,671 |
Credit Opportunities Fund | Purchased Options - Equity Contracts** | (222,924) | 17,326 |
Written Options - Equity Contracts*** | 92,039 | (12,408) | |
Forwards - Foreign Currency Exchange Contracts**** | 119,489 | 98,064 | |
Swap Agreements - Credit Contracts***** | (142,759) | (22,781) |
* | 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 | $— | $63,749 |
Written Options - Premiums received | — | 24,760 |
Credit Contracts: | ||
Credit Default Swaps - Notional value | — | 1,433,950 |
Forward currency exchange contracts: | ||
U.S. dollar amount received | — | 2,831,835 |
Interest Rate Contracts: | ||
Futures Contracts - Notional Value | 11,165,836 | — |
Fund | Security Type | Market Value of Securities Loaned* | Market Value of Collateral Received** | Net Amount*** |
Active Bond Fund | Corporate Bonds | $1,046,360 | $1,088,958 | $42,598 |
Anti-Benchmark® International Core Equity Fund | Common Stocks | 818,742 | 863,950 | 45,208 |
Credit Opportunities Fund | Corporate Bonds | 1,134,003 | 1,191,570 | 57,567 |
High Yield Fund | Corporate Bonds | 374,325 | 396,750 | 22,425 |
Mid Cap Value Fund | Common Stocks | 6,127,398 | 6,225,459 | 98,061 |
Sands Capital Select Growth Fund | Common Stocks | 7,435,076 | 7,374,840 | (60,236) |
Small Cap Value Fund | Common Stocks | 584,442 | 593,895 | 9,453 |
* | 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 (received from) the borrower in the event of default. |
Active Bond Fund | Anti- Benchmark® International Core Equity Fund | Credit Opportunities Fund | Dividend Equity Fund | High Yield Fund | |
Purchases of investment securities | $98,286,165 | $24,296,929 | $185,031,519 | $3,658,372,695 | $177,856,481 |
Proceeds from sales and maturities | $138,487,739 | $25,564,159 | $190,973,908 | $5,571,887,301 | $233,457,950 |
Impact Bond Fund | International ESG Equity Fund | Mid Cap Fund* | Mid Cap Value Fund* | Sands Capital Select Growth Fund* | |
Purchases of investment securities | $59,497,597 | $16,533,811 | $1,204,245,751 | $273,310,048 | $1,690,408,811 |
Proceeds from sales and maturities | $31,809,190 | $16,409,465 | $947,628,496 | $298,149,151 | $1,631,378,107 |
Small Cap Fund* | Small Cap Value Fund | Ultra Short Duration Fixed Income Fund | |
Purchases of investment securities | $32,123,341 | $19,957,939 | $1,064,431,184 |
Proceeds from sales and maturities | $29,104,608 | $27,174,973 | $1,031,890,761 |
* | Credit Opportunities Fund, 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 $2,731,111, $212,836,790, $35,148,919, $459,399,962 and $11,302,530, respectively. The redemptions were comprised of securities in the amount of $2,731,111 $186,796,920, $33,678,843, $384,479,212 and $8,767,441, which is excluded from the proceeds from sales and maturities, and cash in the amount of $0, $26,039,870, $1,470,076, $74,920,750, and $2,535,089, 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 | 0.60% |
Dividend Equity Fund* | 0.55% on the first $1 billion 0.50% on such assets over $1 billion |
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** | 0.30% on the first $200 million 0.225% on such assets over $200 million |
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 |
Dividend Equity Fund | Sands Capital Select Growth Fund |
High Yield Fund | TOBAM S.A.S. |
Ultra Short Duration Fixed Income Fund | Anti-Benchmark® International Core Equity Fund |
LMCG Investments, LLC | |
Mid Cap Value Fund | |
Small Cap Value Fund |
Class A | Class C | Class S | Class Y | Class Z | Institutional Class | Class R6 | Termination Date | |
Active Bond Fund* | 0.90% | 1.63% | — | 0.65% | — | 0.57% | — | July 29, 2023 |
Anti-Benchmark® International Core Equity Fund | — | — | — | 0.69% | — | 0.59% | — | January 29, 2022 |
Credit Opportunities Fund** | 1.03% | 1.43% | — | 0.83% | — | 0.73% | — | July 29, 2023 |
Dividend Equity Fund*** | 0.99% | 1.69% | — | 0.77% | — | 0.67% | 0.65% | July 29, 2023 |
High Yield Fund | 1.05% | 1.80% | — | 0.80% | — | 0.72% | — | January 29, 2022 |
Impact Bond Fund**** | 0.76% | 1.51% | — | 0.51% | — | 0.41% | — | September 29, 2022 |
International ESG Equity Fund | 1.17% | 1.95% | — | 0.90% | — | 0.89% | — | January 29, 2022 |
Mid Cap Fund***** | 1.21% | 1.96% | — | 0.96% | 1.21% | 0.89% | 0.79% | January 29, 2022 |
Mid Cap Value Fund | 1.22% | 1.97% | — | 0.97% | — | 0.84% | — | January 29, 2022 |
Sands Capital Select Growth Fund****** | 1.13% | 1.74% | — | 0.90% | 1.14% | 0.78% | 0.72% | July 29, 2023 |
Small Cap Fund | 1.24% | 1.99% | — | 0.99% | — | 0.91% | — | January 29, 2022 |
Small Cap Value Fund | 1.38% | 2.13% | — | 1.13% | — | 0.98% | — | January 29, 2022 |
Ultra Short Duration Fixed Income Fund | 0.69% | 1.19% | 0.94% | 0.44% | 0.69% | 0.39% | — | January 29, 2022 |
* | Prior to July 17, 2021, the expense limitation for Class C shares was 1.65%. |
** | Prior to July 17, 2021, the expense limitations for Classes A and C shares were 1.08% and 1.83%, respectively. |
*** | Effective July 17, 2021. Prior to July 17, 2021, the Predecessor Fund was not subject to an expense limitation agreement. |
**** | Prior to September 1, 2021, the expense limitations for Classes A, C, Y and Institutional Class shares were 0.85%, 1.60%, 0.60% and 0.50%, respectively. |
***** | The termination date for Class R6 shares is February 28, 2022. |
****** | Prior to July 17, 2021, the expense limitations for Classes A and C shares were 1.15% and 1.90%, respectively. |
Fund | Investment Advisory Fees Waived | Administration Fees Waived | Other Operating Expenses Reimbursed/ Waived | Total |
Active Bond Fund | $— | $19,850 | $130,265 | $150,115 |
Anti-Benchmark® International Core Equity Fund | — | 53,918 | 103,195 | 157,113 |
Credit Opportunities Fund | — | 83,338 | 235,534 | 318,872 |
Fund | Investment Advisory Fees Waived | Administration Fees Waived | Other Operating Expenses Reimbursed/ Waived | Total |
Dividend Equity Fund | $— | $— | $135,900 | $135,900 |
High Yield Fund | — | 21,520 | 84,911 | 106,431 |
Impact Bond Fund | — | 34,299 | 181,145 | 215,444 |
International ESG Equity Fund | — | 23,300 | 137,708 | 161,008 |
Mid Cap Fund | — | 1,111 | 39,788 | 40,899 |
Mid Cap Value Fund | — | 280,970 | 997,118 | 1,278,088 |
Sands Capital Select Growth Fund | — | 9,344 | 13,046 | 22,390 |
Small Cap Fund | — | 92,780 | 142,149 | 234,929 |
Small Cap Value Fund | — | 12,134 | 113,169 | 125,303 |
Ultra Short Duration Fixed Income Fund | — | 91,510 | 568,564 | 660,074 |
Fund | 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 | $— | $232,470 | $170,804 | $91,314 | $494,588 |
Anti-Benchmark® International Core Equity Fund | — | 155,348 | 141,795 | 157,113 | 454,256 |
Credit Opportunities Fund | 172,127 | 107,785 | 229,289 | 179,639 | 688,840 |
Dividend Equity Fund | — | — | — | 2,947 | 2,947 |
High Yield Fund | — | 123,791 | 85,080 | 72,946 | 281,817 |
Impact Bond Fund | — | 270,814 | 247,247 | 185,879 | 703,940 |
International ESG Equity Fund | — | 77,175 | 141,782 | 110,488 | 329,445 |
Mid Cap Fund | — | 295,396 | 284,247 | 7,225 | 586,868 |
Mid Cap Value Fund | — | 1,211,849 | 1,340,628 | 1,228,808 | 3,781,285 |
Sands Capital Select Growth Fund | — | 334,004 | 290,944 | 17,026 | 641,974 |
Small Cap Fund | — | 147,751 | 218,366 | 217,704 | 583,821 |
Small Cap Value Fund | — | 174,347 | 142,724 | 78,571 | 395,642 |
Ultra Short Duration Fixed Income Fund | — | 610,602 | 615,640 | 480,103 | 1,706,345 |
Fund | Amount |
Active Bond Fund | $ 10,046 |
Credit Opportunities Fund | 1,651 |
Dividend Equity Fund* | 5,475 |
High Yield Fund | 1,354 |
Impact Bond Fund | 1,020 |
International ESG Equity Fund | 423 |
Mid Cap Fund | 19,331 |
Mid Cap Value Fund | 1,831 |
Sands Capital Select Growth Fund | 36,917 |
Small Cap Fund | 931 |
Small Cap Value Fund | 866 |
Ultra Short Duration Fixed Income Fund | 1,708 |
* | For the period July 17, 2021 to September 30, 2021. For the period November 1, 2020 to July 16, 2021, the Former Distributor earned $102,698 on the sale of Class A shares. |
Fund | Class C |
Credit Opportunities Fund | $ 5 |
Dividend Equity Fund* | 26 |
Mid Cap Fund | 224 |
Mid Cap Value Fund | 94 |
Sands Capital Select Growth Fund | 2,863 |
Small Cap Fund | 4,164 |
Ultra Short Duration Fixed Income Fund | 308 |
* | For the period July 17, 2021 to September 30, 2021. For the period November 1, 2020 to July 16, 2021, the Former Distributor collected CDSC of $887, $288,133, and $24,804 on the redemption of Class A shares, Class B shares, and Class C shares, respectively. |
Fund | Shares ReFlow Subscribed to | Redemptions-in-kind |
Mid Cap Fund | 4,498,739 | $ 186,796,920 |
Mid Cap Value Fund | 1,561,117 | 33,678,843 |
Sands Capital Select Growth Fund | 23,019,685 | 384,479,212 |
Small Cap Fund | 1,035,035 | 8,767,441 |
Fund | Daily Average Amount Loaned | Weighted Average Interest Rate | Interest Income* |
Mid Cap Fund | $ 294,896 | 0.67% | $ 2,017 |
Sands Capital Select Growth Fund | $ 313,545 | 0.67% | $ 2,130 |
* | Included in Interest in the Statements of Operations. |
Fund | Daily Average Amount Borrowed | Weighted Average Interest Rate | Interest Expense* |
Active Bond Fund | $ 39,495 | 0.67% | $ 269 |
Dividend Equity Fund | $ 571,075 | 0.68% | $ 819 |
High Yield Fund | $ 46,172 | 0.68% | $ 316 |
International ESG Equity Fund | $ 32,789 | 0.68% | $ 226 |
Mid Cap Value Fund | $ 14,289 | 0.68% | $ 98 |
* | Included in Other expenses in the Statements of Operations. |
Active Bond Fund | Anti-Benchmark® International Core Equity Fund | Credit Opportunities Fund | ||||
Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | |
From ordinary income | $8,289,924 | $9,224,555 | $718,958 | $830,992 | $7,374,305 | $5,412,892 |
Total distributions | $8,289,924 | $9,224,555 | $718,958 | $830,992 | $7,374,305 | $5,412,892 |
Dividend Equity Fund | |||
Eleven Months Ended September 30, 2021 | Year Ended October 31, 2020 | Year Ended October 31, 2019 | |
From ordinary income | $87,137,356 | $550,058,395 | $295,515,778 |
From long-term capital gains | 1,447,901 | — | 536,010,979 |
Total distributions | $88,585,257 | $550,058,395 | $831,526,757 |
High Yield Fund | Impact Bond Fund | International ESG Equity Fund | ||||
Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | |
From ordinary income | $8,886,935 | $10,325,343 | $7,703,948 | $7,625,238 | $128,987 | $92,070 |
From long-term capital gains | — | — | — | — | — | 6,554,323 |
Total distributions | $8,886,935 | $10,325,343 | $7,703,948 | $7,625,238 | $128,987 | $6,646,393 |
Mid Cap Fund | Mid Cap Value Fund | Sands Capital Select Growth Fund | ||||
Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | |
From ordinary income | $51,726,485 | $16,227,598 | $3,019,722 | $6,179,571 | $— | $— |
From long-term capital gains | 36,196,104 | 40,623,294 | — | — | 227,023,467 | 275,526,970 |
Total distributions | $87,922,589 | $56,850,892 | $3,019,722 | $6,179,571 | $227,023,467 | $275,526,970 |
Small Cap Fund | Small Cap Value Fund | Ultra Short Duration Fixed Income Fund | ||||
Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | |
From ordinary income | $807,183 | $183,932 | $114,334 | $335,913 | $11,769,916 | $21,013,925 |
From long-term capital gains | 1,317,935 | 6,668,316 | — | — | — | — |
From return of capital | — | — | 105,494 | 111,479 | — | — |
Total distributions | $2,125,118 | $6,852,248 | $219,828 | $447,392 | $11,769,916 | $21,013,925 |
Active Bond Fund | Anti-Benchmark® International Core Equity Fund | Credit Opportunities Fund | Dividend Equity Fund | |
Tax cost of portfolio investments | $376,755,456 | $37,679,856 | $263,224,847 | $3,644,080,392 |
Gross unrealized appreciation on investments | 12,263,276 | 5,412,004 | 5,200,948 | 183,908,735 |
Gross unrealized depreciation on investments | (3,767,147) | (2,823,232) | (4,627,936) | (103,448,368) |
Net unrealized appreciation (depreciation) on investments | 8,496,129 | 2,588,772 | 573,012 | 80,460,367 |
Gross unrealized appreciation on short sales, derivatives and foreign currency transactions | — | 252 | 283,215 | — |
Gross unrealized depreciation on short sales, derivatives and foreign currency transactions | — | (631) | (266,137) | — |
Net unrealized appreciation (depreciation) on short sales, derivatives and foreign currency transactions | — | (379) | 17,078 | — |
Capital loss carryforwards | (91,508,721) | — | (56,911,838) | — |
Undistributed ordinary income | 1,724,501 | 1,015,142 | 7,576,835 | — |
Undistributed capital gains | — | 2,396,857 | — | 54,298,209 |
Other temporary differences | (149,801) | — | — | — |
Accumulated earnings (deficit) | $(81,437,892) | $6,000,392 | $(48,744,913) | $134,758,576 |
High Yield Fund | Impact Bond Fund | International ESG Equity Fund | Mid Cap Fund | |
Tax cost of portfolio investments | $139,014,798 | $421,111,071 | $26,252,526 | $3,769,099,419 |
Gross unrealized appreciation on investments | 4,837,876 | 16,245,602 | 8,363,060 | 1,193,543,224 |
Gross unrealized depreciation on investments | (2,282,569) | (3,290,775) | (1,252,427) | (129,593,451) |
Net unrealized appreciation (depreciation) on investments | 2,555,307 | 12,954,827 | 7,110,633 | 1,063,949,773 |
Gross unrealized appreciation on foreign currency transactions | — | — | 224 | — |
Net unrealized appreciation (depreciation) on foreign currency transactions | — | — | 224 | — |
Capital loss carryforwards | (13,348,003) | (5,646,856) | — | — |
Undistributed ordinary income | 74,685 | 1,039,413 | 422,773 | 69,959,141 |
Undistributed capital gains | — | — | 1,825,103 | 49,868,687 |
Accumulated earnings (deficit) | $(10,718,011) | $8,347,384 | $9,358,733 | $1,183,777,601 |
Mid Cap Value Fund | Sands Capital Select Growth Fund | Small Cap Fund | Small Cap Value Fund | |
Tax cost of portfolio investments | $654,531,146 | $3,239,070,095 | $72,997,469 | $55,967,415 |
Gross unrealized appreciation on investments | 246,939,621 | 3,143,280,912 | 26,687,356 | 23,172,001 |
Gross unrealized depreciation on investments | (17,775,311) | (11,259,155) | (4,704,962) | (2,222,504) |
Net unrealized appreciation (depreciation) on investments | 229,164,310 | 3,132,021,757 | 21,982,394 | 20,949,497 |
Capital loss carryforwards | — | — | — | (13,819,309) |
Undistributed ordinary income | 7,962,630 | 52,821,660 | 592,650 | — |
Undistributed capital gains | 44,967,542 | 552,565,021 | 10,640,623 | — |
Accumulated earnings (deficit) | $282,094,482 | $3,737,408,438 | $33,215,667 | $7,130,188 |
Ultra Short Duration Fixed Income Fund | |
Tax cost of portfolio investments | $1,110,698,477 |
Gross unrealized appreciation on investments | 1,365,085 |
Gross unrealized depreciation on investments | (2,701,321) |
Net unrealized appreciation (depreciation) on investments | (1,336,236) |
Capital loss carryforwards | (104,990,187) |
Undistributed ordinary income | 523,973 |
Other temporary differences | (105,345) |
Accumulated earnings (deficit) | $(105,907,795) |
Fund | No Expiration Short Term | No Expiration Long Term | Total |
Active Bond Fund* | $ 55,475,994 | $ 36,032,727 | $ 91,508,721 |
Credit Opportunities Fund* | 5,698,509 | 51,213,329 | 56,911,838 |
High Yield Fund | — | 13,348,003 | 13,348,003 |
Impact Bond Fund | 113,616 | 5,533,240 | 5,646,856 |
Small Cap Value Fund | 6,572,278 | 7,247,031 | 13,819,309 |
Ultra Short Duration Fixed Income Fund* | 33,129,444 | 71,860,743 | 104,990,187 |
* | Future utilization may be limited under current tax laws |
Fund | Utilized |
Active Bond Fund | $ 8,970,575 |
Anti-Benchmark® International Core Equity Fund | 696,512 |
Credit Opportunities Fund | 5,080,241 |
Dividend Equity Fund | 628,429,823 |
High Yield Fund | 6,953,509 |
Impact Bond Fund | 304,444 |
International ESG Equity Fund | 1,240,415 |
Mid Cap Value Fund | 11,468,563 |
Small Cap Value Fund | 5,330,852 |
Fund | Paid-In Capital | Distributable Earnings |
Active Bond Fund | $ 19,374,647 | $ (19,374,647) |
Credit Opportunities Fund | 43,474,836 | (43,474,836) |
Dividend Equity Fund | 95,691 | (95,691) |
Mid Cap Fund | 117,096,438 | (117,096,438) |
Mid Cap Value Fund | 18,171,087 | (18,171,087) |
Sands Capital Select Growth Fund | 373,540,923 | (373,540,923) |
Small Cap Fund | 5,502,286 | (5,502,286) |
Small Cap Value Fund | 1,376 | (1,376) |
Before Reorganization | After Reorganization | ||
AIG U.S. Government Securities Fund | Touchstone Active Bond Fund | Touchstone Active Bond Fund | |
Class A | |||
Shares | 9,794,843(A) | 11,225,022 | 21,019,865 |
Net Assets | $110,186,140 | $126,274,297 | $236,460,437 |
Net Asset Value | $11.25(A) | $11.25 | $11.25 |
Class C | |||
Shares | 628,710(B) | 416,791 | 1,045,501 |
Net Assets | $6,476,580 | $4,293,529 | $10,770,109 |
Net Asset Value | $10.30(B) | $10.30 | $10.30 |
Class Y | |||
Shares | — | 8,541,806 | 8,541,806 |
Net Assets | $— | $96,025,397 | $96,025,397 |
Net Asset Value | $— | $11.24 | $11.24 |
Before Reorganization | After Reorganization | ||
AIG U.S. Government Securities Fund | Touchstone Active Bond Fund | Touchstone Active Bond Fund | |
Institutional Class | |||
Shares | — | 11,417,732 | 11,417,732 |
Net Assets | $— | $128,365,844 | $128,365,844 |
Net Asset Value | $— | $11.24 | $11.24 |
Fund Total | |||
Shares Outstanding | 10,423,553 | 31,601,351 | 42,024,904 |
Net Assets | $116,662,720 | $354,959,067 | $471,621,787 |
Unrealized Appreciation (Depreciation) | $6,418,419 | $13,088,482 | $19,506,901 |
Net investment income | $8,846,079 |
Net realized and unrealized gain(loss) on investments | $(8,576,975) |
Net increase in net assets resulting from operations | $269,104 |
Before Reorganization | After Reorganization | ||
Touchstone Dynamic Diversified Income Fund | Touchstone Credit Opportunities Fund | Touchstone Credit Opportunities Fund | |
Class A | |||
Shares | 4,628,574(A) | 838,246 | 5,466,820 |
Net Assets | $47,901,184 | $8,675,016 | $56,576,200 |
Net Asset Value | $10.34(A) | $10.34 | $10.34 |
Class C | |||
Shares | 162,475(B) | 229,694 | 392,169 |
Net Assets | $1,628,007 | $2,301,542 | $3,929,549 |
Net Asset Value | $10.02(B) | $10.02 | $10.02 |
Class Y | |||
Shares | 693,869(C) | 6,580,644 | 7,274,513 |
Net Assets | $7,280,780 | $69,050,755 | $76,331,535 |
Net Asset Value | $10.49(C) | $10.49 | $10.49 |
Institutional Class | |||
Shares | — | 3,684,906 | 3,684,906 |
Net Assets | $— | $38,924,133 | $38,924,133 |
Net Asset Value | $— | $10.56 | $10.56 |
Fund Total | |||
Shares Outstanding | 5,484,918 | 11,333,490 | 16,818,408 |
Net Assets | $56,809,971 | $118,951,446 | $175,761,417 |
Unrealized Appreciation (Depreciation) | $4,195,250 | $2,713,701 | $6,908,951 |
Net investment income | $7,431,849 |
Net realized and unrealized gain(loss) on investments | $17,444,882 |
Net increase in net assets resulting from operations | $24,876,731 |
Before Reorganization | After Reorganization | ||
AIG Senior Floating Rate Fund | Touchstone Credit Opportunities Fund | Touchstone Credit Opportunities Fund | |
Class A | |||
Shares | 9,097,933(A) | 5,499,984 | 14,597,917 |
Net Assets | $93,359,261 | $56,438,589 | $149,797,850 |
Net Asset Value | $10.26(A) | $10.26 | $10.26 |
Class C | |||
Shares | 2,987,106(B) | 449,525 | 3,436,631 |
Net Assets | $29,693,276 | $4,468,505 | $34,161,781 |
Net Asset Value | $9.94(B) | $9.94 | $9.94 |
Class Y* | |||
Shares | 1,241,168(C) | 7,551,742 | 8,792,910 |
Net Assets | $12,916,178 | $78,587,425 | $91,503,603 |
Net Asset Value | $10.41(C) | $10.41 | $10.41 |
Institutional Class | |||
Shares | — | 252,978 | 252,978 |
Net Assets | $— | $2,649,326 | $2,649,326 |
Net Asset Value | $— | $10.47 | $10.47 |
Fund Total | |||
Shares Outstanding | 13,326,207 | 13,754,229 | 27,080,436 |
Net Assets | $135,968,715 | $142,143,845 | $278,112,560 |
Unrealized Appreciation (Depreciation) | $(1,618,170) | $3,551,470 | $1,933,300 |
Net investment income | $ 9,104,039 |
Net realized and unrealized gain(loss) on investments | $ 20,984,332 |
Net increase in net assets resulting from operations | $ 30,088,371 |
Before Reorganization | After Reorganization | ||
AIG Select Dividend Growth Fund | AIG Focused Dividend Strategy Fund | Touchstone Dividend Equity Fund | |
Class A | |||
Shares | 2,298,084(A) | 99,155,948 | 110,559,696 |
Net Assets | $39,550,812 | $1,706,499,970 | $1,902,761,577 |
Net Asset Value | $17.21(A) | $17.21 | $17.21 |
Class B* | |||
Shares | — | 9,105,664(D) | — |
Net Assets | $— | $156,710,795 | $— |
Net Asset Value | $— | $17.21(D) | $— |
Class C | |||
Shares | 264,762(B) | 54,004,295 | 54,269,057 |
Net Assets | $4,518,475 | $921,646,660 | $926,165,135 |
Net Asset Value | $17.07(B) | $17.07 | $17.07 |
Class Y** | |||
Shares | 2,988,813(C) | 76,480,607 | 79,469,420 |
Net Assets | $51,352,080 | $1,314,045,797 | $1,365,397,877 |
Net Asset Value | $17.18(C) | $17.18 | $17.18 |
Fund Total | |||
Shares Outstanding | 5,551,659 | 238,746,514 | 244,298,173 |
Net Assets | $95,421,367 | $4,098,903,222 | $4,194,324,589 |
Unrealized Appreciation (Depreciation) | $11,338,153 | $673,201,394 | $684,539,547 |
Net investment income | $75,554,902 |
Net realized and unrealized gain(loss) on investments | $906,562,289 |
Net increase in net assets resulting from operations | $982,117,191 |
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 Asset 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 Asset Value | $— | $17.92 | $17.92 |
Class R6 | |||
Shares | — | 59,248 | 59,248 |
Net Assets | $— | $1,173,390 | $1,173,390 |
Net Asset Value | $— | $19.80 | $19.80 |
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 | $ (41,586,453) |
Net realized and unrealized gain(loss) on investments | $ 1,819,799,766 |
Net increase in net assets resulting from operations | $ 1,778,213,313 |
Before Reorganization | After Reorganization | ||
AIG Focused Growth Fund | Touchstone Sands Capital Select Growth Fund | Touchstone Sands Capital Select Growth Fund | |
Class A | |||
Shares | 31,777,096(A) | 10,965,632 | 42,742,728 |
Net Assets | $621,944,594 | $214,620,223 | $836,564,817 |
Net Asset Value | $19.57(A) | $19.57 | $19.57 |
Class C | |||
Shares | 3,024,107(B) | 1,800,208 | 4,824,315 |
Net Assets | $48,772,136 | $29,033,323 | $77,805,459 |
Net Asset Value | $16.13(B) | $16.13 | $16.13 |
Class Y* | |||
Shares | 2,050,915(C) | 88,818,160 | 90,869,075 |
Net Assets | $44,517,985 | $1,927,918,432 | $1,972,436,417 |
Net Asset Value | $21.71(C) | $21.71 | $21.71 |
Class Z | |||
Shares | — | 28,515,398 | 28,515,398 |
Net Assets | $— | $558,926,769 | $558,926,769 |
Net Asset Value | $— | $19.60 | $19.60 |
Institutional Class | |||
Shares | — | 118,651,491 | 118,651,491 |
Net Assets | $— | $2,577,234,907 | $2,577,234,907 |
Net Asset Value | $— | $21.72 | $21.72 |
Class R6 | |||
Shares | — | 7,097,199 | 7,097,199 |
Net Assets | $— | $154,113,531 | $154,113,531 |
Net Asset Value | $— | $21.71 | $21.71 |
Fund Total | |||
Shares Outstanding | $36,852,118 | $255,848,088 | $292,700,206 |
Net Assets | $715,234,715 | $5,461,847,185 | $6,177,081,900 |
Unrealized Appreciation (Depreciation) | $296,767,760 | $2,834,725,385 | $3,131,493,145 |
Net investment loss | $(48,887,698) |
Net realized and unrealized gain(loss) on investments | $2,794,350,872 |
Net increase in net assets resulting from operations | $2,745,463,174 |
Individual fund constituting the Touchstone Funds Group Trust | Statement of operations | Statements of changes in net assets | Financial highlights |
Touchstone Active Bond 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 | For the year ended September 30, 2021 | For each of the two years in the period ended September 30, 2021 | For each of the five years in the period ended September 30, 2021 |
Touchstone Credit Opportunities Fund (formerly, Touchstone Credit Opportunities II Fund) | For the year ended September 30, 2021 | For each of the two years in the period ended September 30, 2021 | For each of the two years in the period ended September 30, 2021, the period from July 1, 2019 through September 30, 2019 and each of the three years in the period ended June 30, 2019. |
Individual fund constituting the Touchstone Funds Group Trust | Statement of operations | Statements of changes in net assets | Financial highlights |
Touchstone Anti-Benchmark® International Core Equity Fund | For the year ended September 30, 2021 | For each of the two years in the period ended September 30, 2021 | For each of the two years in the period ended September 30, 2021 and the period from November 19, 2018 (commencement of operations) through September 30, 2019 |
and the Shareholders of the Touchstone Dividend Equity Fund
Cincinnati, OH
Anti-Benchmark® International Core Equity Fund | 51.22 % |
Dividend Equity Fund | 100.00 % |
International ESG Equity Fund | 28.30 % |
Mid Cap Fund | 54.52 % |
Mid Cap Value Fund | 85.67 % |
Sands Capital Select Growth Fund | 10.03 % |
Small Cap Fund | 100.00 % |
Small Cap Value Fund | 100.00 % |
Dividend Equity Fund | 100.00 % |
Mid Cap Fund | 51.65 % |
Mid Cap Value Fund | 87.59 % |
Sands Capital Select Growth Fund | 10.04 % |
Small Cap Fund | 100.00 % |
Small Cap Value Fund | 100.00 % |
Anti-Benchmark® International Core Equity Fund | $ 2,396,857 |
Dividend Equity Fund | $ 55,746,110 |
International ESG Equity Fund | $ 1,825,102 |
Mid Cap Fund | $ 81,355,860 |
Mid Cap Value Fund | $ 52,782,266 |
Sands Capital Select Growth Fund | $ 685,213,469 |
Small Cap Fund | $ 13,438,683 |
Net Expense Ratio Annualized September 30, 2021 | Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Expenses Paid During the Six Months Ended September 30, 2021* | ||
Active Bond Fund | |||||
Class A | Actual | 0.90% | $1,000.00 | $1,019.20 | $4.56 |
Class A | Hypothetical | 0.90% | $1,000.00 | $1,020.56 | $4.56 |
Class C | Actual | 1.64% | $1,000.00 | $1,015.50 | $8.29 |
Class C | Hypothetical | 1.64% | $1,000.00 | $1,016.85 | $8.29 |
Class Y | Actual | 0.65% | $1,000.00 | $1,020.50 | $3.29 |
Class Y | Hypothetical | 0.65% | $1,000.00 | $1,021.81 | $3.29 |
Institutional Class | Actual | 0.57% | $1,000.00 | $1,020.90 | $2.89 |
Institutional Class | Hypothetical | 0.57% | $1,000.00 | $1,022.21 | $2.89 |
Anti-Benchmark® International Core Equity Fund | |||||
Class Y | Actual | 0.69% | $1,000.00 | $1,000.00 | $3.46 |
Class Y | Hypothetical | 0.69% | $1,000.00 | $1,021.61 | $3.50 |
Institutional Class | Actual | 0.59% | $1,000.00 | $1,000.90 | $2.96 |
Institutional Class | Hypothetical | 0.59% | $1,000.00 | $1,022.11 | $2.99 |
Credit Opportunities Fund | |||||
Class A | Actual | 1.09% | $1,000.00 | $1,058.30 | $5.62** |
Class A | Hypothetical | 1.09% | $1,000.00 | $1,019.60 | $5.52** |
Class C | Actual | 1.56% | $1,000.00 | $1,054.80 | $8.04** |
Class C | Hypothetical | 1.56% | $1,000.00 | $1,017.25 | $7.89** |
Class Y | Actual | 0.88% | $1,000.00 | $1,059.10 | $4.54** |
Class Y | Hypothetical | 0.88% | $1,000.00 | $1,020.66 | $4.46** |
Institutional Class | Actual | 0.78% | $1,000.00 | $1,060.00 | $4.03** |
Institutional Class | Hypothetical | 0.78% | $1,000.00 | $1,021.16 | $3.95** |
Dividend Equity Fund | |||||
Class A | Actual | 0.92% | $1,000.00 | $994.10 | $4.60 |
Net Expense Ratio Annualized September 30, 2021 | Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Expenses Paid During the Six Months Ended September 30, 2021* | ||
Class A | Hypothetical | 0.92% | $1,000.00 | $1,020.46 | $4.66 |
Class C | Actual | 1.75% | $1,000.00 | $990.70 | $8.73 |
Class C | Hypothetical | 1.75% | $1,000.00 | $1,016.29 | $8.85 |
Class Y | Actual | 0.88% | $1,000.00 | $994.60 | $4.40 |
Class Y | Hypothetical | 0.88% | $1,000.00 | $1,020.66 | $4.46 |
Institutional Class | Actual | 0.67% | $1,000.00 | $994.50 | $1.34 |
Institutional Class | Hypothetical | 0.67% | $1,000.00 | $1,021.71 | $1.35 |
Class R6 | Actual | 0.65% | $1,000.00 | $975.60 | $1.04 |
Class R6 | Hypothetical | 0.65% | $1,000.00 | $1,021.81 | $1.06 |
High Yield Fund | |||||
Class A | Actual | 1.05% | $1,000.00 | $1,039.90 | $5.37 |
Class A | Hypothetical | 1.05% | $1,000.00 | $1,019.80 | $5.32 |
Class C | Actual | 1.80% | $1,000.00 | $1,036.20 | $9.19 |
Class C | Hypothetical | 1.80% | $1,000.00 | $1,016.04 | $9.10 |
Class Y | Actual | 0.80% | $1,000.00 | $1,041.80 | $4.09 |
Class Y | Hypothetical | 0.80% | $1,000.00 | $1,021.06 | $4.05 |
Institutional Class | Actual | 0.72% | $1,000.00 | $1,042.20 | $3.69 |
Institutional Class | Hypothetical | 0.72% | $1,000.00 | $1,021.46 | $3.65 |
Impact Bond Fund | |||||
Class A | Actual | 0.84% | $1,000.00 | $1,019.10 | $4.25 |
Class A | Hypothetical | 0.84% | $1,000.00 | $1,020.86 | $4.26 |
Class C | Actual | 1.59% | $1,000.00 | $1,015.30 | $8.03 |
Class C | Hypothetical | 1.59% | $1,000.00 | $1,017.10 | $8.04 |
Class Y | Actual | 0.59% | $1,000.00 | $1,021.30 | $2.99 |
Class Y | Hypothetical | 0.59% | $1,000.00 | $1,022.11 | $2.99 |
Institutional Class | Actual | 0.49% | $1,000.00 | $1,021.80 | $2.48 |
Institutional Class | Hypothetical | 0.49% | $1,000.00 | $1,022.61 | $2.48 |
International ESG Equity Fund | |||||
Class A | Actual | 1.17% | $1,000.00 | $1,015.60 | $5.91 |
Class A | Hypothetical | 1.17% | $1,000.00 | $1,019.20 | $5.92 |
Class C | Actual | 1.95% | $1,000.00 | $1,011.20 | $9.83 |
Class C | Hypothetical | 1.95% | $1,000.00 | $1,015.29 | $9.85 |
Class Y | Actual | 0.90% | $1,000.00 | $1,015.60 | $4.55 |
Class Y | Hypothetical | 0.90% | $1,000.00 | $1,020.56 | $4.56 |
Institutional Class | Actual | 0.89% | $1,000.00 | $1,016.80 | $4.50 |
Institutional Class | Hypothetical | 0.89% | $1,000.00 | $1,020.61 | $4.51 |
Mid Cap Fund | |||||
Class A | Actual | 1.22% | $1,000.00 | $1,005.20 | $6.13*** |
Class A | Hypothetical | 1.22% | $1,000.00 | $1,018.95 | $6.17*** |
Class C | Actual | 1.93% | $1,000.00 | $1,001.40 | $9.68*** |
Class C | Hypothetical | 1.93% | $1,000.00 | $1,015.39 | $9.75*** |
Class Y | Actual | 0.97% | $1,000.00 | $1,006.20 | $4.88*** |
Class Y | Hypothetical | 0.97% | $1,000.00 | $1,020.21 | $4.91*** |
Class Z | Actual | 1.22% | $1,000.00 | $1,004.80 | $6.13*** |
Class Z | Hypothetical | 1.22% | $1,000.00 | $1,018.95 | $6.17*** |
Institutional Class | Actual | 0.85% | $1,000.00 | $1,006.80 | $4.28*** |
Institutional Class | Hypothetical | 0.85% | $1,000.00 | $1,020.81 | $4.31*** |
Class R6 | Actual | 0.80% | $1,000.00 | $1,007.00 | $4.02*** |
Class R6 | Hypothetical | 0.80% | $1,000.00 | $1,021.06 | $4.05*** |
Mid Cap Value Fund | |||||
Class A | Actual | 1.23% | $1,000.00 | $1,031.00 | $6.26**** |
Class A | Hypothetical | 1.23% | $1,000.00 | $1,018.90 | $6.23**** |
Class C | Actual | 1.98% | $1,000.00 | $1,027.10 | $10.06**** |
Class C | Hypothetical | 1.98% | $1,000.00 | $1,015.14 | $10.00**** |
Class Y | Actual | 0.98% | $1,000.00 | $1,032.30 | $4.99**** |
Class Y | Hypothetical | 0.98% | $1,000.00 | $1,020.16 | $4.96**** |
Institutional Class | Actual | 0.85% | $1,000.00 | $1,033.10 | $4.33**** |
Institutional Class | Hypothetical | 0.85% | $1,000.00 | $1,020.81 | $4.31**** |
Sands Capital Select Growth Fund | |||||
Class A | Actual | 1.06% | $1,000.00 | $1,152.00 | $5.72***** |
Class A | Hypothetical | 1.06% | $1,000.00 | $1,019.75 | $5.37***** |
Class C | Actual | 1.86% | $1,000.00 | $1,146.80 | $10.01***** |
Class C | Hypothetical | 1.86% | $1,000.00 | $1,015.74 | $9.40***** |
Class Y | Actual | 0.85% | $1,000.00 | $1,152.80 | $4.59***** |
Class Y | Hypothetical | 0.85% | $1,000.00 | $1,020.81 | $4.31***** |
Net Expense Ratio Annualized September 30, 2021 | Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Expenses Paid During the Six Months Ended September 30, 2021* | ||
Class Z | Actual | 1.16% | $1,000.00 | $1,152.80 | $6.26***** |
Class Z | Hypothetical | 1.16% | $1,000.00 | $1,019.25 | $5.87***** |
Institutional Class | Actual | 0.79% | $1,000.00 | $1,153.20 | $4.26***** |
Institutional Class | Hypothetical | 0.79% | $1,000.00 | $1,021.11 | $4.00***** |
Class R6 | Actual | 0.74% | $1,000.00 | $1,153.80 | $4.00***** |
Class R6 | Hypothetical | 0.74% | $1,000.00 | $1,021.36 | $3.75***** |
Small Cap Fund | |||||
Class A | Actual | 1.27% | $1,000.00 | $997.90 | $6.36****** |
Class A | Hypothetical | 1.27% | $1,000.00 | $1,018.70 | $6.43****** |
Class C | Actual | 2.02% | $1,000.00 | $993.70 | $10.10****** |
Class C | Hypothetical | 2.02% | $1,000.00 | $1,014.94 | $10.20****** |
Class Y | Actual | 1.02% | $1,000.00 | $999.30 | $5.11****** |
Class Y | Hypothetical | 1.02% | $1,000.00 | $1,019.95 | $5.17****** |
Institutional Class | Actual | 0.94% | $1,000.00 | $1,000.00 | $4.71****** |
Institutional Class | Hypothetical | 0.94% | $1,000.00 | $1,020.36 | $4.76****** |
Small Cap Value Fund | |||||
Class A | Actual | 1.38% | $1,000.00 | $1,042.00 | $7.06 |
Class A | Hypothetical | 1.38% | $1,000.00 | $1,018.15 | $6.98 |
Class C | Actual | 2.13% | $1,000.00 | $1,038.40 | $10.88 |
Class C | Hypothetical | 2.13% | $1,000.00 | $1,014.39 | $10.76 |
Class Y | Actual | 1.13% | $1,000.00 | $1,043.50 | $5.79 |
Class Y | Hypothetical | 1.13% | $1,000.00 | $1,019.40 | $5.72 |
Institutional Class | Actual | 0.98% | $1,000.00 | $1,044.40 | $5.02 |
Institutional Class | Hypothetical | 0.98% | $1,000.00 | $1,020.16 | $4.96 |
Ultra Short Duration Fixed Income Fund | |||||
Class A | Actual | 0.69% | $1,000.00 | $1,000.80 | $3.46 |
Class A | Hypothetical | 0.69% | $1,000.00 | $1,021.61 | $3.50 |
Class C | Actual | 1.19% | $1,000.00 | $998.20 | $5.96 |
Class C | Hypothetical | 1.19% | $1,000.00 | $1,019.10 | $6.02 |
Class S | Actual | 0.94% | $1,000.00 | $999.50 | $4.71 |
Class S | Hypothetical | 0.94% | $1,000.00 | $1,020.36 | $4.76 |
Class Y | Actual | 0.44% | $1,000.00 | $1,002.00 | $2.21 |
Class Y | Hypothetical | 0.44% | $1,000.00 | $1,022.86 | $2.23 |
Class Z | Actual | 0.69% | $1,000.00 | $1,000.80 | $3.46 |
Class Z | Hypothetical | 0.69% | $1,000.00 | $1,021.61 | $3.50 |
Institutional Class | Actual | 0.39% | $1,000.00 | $1,002.30 | $1.96 |
Institutional Class | Hypothetical | 0.39% | $1,000.00 | $1,023.11 | $1.98 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (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 $5.37, $7.78, $4.28 and $3.77, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y and Institutional Class would be $5.27, $7.64, $4.20 and $3.70, 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 $6.71, $10.61, $5.33, $6.71, $4.67 and $4.84, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y, Class Z, Institutional Class and Class R6 would be $6.12, $9.70, $4.86, $6.12, $4.26 and $4.81, respectively. |
**** | Excluding liquidity provider expenses, your actual cost of investment in Class A, Class C, Class Y and Institutional Class $7.39, $11.88, $5.88 and $5.10, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y, Class Z and Institutional Class would be $6.17, $9.95, $4.91 and $4.26, 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 $5.61, $9.90, $4.48, $6.15, $4.16 and $3.89, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y, Class Z, Institutional Class and Class R6 would be $5.27, $9.30, $4.20, $5.77, $3.90 and $3.65, respectively. |
****** | Excluding liquidity provider expenses, your actual cost of investment in Class A, Class C, Class Y and Institutional Class would be $6.18, $9.92, $4.93 and $4.53, respectively, and your hypothetical cost of investment in Class A, Class C, Class Y and Institutional Class would be $6.28, $10.05, $5.02 and $4.61, respectively. |
Interested Trustees(1): | |||||
Name Address Year of Birth | Position(s) Held with Trust | Term of Office And Length of Time Served (2) | Principal Occupation(s) During Past 5 Years | Number of Funds Overseen in the Touchstone Fund Complex (3) | Other Directorships Held During Past 5 Years (4) |
Jill T. McGruder Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1955 | Trustee | Until retirement at age 75 or until she resigns or is removed Trustee since 1999 | President of Touchstone Funds from 1999 to 2020; President, Director and CEO of IFS Financial Services, Inc. (a holding company) since 1999; and Senior Vice President and Chief Marketing Officer of Western & Southern Financial Group, Inc. (a financial services company) since 2016. | 36 | Director, Integrity Life Insurance Co. and National Integrity Life Insurance Co. since 2005; Director, Touchstone Securities (the Distributor) since 1999; Director, Touchstone Advisors (the Advisor) since 1999; Director, W&S Brokerage Services, Inc. since 1999; Director, W&S Financial Group Distributors, Inc. since 1999; Director, Insurance Profillment Solutions LLC since 2014; Director, Columbus Life Insurance Co. since 2016; Director, The Lafayette Life Insurance Co. since 2016; Director, Gerber Life Insurance Company since 2019; Director, Western & Southern Agency, Inc. since 2018; and Director, LL Global, Inc. (not-for-profit trade organization with operating divisions LIMRA and LOMA) since 2016. |
E. Blake Moore, Jr. Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1958 | President and Trustee | Until retirement at age 75 or until he resigns or is removed Trustee since 2021 | President, Touchstone Funds since 2021; Chief Executive Officer of Touchstone Advisors, Inc. and Touchstone Securities, Inc. since 2020; President, Foresters Investment Management Company, Inc. from 2018 to 2020; President, North American Asset Management at Foresters Financial from 2018 to 2020; Managing Director, Head of Americas at UBS Asset Management from 2015 to 2017; and Executive Vice President, Head of Distribution at Mackenzie Investments from 2011 to 2014. | 36 | Trustee, College of Wooster since 2008; and Director, UBS Funds from 2015 to 2017. |
Independent Trustees: | |||||
Karen Carnahan c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1954 | Trustee | Until retirement at age 75 or until she resigns or is removed Trustee since 2019 | Retired; formerly Chief Operating Officer of Shred-it (a business services company) from 2014 to 2015; formerly President & Chief Operating Officer of the document management division of Cintas Corporation (a business services company) from 2008 to 2014. | 36 | Director, Cintas Corporation since 2019; Director, Boys & Girls Club of West Chester/Liberty since 2016; and Board of Advisors, Best Upon Request since 2020. |
William C. Gale c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1952 | Trustee | Until retirement at age 75 or until he resigns or is removed Trustee since 2013 | Retired; formerly Senior Vice President and Chief Financial Officer of Cintas Corporation (a business services company) from 1995 to 2015. | 36 | None. |
Independent Trustees (Continued): | |||||
Name Address Year of Birth | Position(s) Held with Trust | Term of Office And Length of Time Served (2) | Principal Occupation(s) During Past 5 Years | Number of Funds Overseen in the Touchstone Fund Complex (3) | Other Directorships Held During Past 5 Years (4) |
Susan J. Hickenlooper, CFA c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1946 | Trustee | Until retirement at age 75 or until she resigns or is removed Trustee since 2009 | Retired from investment management. | 36 | Trustee, Episcopal Diocese of Southern Ohio from 2014 to 2018. |
Susan M. King c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1963 | Trustee | Until retirement at age 75 or until she resigns or is removed Trustee since 2021 | Formerly, Partner of ID Funds LLC (2020 to 2021); formerly, Senior Vice President, Head of Product and Marketing Strategy of Foresters Financial (2018 to 2020); formerly, Managing Director, Head of Sales Strategy and Marketing, Americas of UBS Asset Management (2015 to 2017); formerly, Director, Allianz Funds, Allianz Funds Multi-Strategy Trust and AllianzGI Institutional Multi-Series Trust (2014 to 2015); and formerly, Director, Alliance Capital Cash Management Offshore Funds (2003 to 2005). | 36 | Trustee, Claremont McKenna College since 2017; Trustee, Israel Cancer Research Fund since 2019; and Board Member of WHAM! (Women's Health Access Matters) since 2021. |
Kevin A. Robie c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1956 | Trustee | Until retirement at age 75 or until he resigns or is removed Trustee since 2013 | Retired; formerly Vice President of Portfolio Management at Soin LLC (private multinational holding company and family office) from 2004 to 2020. | 36 | Director, SaverSystems, Inc. since 2015; Director, Buckeye EcoCare, Inc. from 2013 to 2018; Director, Turner Property Services Group, Inc. since 2017; Trustee, Dayton Region New Market Fund, LLC (private fund) since 2010; and Trustee, Entrepreneurs Center, Inc. (business incubator) since 2006. |
William H. Zimmer III c/o Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1953 | Trustee | Until retirement at age 75 or until he resigns or is removed Trustee since 2019 | Independent Treasury Consultant since 2014. | 36 | Director, Deaconess Associations, Inc. (healthcare) since 2001; Trustee, Huntington Funds (mutual funds) from 2006 to 2015; and Director, National Association of Corporate Treasurers from 2011 to 2015. |
Principal Officers: | |||
Name Address Year of Birth | Position(s) Held with Trust(1) | Term of Office And Length of Time Served | Principal Occupation(s) During Past 5 Years |
E. Blake Moore, Jr. Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1958 | President and Trustee | Until resignation, removal or disqualification President since January 2021 | See biography above. |
Timothy D. Paulin Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1963 | Vice President | Until resignation, removal or disqualification Vice President since 2010 | Senior Vice President of Investment Research and Product Management of Touchstone Advisors, Inc. |
Timothy S. Stearns Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1963 | Chief Compliance Officer | Until resignation, removal or disqualification Chief Compliance Officer since 2013 | Chief Compliance Officer of Touchstone Advisors, Inc. and Touchstone Securities, Inc. |
Terrie A. Wiedenheft Touchstone Advisors, Inc. 303 Broadway Suite 1100 Cincinnati, Ohio 45202 Year of Birth: 1962 | Controller and Treasurer | Until resignation, removal or disqualification Controller and Treasurer since 2006 | Senior Vice President and Chief Administration Officer within the Office of the Chief Marketing Officer of Western & Southern Financial Group (since 2021); and Senior Vice President, Chief Financial Officer, and Chief Operations Officer of IFS Financial Services, Inc. (a holding company). |
Meredyth A. Whitford-Schultz Western & Southern Financial Group 400 Broadway Cincinnati, Ohio 45202 Year of Birth: 1981 | Secretary | Until resignation, removal or disqualification Secretary since 2018 | Senior Counsel - Securities/Mutual Funds of Western & Southern Financial Group (since 2015); Associate at Morgan Lewis & Bockius LLP (law firm) (2014 to 2015); Associate at Bingham McCutchen LLP (law firm) (2008 to 2014). |
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.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics is attached hereto as Exhibit 13(a)(1). |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that the registrant has at least one audit committee financial expert serving on its audit committee. Ms. Karen Carnahan is the registrant’s audit committee financial expert and is an independent trustee within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”).
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | Audit fees for Touchstone Funds Group Trust totaled $267,300 and $259,000 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively, including fees associated with the annual audits and filings of Form N-1A and Form N-CEN. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $56,550 and $16,000 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively. The fees for 2021 and 2020 relate to review of N-1A and N-14 filings. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $74,950 and $82,705 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively. The fees relate to the preparation of federal income and excise tax returns, review of capital gains distribution calculations, tax agent services and out of scope tax services. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $25,567 and $11,660 for the fiscal years ended September 30, 2021 and September 2020, respectively. The fees relate to the PFIC analyzer and Global Withholding Tax Reporter subscriptions. |
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Audit Committee’s pre-approval policies describe the types of audit, audit-related, tax and other services that have the general pre-approval of the Audit Committee. The pre-approval policies provide that annual audit service fees, tax services not specifically granted pre-approval, services exceeding pre-approved cost levels and other services that have not received general pre-approval will be subject to specific pre-approval by the Audit Committee. The pre-approval policies further provide that the Committee may grant general pre-approval to other audit services (statutory audits and services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings), audit-related services (accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services,” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities, agreed-upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters and assistance with internal control reporting requirements under Form N-CSR), tax services that have historically been provided by the auditor that the Committee believes would not impair the independence of the auditor and are consistent with the SEC’s rules on auditor independence and permissible non-audit services classified as “all other services” that are routine and recurring services.
(e)(2) | All of the services described in paragraphs (b) through (d) of Item 4 were approved by the Audit Committee. |
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees for Touchstone Funds Group Trust and certain entities*, totaled approximately $465,691 and $913,405 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively. |
* | These include the advisors (excluding non-affiliated sub-advisors) and any entity controlling, controlled by or under common control with the advisors that provides ongoing services to the registrant (Funds). |
(h) | The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. | |
(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) | Code of ethics, and any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(2)(2) | Letter from former accountant pursuant to Item 304(a) under Regulation S-K is attached hereto. |
(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 | November 30, 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 | November 30, 2021 |
By (Signature and Title)* | /s/ Terrie A. Wiedenheft | |
Terrie A. Wiedenheft, Controller and Treasurer | ||
(principal financial officer) |
Date | November 30, 2021 |
* Print the name and title of each signing officer under his or her signature.